PCEF Options History — June 2012 In June 2012, PCEF traded between $23.65 and $24.61. ATM implied volatility averaged 19.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 9.0% (HV 20d: 10.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days.
Notable Days 2012-06-04 : Highest Volume — 10 contracts2012-06-21 : Largest IV spike — 634.3% change2012-06-25 : Highest IV Rank — 28.4%2012-06-25 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $24.15 $23.65 $24.61 $23.80 $24.61 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 19.6% 7.0% 55.4% 14.3% 51.6% Expected Move 4.5% 2.0% 15.9% 4.1% 14.8% HV 20d 10.7% 8.7% 12.6% 11.2% 8.7% HV 60d 9.0% 8.7% 9.4% 8.8% 9.3% IV Rank 8.0% 0.8% 28.4% 4.9% 26.3% IV Percentile 46.0% 6.7% 81.0% 52.0% 80.6% Term Structure 6.5% -4.3% 61.0% -4.3% 61.0% Skew 25d 6.3% -1.6% 43.3% -1.1% 43.3% Skew 10d -0.9% -19.3% 19.7% -0.6% 19.7% Call IV 25d 21.5% 7.9% 92.0% 14.3% 83.9% Put IV 25d 27.8% 9.5% 127.1% 13.2% 127.1% Bid-Ask Spread % 48.75 10.70 163.71 13.38 163.50 Gamma HHI 0.61 0.51 0.81 0.60 0.53 Net GEX -12.0K -21.3K -7.2K -14.7K -9.5K Net DEX 259.3K 171.2K 349.1K 342.5K 181.6K Net VEX -897 -1.0K -820 -927 -915 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.81 0 10 0 0 Total OI 193.524 157 228 218 157
Daily Data (21 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 2012-06-01 $23.80 $25.00 14.3% 4.1% 11.2% 4.9% 0.0% -1.1% -4.3% -14.7K 342.5K -927 0.00 13.38 N/A N/A 0 0 3 215 2012-06-04 $23.65 $0.00 16.5% 3.2% 11.2% 6.2% 0.0% 0.3% -2.2% -10.6K 324.1K -940 0.00 47.86 N/A N/A 0 10 3 215 2012-06-05 $23.69 $0.00 18.7% 3.3% 11.1% 7.4% 0.0% -0.6% -3.5% -13.8K 349.1K -973 0.00 47.42 N/A N/A 0 0 3 225 2012-06-06 $23.95 $0.00 15.0% 2.6% 12.1% 5.4% 0.0% -0.1% -0.4% -12.6K 330.4K -1.0K 0.00 45.01 N/A N/A 0 0 3 225 2012-06-07 $24.01 $0.00 16.7% 2.7% 12.2% 6.3% 0.0% 0.6% -0.4% -14.6K 329.0K -896 0.00 46.65 N/A N/A 0 0 3 225 2012-06-08 $24.16 $0.00 16.2% 2.5% 12.5% 6.0% 0.0% 1.3% -0.2% -14.1K 314.4K -920 0.00 48.59 N/A N/A 0 0 3 225 2012-06-11 $24.03 $0.00 22.8% 2.8% 12.6% 9.8% 0.0% -1.6% -0.6% -14.1K 331.6K -874 0.00 48.27 N/A N/A 0 0 3 225 2012-06-12 $24.20 $0.00 22.1% 2.6% 12.2% 9.4% 0.0% 6.9% -2.4% -12.6K 321.2K -886 0.00 46.60 N/A N/A 0 0 3 225 2012-06-13 $24.11 $0.00 35.7% 2.9% 11.8% 17.2% 0.0% 3.1% -0.4% -17.6K 293.9K -936 0.00 46.35 N/A N/A 0 5 3 225 2012-06-14 $24.20 $0.00 9.7% 2.8% 11.9% 2.3% 0.0% 2.6% -1.5% -21.3K 315.7K -908 0.00 15.92 N/A N/A 0 0 3 225 2012-06-15 $24.04 $0.00 9.6% 2.7% 10.2% 2.2% 0.0% 0.8% -0.6% -15.4K 343.2K -860 0.00 18.89 N/A N/A 0 0 3 225 2012-06-18 $24.09 $0.00 8.6% 2.5% 9.6% 1.7% 0.0% 0.9% 2.2% -8.8K 189.6K -825 0.00 14.94 N/A N/A 0 0 3 156 2012-06-19 $24.31 $0.00 7.8% 2.2% 9.3% 1.2% 0.0% 2.4% 3.1% -7.2K 171.2K -889 0.00 18.35 N/A N/A 0 0 3 156 2012-06-20 $24.35 $0.00 7.0% 2.0% 9.3% 0.8% 0.0% -0.1% 3.4% -9.3K 182.7K -867 0.00 14.24 N/A N/A 0 2 3 156 2012-06-21 $24.22 $0.00 51.5% 14.8% 9.5% 26.3% 0.0% 30.2% 37.6% -8.8K 191.0K -940 0.00 163.08 N/A N/A 0 0 3 154 2012-06-22 $24.31 $0.00 8.2% 2.3% 9.5% 1.4% 0.0% 2.6% 2.5% -9.3K 179.4K -851 0.00 15.89 N/A N/A 0 0 3 154 2012-06-25 $24.17 $0.00 55.4% 15.9% 9.7% 28.4% 0.0% 33.1% 38.0% -8.9K 194.5K -912 0.00 163.71 N/A N/A 0 0 3 154 2012-06-26 $24.29 $0.00 8.1% 2.3% 9.7% 1.4% 0.0% 0.6% 0.4% -11.0K 209.2K -852 0.00 10.70 N/A N/A 0 0 3 154 2012-06-27 $24.42 $0.00 8.4% 2.4% 9.6% 1.6% 0.0% 3.6% 1.0% -8.4K 176.4K -820 0.00 19.36 N/A N/A 0 0 3 154 2012-06-28 $24.44 $0.00 8.1% 2.3% 9.6% 1.4% 0.0% 3.7% 2.9% -9.0K 174.9K -835 0.00 15.13 N/A N/A 0 0 3 154 2012-06-29 $24.61 $0.00 51.6% 14.8% 8.7% 26.3% 0.0% 43.3% 61.0% -9.5K 181.6K -915 0.00 163.50 N/A N/A 0 0 3 154
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