PCEF Options History — August 2012

In August 2012, PCEF traded between $25.18 and $25.53. ATM implied volatility averaged 21.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 17.2% (HV 20d: 4.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.25.

Notable Days

  • 2012-08-24: Highest Volume — 23 contracts
  • 2012-08-10: Largest IV spike — 1238.3% change
  • 2012-08-10: Highest IV Rank — 89.7%
  • 2012-08-01: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.38$25.18$25.53$25.24$25.53
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV21.3%7.5%162.3%116.6%9.8%
Expected Move4.1%2.0%33.4%33.4%2.8%
HV 20d4.2%3.7%4.8%3.8%4.1%
HV 60d7.1%5.5%8.8%8.8%5.5%
IV Rank9.0%1.0%89.7%63.5%2.4%
IV Percentile43.6%14.3%99.6%95.6%42.5%
Term Structure-3.8%-111.2%55.8%-111.2%-6.7%
VWIV9.7%9.5%10.0%9.5%10.0%
Skew 25d4.7%-12.8%149.4%149.4%-10.1%
Skew 10d10.1%-14.8%154.0%154.0%-6.6%
Call IV 25d18.8%7.2%66.3%7.2%19.3%
Put IV 25d23.5%8.8%156.5%156.5%9.2%
Bid-Ask Spread %67.0440.82194.61194.6147.71
Gamma HHI0.930.581.001.000.70
Net GEX-19.6K-23.8K-8.2K-12.5K-18.5K
Net DEX136.0K109.5K158.1K143.5K128.7K
Net VEX-672-881-594-601-718
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.003.330.003.33
Total Volume4.17402305
Total OI184.87171208171208

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$25.24$25.00116.6%33.4%3.8%63.5%0.0%149.4%-111.2%-12.5K143.5K-6010.00194.61N/AN/A007164
2012-08-02$25.18$25.009.8%2.8%3.9%2.4%0.0%1.9%-2.9%-21.1K149.9K-5940.0055.54N/AN/A0107164
2012-08-03$25.28$25.0010.0%2.9%4.0%2.5%0.0%58.7%-3.5%-20.7K151.6K-6680.00106.72N/AN/A407174
2012-08-06$25.32$25.0010.0%2.5%4.0%2.4%0.0%-4.7%1.2%-20.9K146.0K-6730.0040.82N/AN/A007174
2012-08-07$25.41$25.0010.3%2.0%3.9%2.6%0.0%-5.2%1.1%-20.9K139.8K-6640.0042.60N/AN/A007174
2012-08-08$25.42$25.0010.0%2.6%3.9%2.4%0.0%-0.2%-1.5%-20.8K138.2K-6570.0042.60N/AN/A007174
2012-08-09$25.43$25.0012.1%2.4%3.7%3.7%0.0%-1.5%-2.2%-21.4K139.7K-6540.0041.37N/AN/A007174
2012-08-10$25.44$25.00162.3%6.2%3.7%89.7%0.0%-7.0%13.5%-8.2K158.1K-8810.00159.19N/AN/A007174
2012-08-13$25.40$25.0013.1%2.8%3.8%4.2%0.0%-5.8%-4.1%-19.0K137.7K-6490.0048.19N/AN/A057174
2012-08-14$25.46$25.0013.9%2.1%3.8%4.7%0.0%-12.8%0.4%-20.8K137.6K-6420.0055.07N/AN/A007179
2012-08-15$25.28$25.0012.2%2.5%4.7%3.7%0.0%-11.7%1.5%-22.2K145.0K-6330.0042.89N/AN/A007179
2012-08-16$25.37$25.008.5%2.4%4.8%1.6%0.0%-6.0%-0.4%-21.5K127.0K-6370.0054.92N/AN/A007174
2012-08-17$25.40$25.008.0%2.3%4.8%1.3%9.5%-6.7%-2.5%-22.9K109.5K-6271.6750.59N/AN/A6107174
2012-08-20$25.35$25.007.9%2.3%4.8%1.3%0.0%-6.1%-0.7%-21.2K142.9K-6730.0052.07N/AN/A007174
2012-08-21$25.36$25.007.5%2.2%4.6%1.0%0.0%-6.8%0.1%-23.1K133.7K-6750.0051.44N/AN/A057174
2012-08-22$25.36$25.009.4%2.7%4.5%2.2%0.0%-6.8%-4.2%-23.8K138.4K-6770.0054.02N/AN/A007174
2012-08-23$25.32$25.0012.9%3.7%4.4%4.2%0.0%29.2%55.8%-18.5K140.3K-6720.00162.02N/AN/A007174
2012-08-24$25.39$25.008.1%2.3%4.2%1.4%10.0%-7.3%-0.9%-21.4K140.9K-6570.0047.93N/AN/A2307174
2012-08-27$25.39$25.008.6%2.5%4.1%1.7%0.0%-7.7%-3.8%-15.7K117.3K-6783.3348.74N/AN/A31017174
2012-08-28$25.44$25.009.8%2.8%4.2%2.4%0.0%-8.1%-5.9%-15.6K112.8K-6890.0048.67N/AN/A01319174
2012-08-29$25.50$25.009.9%2.8%4.1%2.4%0.0%-8.6%-5.1%-20.4K118.7K-7150.0046.64N/AN/A0019187
2012-08-30$25.44$25.009.7%2.8%4.1%2.3%0.0%-8.5%-4.6%-19.8K130.7K-7160.0047.65N/AN/A0219187
2012-08-31$25.53$25.009.8%2.8%4.1%2.4%0.0%-10.1%-6.7%-18.5K128.7K-7180.0047.71N/AN/A0519189