PCEF Options History — April 2012 In April 2012, PCEF traded between $24.53 and $25.08. ATM implied volatility averaged 8.4%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 0.9% (HV 20d: 7.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-13 : Highest Volume — 3 contracts2012-04-16 : Largest IV drop — 29.3% change2012-04-13 : Highest IV Rank — 3.1%2012-04-13 : Largest Expected Move — 3.2%Monthly Statistics Metric Avg Min Max Open Close Price $24.79 $24.53 $25.08 $25.08 $25.00 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 8.4% 6.3% 11.2% 8.1% 8.5% Expected Move 2.3% 1.8% 3.2% 2.3% 2.4% HV 20d 7.5% 7.1% 9.5% 9.5% 7.5% HV 60d 7.4% 7.2% 7.6% 7.2% 7.3% IV Rank 1.6% 0.3% 3.1% 1.4% 1.6% IV Percentile 14.0% 2.0% 32.5% 11.1% 17.5% Term Structure -0.3% -2.6% 2.0% 2.0% -2.6% VWIV 6.9% 6.9% 6.9% 6.9% 6.9% Skew 25d 1.3% -11.2% 9.6% -8.6% 9.6% Skew 10d -7.2% -24.8% 11.9% -9.1% 11.9% Call IV 25d 13.3% 6.9% 27.2% 27.2% 11.5% Put IV 25d 14.6% 8.3% 23.6% 18.7% 21.1% Bid-Ask Spread % 54.88 37.24 69.38 37.24 49.72 Gamma HHI 0.94 0.73 1.00 0.98 1.00 Net GEX -12.9K -24.7K -5.1K -14.6K -24.7K Net DEX 145.0K 111.8K 175.7K 111.8K 118.2K Net VEX -447 -565 -358 -521 -408 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.4 0 3 0 0 Total OI 127.55 127 128 127 128
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-04-02 $25.08 $0.00 8.1% 2.3% 9.5% 1.4% 0.0% -8.6% 2.0% -14.6K 111.8K -521 0.00 37.24 N/A N/A 0 0 22 105 2012-04-03 $25.01 $0.00 8.6% 2.5% 7.9% 1.7% 0.0% -11.2% 0.5% -14.5K 121.5K -565 0.00 49.42 N/A N/A 0 2 22 105 2012-04-04 $24.81 $0.00 8.1% 2.3% 7.7% 1.4% 0.0% -1.6% 0.8% -11.5K 150.5K -436 0.00 53.21 N/A N/A 0 2 22 106 2012-04-05 $24.82 $0.00 9.0% 2.6% 7.1% 1.9% 0.0% 2.9% -0.1% -11.5K 149.7K -433 0.00 62.22 N/A N/A 0 0 22 106 2012-04-09 $24.74 $25.00 10.0% 2.4% 7.1% 2.5% 0.0% 7.6% -0.6% -11.3K 161.5K -481 0.00 55.88 N/A N/A 0 0 22 106 2012-04-10 $24.53 $25.00 9.7% 2.4% 7.6% 2.3% 0.0% -0.7% -0.0% -10.4K 175.7K -425 0.00 52.93 N/A N/A 0 0 22 106 2012-04-11 $24.72 $25.00 10.8% 2.4% 7.6% 3.0% 0.0% 7.5% -0.7% -11.1K 158.5K -388 0.00 55.31 N/A N/A 0 0 22 106 2012-04-12 $24.80 $25.00 10.4% 3.0% 7.4% 2.7% 0.0% -4.7% -2.0% -13.0K 138.0K -518 0.00 59.82 N/A N/A 0 0 22 106 2012-04-13 $24.56 $25.00 11.2% 3.2% 7.5% 3.1% 0.0% 6.2% -0.6% -5.1K 126.4K -537 0.00 52.41 N/A N/A 3 0 22 106 2012-04-16 $24.59 $25.00 7.9% 2.3% 7.2% 1.3% 0.0% 1.7% -0.1% -11.8K 162.8K -440 0.00 53.15 N/A N/A 0 0 22 106 2012-04-17 $24.70 $25.00 8.8% 2.5% 7.4% 1.8% 0.0% 1.1% -0.9% -12.7K 150.7K -429 0.00 60.15 N/A N/A 0 0 21 106 2012-04-18 $24.67 $25.00 7.9% 2.3% 7.4% 1.3% 0.0% 1.2% -0.1% -12.4K 161.1K -455 0.00 59.49 N/A N/A 0 0 21 106 2012-04-19 $24.64 $25.00 8.0% 2.3% 7.3% 1.3% 0.0% 2.3% -0.9% -12.2K 163.7K -449 0.00 56.54 N/A N/A 0 0 21 106 2012-04-20 $24.73 $25.00 7.4% 2.1% 7.4% 1.0% 0.0% 0.9% -0.1% -12.0K 155.3K -465 0.00 55.95 N/A N/A 0 0 21 106 2012-04-23 $24.74 $25.00 6.3% 1.8% 7.3% 0.3% 0.0% 1.4% -0.7% -13.3K 161.0K -358 0.00 52.84 N/A N/A 0 0 21 106 2012-04-24 $24.78 $25.00 6.6% 1.9% 7.3% 0.5% 0.0% 1.1% 0.1% -11.9K 149.1K -389 0.00 54.73 N/A N/A 0 0 21 106 2012-04-25 $24.93 $25.00 6.6% 1.9% 7.5% 0.5% 6.9% 0.4% 0.0% -10.8K 132.3K -422 0.00 59.34 N/A N/A 1 0 21 106 2012-04-26 $24.98 $25.00 6.8% 2.0% 7.5% 0.7% 0.0% -0.8% 0.1% -13.5K 132.9K -402 0.00 69.38 N/A N/A 0 0 22 106 2012-04-27 $24.99 $25.00 7.5% 2.2% 7.5% 1.0% 0.0% 9.5% -0.5% -19.8K 119.9K -422 0.00 47.82 N/A N/A 0 0 22 106 2012-04-30 $25.00 $25.00 8.5% 2.4% 7.5% 1.6% 0.0% 9.6% -2.6% -24.7K 118.2K -408 0.00 49.72 N/A N/A 0 0 22 106
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