PCEF Options History — September 2012

In September 2012, PCEF traded between $25.45 and $25.88. ATM implied volatility averaged 18.3%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 14.6% (HV 20d: 3.7%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2012-09-26: Highest Volume — 46 contracts
2012-09-19: Largest IV spike — 693.6% change
2012-09-19: Highest IV Rank — 49.8%
2012-09-19: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.68	$25.45	$25.88	$25.48	$25.86
Max Pain	$25.74	$25.00	$26.00	$25.00	$25.00
ATM IV	18.3%	5.8%	83.7%	22.7%	8.1%
Expected Move	5.9%	1.7%	24.0%	6.5%	2.3%
HV 20d	3.7%	3.1%	4.1%	4.1%	3.7%
HV 60d	4.5%	3.9%	5.4%	5.4%	3.9%
IV Rank	7.6%	0.1%	49.8%	9.7%	1.5%
IV Percentile	49.3%	0.4%	86.5%	71.8%	23.0%
Term Structure	-6.0%	-79.8%	49.7%	49.7%	2.2%
VWIV	8.6%	6.1%	12.2%	6.1%	12.2%
Skew 25d	-1.6%	-26.2%	18.0%	-22.0%	6.9%
Skew 10d	0.8%	-69.3%	59.9%	-2.4%	7.0%
Call IV 25d	36.6%	5.8%	94.9%	94.9%	5.8%
Put IV 25d	34.9%	6.3%	111.4%	72.9%	12.7%
Bid-Ask Spread %	144.93	23.31	200.00	161.84	135.93
Gamma HHI	0.69	0.55	0.86	0.79	0.86
Net GEX	-20.0K	-28.3K	-7.8K	-20.5K	-16.9K
Net DEX	136.1K	105.8K	167.1K	162.2K	131.2K
Net VEX	-669	-843	-534	-663	-681
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	2.00	2.00	0.00
Total Volume	3.684	0	46	0	0
Total OI	196.632	169	212	198	174

Daily Data (19 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
2012-09-04	$25.48	$25.00	22.7%	6.5%	4.1%	9.7%	0.0%	-22.0%	49.7%	-20.5K	162.2K	-663	0.00	161.84	N/A	N/A	0	0	9	189
2012-09-05	$25.45	$25.00	8.8%	2.5%	4.0%	1.8%	0.0%	-23.3%	-3.4%	-22.8K	147.6K	-663	0.00	49.16	N/A	N/A	0	1	9	189
2012-09-06	$25.48	$25.00	9.5%	2.7%	4.0%	2.2%	0.0%	-26.2%	-3.6%	-22.5K	143.2K	-663	0.00	23.31	N/A	N/A	0	0	9	190
2012-09-07	$25.54	$26.00	74.5%	20.5%	4.1%	39.4%	0.0%	10.5%	-35.4%	-12.2K	120.6K	-706	0.00	200.00	N/A	N/A	0	0	9	190
2012-09-10	$25.53	$26.00	11.8%	1.9%	4.1%	3.5%	0.0%	1.0%	4.6%	-22.4K	144.8K	-651	0.00	61.39	N/A	N/A	0	0	9	190
2012-09-11	$25.60	$26.00	16.2%	12.4%	4.1%	6.0%	6.1%	11.8%	-29.6%	-7.8K	156.7K	-821	0.00	185.19	N/A	N/A	0	15	9	190
2012-09-12	$25.66	$26.00	15.8%	12.4%	4.1%	5.8%	0.0%	12.8%	-34.2%	-9.1K	167.1K	-843	0.00	185.19	N/A	N/A	0	0	9	200
2012-09-13	$25.74	$26.00	9.9%	2.8%	3.1%	2.7%	0.0%	-16.4%	0.7%	-22.3K	119.2K	-647	0.00	163.70	N/A	N/A	0	0	9	200
2012-09-14	$25.67	$26.00	10.7%	3.1%	3.2%	3.2%	0.0%	1.2%	0.6%	-25.7K	122.3K	-596	0.00	171.05	N/A	N/A	0	0	9	200
2012-09-17	$25.61	$26.00	10.7%	3.1%	3.4%	3.2%	0.0%	0.0%	3.4%	-25.2K	138.2K	-630	2.00	162.91	N/A	N/A	1	2	9	200
2012-09-18	$25.67	$26.00	10.5%	3.0%	3.3%	3.1%	0.0%	0.0%	0.4%	-28.3K	120.7K	-581	0.00	163.83	N/A	N/A	0	0	10	202
2012-09-19	$25.75	$26.00	83.7%	24.0%	3.4%	49.8%	0.0%	18.0%	-79.8%	-10.6K	152.2K	-792	0.00	198.52	N/A	N/A	0	0	10	202
2012-09-20	$25.72	$26.00	10.5%	3.0%	3.5%	3.1%	0.0%	0.1%	5.2%	-25.6K	137.0K	-729	0.00	162.10	N/A	N/A	0	0	10	202
2012-09-21	$25.83	$26.00	10.0%	2.9%	3.6%	2.8%	0.0%	0.3%	7.7%	-22.1K	115.6K	-614	0.00	166.25	N/A	N/A	0	0	10	202
2012-09-24	$25.80	$26.00	5.8%	1.7%	3.6%	0.1%	0.0%	-0.1%	-0.6%	-26.1K	105.8K	-534	0.00	114.31	N/A	N/A	0	0	3	166
2012-09-25	$25.79	$26.00	8.8%	2.5%	3.6%	2.0%	7.4%	-0.4%	-1.0%	-20.1K	139.1K	-610	0.00	149.25	N/A	N/A	5	0	3	166
2012-09-26	$25.77	$26.00	9.9%	2.9%	3.6%	2.7%	12.2%	-3.0%	-1.1%	-22.4K	133.0K	-601	0.00	149.56	N/A	N/A	0	46	8	166
2012-09-27	$25.88	$25.00	9.4%	2.7%	3.8%	2.4%	0.0%	-1.9%	-0.2%	-17.7K	128.7K	-685	0.00	150.12	N/A	N/A	0	0	8	166
2012-09-28	$25.86	$25.00	8.1%	2.3%	3.7%	1.5%	0.0%	6.9%	2.2%	-16.9K	131.2K	-681	0.00	135.93	N/A	N/A	0	0	8	166