PCEF Options History — May 2012

In May 2012, PCEF traded between $23.61 and $25.10. ATM implied volatility averaged 13.6%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.3% (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 5 of 22 days.

Notable Days

  • 2012-05-30: Highest Volume — 82 contracts
  • 2012-05-22: Largest IV spike — 814.5% change
  • 2012-05-22: Highest IV Rank — 53.0%
  • 2012-05-22: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.41$23.61$25.10$25.10$24.07
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV13.6%6.9%98.3%8.3%12.3%
Expected Move3.8%1.7%28.2%2.4%3.5%
HV 20d8.3%4.5%10.8%7.4%10.7%
HV 60d8.2%7.3%9.3%7.4%8.8%
IV Rank4.6%0.7%53.0%1.5%3.8%
IV Percentile28.8%6.0%90.9%17.1%44.4%
Term Structure-3.1%-38.4%3.2%-1.9%-2.3%
VWIV10.5%5.2%14.1%5.2%14.1%
Skew 25d9.1%-1.9%116.9%8.7%1.3%
Skew 10d9.3%-6.4%158.3%11.9%2.0%
Call IV 25d11.0%7.6%24.7%12.2%12.6%
Put IV 25d20.1%7.1%141.6%20.9%13.8%
Bid-Ask Spread %45.5712.64164.8463.3515.43
Gamma HHI0.880.641.001.000.70
Net GEX-16.8K-27.0K-5.3K-23.7K-17.4K
Net DEX213.6K111.1K337.8K111.1K337.8K
Net VEX-400-959-239-398-959
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume10.27308200
Total OI150.682128218128218

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$25.10$25.008.3%2.4%7.4%1.5%0.0%8.7%-1.9%-23.7K111.1K-3980.0063.35N/AN/A0022106
2012-05-02$25.07$25.009.0%2.6%7.4%1.9%0.0%10.8%-2.9%-27.0K120.3K-3950.0054.72N/AN/A0022106
2012-05-03$24.97$25.007.5%2.2%6.9%1.1%0.0%-1.8%-0.8%-15.7K140.4K-3730.0061.72N/AN/A0022106
2012-05-04$24.83$25.008.7%1.8%7.2%1.7%5.2%0.0%0.3%-14.1K152.9K-3370.0049.88N/AN/A02022106
2012-05-07$24.89$25.008.5%1.9%7.2%1.6%0.0%3.9%0.3%-18.8K180.3K-4000.0050.26N/AN/A0022126
2012-05-08$24.86$25.008.7%1.7%6.4%1.7%0.0%15.5%3.2%-19.9K188.3K-3780.0048.35N/AN/A0022126
2012-05-09$24.81$25.008.9%1.9%5.9%1.8%0.0%3.9%0.3%-18.6K192.2K-3690.0049.15N/AN/A0122126
2012-05-10$24.83$25.008.9%2.6%5.8%1.9%0.0%15.5%0.3%-17.0K178.8K-3860.0066.65N/AN/A0022127
2012-05-11$24.82$25.006.9%2.0%4.5%0.7%0.0%0.0%-0.3%-18.9K194.5K-3510.0054.53N/AN/A0022127
2012-05-14$24.51$25.009.1%2.6%6.5%2.0%0.0%4.7%-1.6%-17.6K200.2K-3350.0049.83N/AN/A0022127
2012-05-15$24.27$25.008.2%2.4%7.1%1.5%0.0%1.0%-2.9%-16.4K225.0K-2780.0044.70N/AN/A0022127
2012-05-16$24.26$25.008.3%2.4%7.1%1.5%0.0%1.0%-3.6%-15.8K224.0K-2560.0045.04N/AN/A0322126
2012-05-17$23.83$25.0010.4%3.0%9.3%2.7%10.4%0.5%-4.9%-12.4K220.8K-3320.0045.29N/AN/A0422129
2012-05-18$23.61$25.0013.3%3.8%9.5%4.3%0.0%-1.9%-5.3%-10.1K262.6K-2390.0048.58N/AN/A0322133
2012-05-21$23.87$25.0010.8%3.1%10.5%2.9%0.0%0.9%-1.9%-13.0K259.3K-2730.0014.28N/AN/A003136
2012-05-22$23.90$25.0098.3%28.2%10.5%53.0%0.0%116.9%-38.4%-5.3K167.5K-4400.00164.84N/AN/A003136
2012-05-23$24.00$25.0010.8%3.1%10.4%2.9%0.0%0.9%-1.0%-14.7K257.1K-2800.0014.16N/AN/A0103136
2012-05-24$24.11$25.009.9%2.8%10.5%2.4%0.0%1.7%-0.9%-16.6K263.5K-3450.0012.64N/AN/A0253146
2012-05-25$24.14$25.0010.3%3.0%10.6%2.7%0.0%1.9%-1.0%-18.8K280.3K-5100.0015.63N/AN/A003171
2012-05-29$24.25$25.0010.8%3.1%10.8%2.9%12.5%2.9%-1.4%-21.0K275.3K-4860.0017.98N/AN/A0783171
2012-05-30$24.10$25.0012.2%3.5%10.7%3.7%14.1%1.9%-1.9%-16.4K266.8K-6830.0015.43N/AN/A0823174
2012-05-31$24.07$25.0012.3%3.5%10.7%3.8%0.0%1.3%-2.3%-17.4K337.8K-9590.0015.43N/AN/A003215