PCEF Options History — October 2012 In October 2012, PCEF traded between $25.52 and $26.06. ATM implied volatility averaged 22.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 17.9% (HV 20d: 4.9%). 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 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2012-10-08 : Highest Volume — 3 contracts2012-10-04 : Largest IV spike — 1079.8% change2012-10-04 : Highest IV Rank — 70.5%2012-10-04 : Largest Expected Move — 33.3%Monthly Statistics Metric Avg Min Max Open Close Price $25.79 $25.52 $26.06 $25.95 $25.52 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 22.8% 7.4% 116.1% 8.3% 35.8% Expected Move 6.5% 1.8% 33.3% 2.4% 10.3% HV 20d 4.9% 3.5% 5.8% 3.7% 5.5% HV 60d 4.3% 3.8% 4.6% 3.9% 4.6% IV Rank 10.9% 1.1% 70.5% 1.7% 19.2% IV Percentile 59.0% 13.1% 96.8% 27.0% 88.9% Term Structure -1.1% -45.9% 20.0% -0.8% 20.0% Skew 25d 8.6% -1.5% 142.8% -0.0% 2.1% Skew 10d 9.0% -2.3% 148.6% 3.8% 2.2% Call IV 25d 19.3% 8.0% 91.1% 8.1% 8.5% Put IV 25d 27.8% 7.7% 151.3% 8.1% 10.6% Bid-Ask Spread % 162.24 93.79 200.00 145.42 200.00 Gamma HHI 0.73 0.50 0.88 0.83 0.50 Net GEX -18.6K -26.9K -3.0K -17.1K -3.0K Net DEX 125.2K 36.9K 157.8K 123.4K 36.9K Net VEX -589 -841 -182 -662 -182 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 0.238 0 3 0 0 Total OI 164.333 48 174 174 48
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 2012-10-01 $25.95 $25.00 8.3% 2.4% 3.7% 1.7% 0.0% -0.0% -0.8% -17.1K 123.4K -662 0.00 145.42 N/A N/A 0 0 8 166 2012-10-02 $25.94 $25.00 7.4% 2.1% 3.6% 1.1% 0.0% 0.1% -2.0% -19.6K 111.9K -666 0.00 93.79 N/A N/A 0 0 8 166 2012-10-03 $25.92 $25.00 9.8% 2.8% 3.5% 2.7% 0.0% -0.1% -1.9% -17.3K 126.3K -646 0.00 146.37 N/A N/A 0 0 8 166 2012-10-04 $25.98 $25.00 116.1% 33.3% 3.6% 70.5% 0.0% 142.8% -45.9% -7.1K 157.8K -841 0.00 196.55 N/A N/A 0 0 8 166 2012-10-05 $26.02 $0.00 10.6% 2.4% 3.5% 3.1% 0.0% -0.6% 9.8% -16.6K 120.3K -648 0.00 165.69 N/A N/A 0 0 8 166 2012-10-08 $26.06 $0.00 70.9% 21.0% 3.5% 41.6% 0.0% 3.9% -24.7% -9.5K 146.6K -791 0.00 200.00 N/A N/A 0 3 8 166 2012-10-09 $25.89 $0.00 9.3% 1.8% 4.4% 2.3% 0.0% -1.5% 11.1% -17.7K 121.8K -619 0.00 112.06 N/A N/A 0 0 8 163 2012-10-10 $25.69 $0.00 76.0% 21.7% 5.2% 44.9% 0.0% -1.2% -26.7% -17.5K 127.2K -656 0.00 198.52 N/A N/A 0 0 8 163 2012-10-11 $25.78 $0.00 12.5% 3.6% 5.2% 4.3% 0.0% 0.0% 11.6% -16.4K 132.6K -636 0.00 175.69 N/A N/A 0 0 8 163 2012-10-12 $25.82 $0.00 10.9% 3.1% 5.1% 3.3% 0.0% 0.7% 9.3% -19.3K 127.4K -615 0.00 166.89 N/A N/A 0 0 8 163 2012-10-15 $25.71 $0.00 10.4% 3.0% 5.3% 3.0% 0.0% 0.1% 6.1% -21.0K 133.5K -574 0.00 166.69 N/A N/A 0 0 8 163 2012-10-16 $25.84 $0.00 10.0% 2.9% 5.5% 2.7% 0.0% -0.5% 4.9% -18.1K 114.6K -611 0.00 167.57 N/A N/A 2 0 8 163 2012-10-17 $25.86 $0.00 9.7% 2.8% 5.5% 2.6% 0.0% -0.3% 5.5% -19.6K 120.6K -584 0.00 167.44 N/A N/A 0 0 8 163 2012-10-18 $25.80 $0.00 9.4% 2.7% 5.5% 2.4% 0.0% 0.2% 6.6% -20.4K 123.6K -575 0.00 161.35 N/A N/A 0 0 8 163 2012-10-19 $25.67 $0.00 12.4% 3.6% 5.6% 4.3% 0.0% 0.7% 3.7% -21.8K 135.7K -555 0.00 168.84 N/A N/A 0 0 8 163 2012-10-22 $25.69 $0.00 11.7% 3.4% 5.6% 3.9% 0.0% 1.3% 2.3% -23.5K 136.9K -518 0.00 164.57 N/A N/A 0 0 3 161 2012-10-23 $25.59 $0.00 11.7% 3.4% 5.7% 3.8% 0.0% 20.0% -2.4% -26.0K 139.3K -515 0.00 151.44 N/A N/A 0 0 3 161 2012-10-24 $25.62 $0.00 12.1% 3.5% 5.8% 4.1% 0.0% 1.7% -3.6% -26.5K 132.9K -501 0.00 154.88 N/A N/A 0 0 3 161 2012-10-25 $25.63 $0.00 11.8% 3.4% 5.5% 3.9% 0.0% 2.1% -2.7% -26.6K 131.3K -480 0.00 152.92 N/A N/A 0 0 3 161 2012-10-26 $25.64 $0.00 11.6% 3.3% 5.5% 3.8% 0.0% 2.1% -2.9% -26.9K 127.7K -485 0.00 150.32 N/A N/A 0 0 3 161 2012-10-31 $25.52 $0.00 35.8% 10.3% 5.5% 19.2% 0.0% 0.0% 20.0% -3.0K 36.9K -182 0.00 200.00 N/A N/A 0 0 0 48
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