PCEF Options History — November 2012

In November 2012, PCEF traded between $23.86 and $25.76. ATM implied volatility averaged 19.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.4% (HV 20d: 12.9%). 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 5 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-11-14: Highest Volume — 16 contracts
  • 2012-11-05: Largest IV drop — 79.4% change
  • 2012-11-02: Highest IV Rank — 44.6%
  • 2012-11-02: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.16$23.86$25.76$25.76$25.28
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.4%6.8%75.5%73.1%7.5%
Expected Move4.5%1.9%21.6%20.9%2.2%
HV 20d12.9%6.4%18.9%6.6%18.5%
HV 60d8.4%4.9%11.4%4.9%11.4%
IV Rank8.7%0.7%44.6%43.0%1.2%
IV Percentile54.7%6.0%94.0%93.3%16.3%
Term Structure1.1%-8.9%28.2%28.2%-2.0%
VWIV15.6%15.6%15.6%15.6%15.6%
Skew 25d-7.8%-17.2%6.0%2.8%-16.6%
Skew 10d-13.1%-20.8%2.8%2.8%-20.8%
Call IV 25d32.6%7.7%143.4%137.8%29.4%
Put IV 25d24.8%9.5%144.6%140.6%12.9%
Bid-Ask Spread %134.15101.39200.00200.00117.94
Gamma HHI0.750.490.910.490.91
Net GEX-32.0K-48.9K-8.6K-8.6K-48.9K
Net DEX190.5K134.2K319.1K163.1K165.8K
Net VEX-464-674-324-674-401
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.38101600
Total OI176.524164193164193

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$25.76$0.0073.1%20.9%6.6%43.0%0.0%2.8%28.2%-8.6K163.1K-6740.00200.00N/AN/A003161
2012-11-02$25.68$0.0075.5%21.6%6.7%44.6%0.0%1.1%27.4%-8.6K165.4K-6680.00200.00N/AN/A003161
2012-11-05$25.61$25.0015.6%3.1%6.6%6.3%0.0%-13.3%-7.2%-24.0K141.3K-4570.00129.84N/AN/A003161
2012-11-06$25.70$25.0015.2%3.3%6.8%6.0%0.0%-14.5%-8.9%-23.3K134.2K-4720.00129.33N/AN/A003161
2012-11-07$25.48$25.0018.2%2.9%7.3%8.0%0.0%-13.2%-1.9%-25.3K152.4K-4340.00131.79N/AN/A003161
2012-11-08$25.41$25.0017.8%2.6%7.0%7.7%0.0%-13.8%-1.8%-28.3K149.9K-4870.00124.32N/AN/A033161
2012-11-09$25.37$25.0013.9%2.4%6.5%5.2%0.0%-7.6%-0.0%-39.6K157.9K-4660.00101.39N/AN/A003164
2012-11-12$25.35$25.0023.1%2.7%6.4%11.1%0.0%-12.4%-3.1%-29.9K159.1K-4730.00131.51N/AN/A003164
2012-11-13$25.20$25.0021.1%2.2%6.5%9.8%0.0%-8.9%0.2%-34.6K172.3K-4810.00128.70N/AN/A003164
2012-11-14$24.44$25.0033.9%3.3%12.3%18.0%15.6%6.0%2.6%-22.3K255.9K-3570.00128.82N/AN/A0163164
2012-11-15$23.86$25.0016.6%4.7%14.1%6.9%0.0%0.1%-4.0%-17.4K319.1K-3240.00130.03N/AN/A003180
2012-11-16$24.41$25.0013.1%3.7%17.0%4.7%0.0%5.8%3.8%-24.1K276.4K-4590.00134.81N/AN/A003180
2012-11-19$24.80$25.007.5%2.2%18.2%1.2%0.0%0.9%-0.4%-36.5K251.3K-4520.00131.40N/AN/A003180
2012-11-20$24.84$25.007.3%2.1%18.2%1.0%0.0%-0.9%-0.6%-38.8K247.1K-4500.00131.22N/AN/A023180
2012-11-21$25.04$25.006.8%1.9%18.6%0.7%0.0%-7.5%-0.4%-45.4K216.3K-4930.00127.48N/AN/A003182
2012-11-23$25.24$25.007.9%2.3%18.8%1.4%0.0%-12.7%-0.9%-41.7K175.3K-4630.00130.69N/AN/A023182
2012-11-26$25.16$25.007.9%2.3%18.8%1.4%0.0%-12.1%-1.6%-43.1K186.9K-4460.00130.33N/AN/A003184
2012-11-27$25.20$25.007.6%2.2%18.8%1.2%0.0%-13.4%-0.9%-45.1K179.9K-4390.00130.35N/AN/A603184
2012-11-28$25.25$25.009.2%2.6%18.9%2.2%0.0%-15.5%-2.4%-40.3K175.2K-4190.00131.14N/AN/A009184
2012-11-29$25.33$25.007.8%2.2%18.8%1.4%0.0%-17.2%-2.1%-45.7K155.4K-4240.00115.98N/AN/A009184
2012-11-30$25.28$25.007.5%2.2%18.5%1.2%0.0%-16.6%-2.0%-48.9K165.8K-4010.00117.94N/AN/A009184