PCEF Options History — March 2012

In March 2012, PCEF traded between $24.82 and $25.41. ATM implied volatility averaged 14.4%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.0% (HV 20d: 8.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 10.64.

Notable Days

  • 2012-03-16: Highest Volume — 126 contracts
  • 2012-03-27: Largest IV spike — 453.3% change
  • 2012-03-27: Highest IV Rank — 25.7%
  • 2012-03-07: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.06$24.82$25.41$25.37$24.97
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV14.4%6.2%50.6%6.2%7.2%
Expected Move5.5%1.8%20.2%1.8%2.1%
HV 20d8.3%4.4%9.6%4.4%9.4%
HV 60d8.1%7.1%9.2%8.5%7.1%
IV Rank5.0%0.3%25.7%0.3%0.9%
IV Percentile24.1%1.2%81.0%1.2%6.3%
Term Structure2.0%-22.5%58.2%0.6%2.5%
VWIV6.8%6.8%6.8%6.8%6.8%
Skew 25d4.3%-21.8%105.2%-21.8%-4.6%
Skew 10d1.5%-33.4%90.7%-14.1%-7.5%
Call IV 25d26.7%13.6%96.8%31.8%23.4%
Put IV 25d31.0%10.0%121.4%10.0%18.8%
Bid-Ask Spread %67.0222.44160.7522.4432.50
Gamma HHI0.970.861.001.000.93
Net GEX-37.0K-109.1K-4.8K-46.5K-15.5K
Net DEX145.6K60.6K240.5K60.6K138.9K
Net VEX-454-567-295-295-553
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.640.0041.008.200.00
Total Volume11.7270126460
Total OI175.545105230203127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$25.37$25.006.2%1.8%4.4%0.3%6.8%-21.8%0.6%-46.5K60.6K-2958.2022.44N/AN/A54116187
2012-03-02$25.33$25.006.5%1.9%4.4%0.5%0.0%-19.2%-0.5%-54.4K109.8K-4250.0027.42N/AN/A0011208
2012-03-05$25.22$0.009.2%19.7%4.8%2.0%0.0%2.7%-21.1%-38.7K142.4K-4290.00159.38N/AN/A0011208
2012-03-06$24.85$0.007.0%2.5%7.3%0.8%0.0%2.0%0.7%-42.8K234.2K-3380.0047.48N/AN/A0011208
2012-03-07$25.08$0.009.0%20.2%7.8%1.9%0.0%2.9%-22.5%-48.7K172.7K-4050.00160.75N/AN/A01111208
2012-03-08$25.27$0.008.6%2.7%8.3%1.7%0.0%-3.6%0.7%-61.9K139.5K-4450.0044.36N/AN/A0011219
2012-03-09$25.25$0.009.9%2.4%8.2%2.4%0.0%-2.3%2.1%-47.5K151.3K-4330.0037.77N/AN/A0011219
2012-03-12$25.21$0.0010.0%2.5%7.9%2.4%0.0%-13.5%1.3%-61.7K159.4K-3970.0044.88N/AN/A0011219
2012-03-13$25.41$0.0018.0%2.3%8.3%7.1%0.0%-7.7%0.1%-35.7K129.2K-3900.0047.23N/AN/A10011219
2012-03-14$25.22$0.0015.6%2.6%8.8%5.7%0.0%-4.2%1.5%-54.2K173.3K-3600.0039.05N/AN/A001219
2012-03-15$24.99$0.008.3%2.4%9.2%1.5%0.0%-6.8%2.2%-109.1K190.3K-3410.0044.27N/AN/A031219
2012-03-16$24.84$0.006.9%2.0%9.4%0.7%0.0%-3.1%2.5%-77.7K240.5K-32341.0052.86N/AN/A31231222
2012-03-19$24.90$0.009.8%2.8%9.4%2.3%0.0%-6.4%0.4%-16.4K146.1K-5100.0030.70N/AN/A004101
2012-03-20$24.87$0.009.2%2.6%9.4%2.0%0.0%-5.4%0.6%-21.1K137.1K-5130.0038.68N/AN/A044101
2012-03-21$24.92$0.008.7%2.5%9.4%1.7%0.0%-6.1%0.6%-20.9K149.7K-5134.0040.30N/AN/A10404105
2012-03-22$24.82$0.0043.9%12.6%9.5%21.8%0.0%92.4%58.2%-5.8K110.4K-5340.00159.14N/AN/A8014105
2012-03-23$24.90$0.0044.6%12.8%9.5%22.3%0.0%15.1%1.9%-4.8K100.4K-5610.00159.48N/AN/A0022105
2012-03-26$24.93$0.009.1%2.6%9.5%2.0%0.0%-7.1%0.4%-15.1K140.5K-5670.0037.50N/AN/A0022105
2012-03-27$25.02$0.0050.6%14.5%9.6%25.7%0.0%105.2%12.3%-7.2K101.1K-5380.00160.57N/AN/A0022105
2012-03-28$24.97$0.009.6%2.7%9.6%2.2%0.0%-7.2%-0.1%-14.3K135.9K-5580.0044.44N/AN/A0022105
2012-03-29$24.94$0.008.5%2.4%9.4%1.6%0.0%-6.6%0.2%-14.7K140.5K-5570.0043.22N/AN/A0022105
2012-03-30$24.97$0.007.2%2.1%9.4%0.9%0.0%-4.6%2.5%-15.5K138.9K-5530.0032.50N/AN/A0022105