PCEF Options History — July 2012 In July 2012, PCEF traded between $24.64 and $25.17. ATM implied volatility averaged 11.9%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 5.9% (HV 20d: 6.0%). 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 4 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-07-13 : Highest Volume — 10 contracts2012-07-20 : Largest IV spike — 1124.2% change2012-07-20 : Highest IV Rank — 48.0%2012-07-20 : Largest Expected Move — 25.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.89 $24.64 $25.17 $24.64 $25.16 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 11.9% 6.1% 89.6% 6.1% 10.0% Expected Move 3.3% 1.7% 25.7% 1.7% 2.9% HV 20d 6.0% 4.1% 8.3% 8.2% 4.1% HV 60d 8.9% 8.8% 9.4% 9.3% 8.8% IV Rank 3.6% 0.2% 48.0% 0.2% 2.4% IV Percentile 22.4% 0.4% 86.5% 0.4% 39.7% Term Structure -5.2% -85.9% 1.6% 1.6% -0.8% VWIV 8.3% 7.6% 9.0% 7.6% 9.0% Skew 25d 6.1% -2.3% 109.1% 6.1% 1.4% Skew 10d 5.5% -9.9% 113.4% -2.7% 2.3% Call IV 25d 8.3% 6.4% 16.2% 7.2% 9.4% Put IV 25d 14.4% 6.6% 117.3% 13.3% 10.8% Bid-Ask Spread % 73.48 18.50 195.83 20.09 58.26 Gamma HHI 0.82 0.64 1.00 0.64 1.00 Net GEX -13.3K -20.5K -8.5K -8.6K -20.5K Net DEX 166.1K 147.6K 180.2K 171.3K 158.3K Net VEX -720 -829 -516 -802 -572 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 1.81 0 10 0 0 Total OI 161.762 157 171 157 171
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 2012-07-02 $24.64 $0.00 6.1% 1.7% 8.2% 0.2% 0.0% 6.1% 1.6% -8.6K 171.3K -802 0.00 20.09 N/A N/A 0 0 3 154 2012-07-03 $24.78 $0.00 6.5% 1.9% 8.3% 0.5% 0.0% -2.3% -0.2% -8.8K 167.2K -822 0.00 18.50 N/A N/A 0 0 3 154 2012-07-05 $24.76 $0.00 6.8% 1.9% 7.7% 0.6% 7.6% 7.2% 0.9% -9.1K 168.7K -820 0.00 21.99 N/A N/A 0 4 3 154 2012-07-06 $24.74 $0.00 8.3% 2.0% 7.7% 1.5% 0.0% -0.5% -1.9% -10.3K 176.8K -819 0.00 83.32 N/A N/A 0 0 3 158 2012-07-09 $24.80 $0.00 8.8% 2.0% 7.5% 1.8% 0.0% -0.1% -1.9% -8.6K 167.0K -829 0.00 83.70 N/A N/A 0 0 3 158 2012-07-10 $24.75 $0.00 9.0% 2.2% 7.2% 1.9% 0.0% 0.4% -2.1% -8.5K 165.5K -809 0.00 89.86 N/A N/A 0 0 3 158 2012-07-11 $24.81 $0.00 8.9% 1.9% 6.9% 1.8% 0.0% -0.2% -2.0% -8.7K 166.5K -823 0.00 82.41 N/A N/A 0 0 3 158 2012-07-12 $24.75 $0.00 7.9% 2.3% 6.8% 1.3% 0.0% 1.0% -0.6% -8.7K 166.4K -819 0.00 83.32 N/A N/A 0 0 3 158 2012-07-13 $24.77 $0.00 7.2% 2.1% 6.7% 0.9% 0.0% 1.8% -0.4% -9.3K 165.6K -817 0.00 85.98 N/A N/A 0 10 3 158 2012-07-16 $24.85 $0.00 7.7% 2.2% 6.1% 1.1% 0.0% 0.4% -1.5% -14.4K 172.9K -818 0.00 96.42 N/A N/A 0 0 3 164 2012-07-17 $24.86 $0.00 7.8% 2.2% 6.1% 1.2% 0.0% 0.7% -2.4% -18.9K 180.2K -793 0.00 90.79 N/A N/A 0 0 3 164 2012-07-18 $24.93 $0.00 7.6% 2.2% 5.5% 1.1% 0.0% 0.5% 0.2% -20.4K 177.9K -778 0.00 90.49 N/A N/A 0 0 3 164 2012-07-19 $24.99 $0.00 7.3% 2.1% 5.5% 0.9% 0.0% 0.9% -2.8% -18.9K 165.3K -806 0.00 88.02 N/A N/A 0 0 3 164 2012-07-20 $24.98 $0.00 89.6% 25.7% 4.9% 48.0% 0.0% 109.1% -85.9% -11.3K 168.8K -780 0.00 195.83 N/A N/A 0 0 3 164 2012-07-23 $24.93 $0.00 7.8% 2.2% 5.0% 1.2% 0.0% 0.2% -2.8% -14.9K 158.0K -535 0.00 85.52 N/A N/A 0 10 3 154 2012-07-24 $24.86 $0.00 7.3% 2.1% 4.5% 0.9% 0.0% -1.7% -2.5% -14.7K 160.8K -534 0.00 59.69 N/A N/A 0 0 3 154 2012-07-25 $24.93 $0.00 8.4% 2.4% 4.4% 1.5% 0.0% -0.2% -0.9% -15.7K 165.5K -516 0.00 42.05 N/A N/A 4 0 3 154 2012-07-26 $25.04 $0.00 8.7% 2.5% 4.3% 1.7% 0.0% 0.1% -0.9% -16.6K 163.2K -529 0.00 66.63 N/A N/A 0 0 7 154 2012-07-27 $25.17 $0.00 9.5% 2.7% 4.5% 2.2% 0.0% 1.4% -2.1% -17.3K 153.8K -548 0.00 43.14 N/A N/A 0 0 7 154 2012-07-30 $25.15 $0.00 8.9% 2.6% 4.1% 1.9% 9.0% 1.4% 0.0% -16.0K 147.6K -551 0.00 57.07 N/A N/A 0 10 7 154 2012-07-31 $25.16 $25.00 10.0% 2.9% 4.1% 2.4% 0.0% 1.4% -0.8% -20.5K 158.3K -572 0.00 58.26 N/A N/A 0 0 7 164
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