PCEF Options History — December 2012 In December 2012, PCEF traded between $25.01 and $25.30. ATM implied volatility averaged 13.7%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.8% (HV 20d: 10.9%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2012-12-18 : Highest Volume — 2 contracts2012-12-31 : Largest IV spike — 1138.6% change2012-12-31 : Highest IV Rank — 64.0%2012-12-31 : Largest Expected Move — 30.4%Monthly Statistics Metric Avg Min Max Open Close Price $25.15 $25.01 $25.30 $25.22 $25.14 Max Pain $24.20 $24.00 $25.00 $25.00 $24.00 ATM IV 13.7% 5.8% 106.0% 9.8% 106.0% Expected Move 3.7% 1.7% 30.4% 2.8% 30.4% HV 20d 10.9% 3.7% 18.5% 18.5% 4.2% HV 60d 11.4% 11.3% 11.4% 11.4% 11.4% IV Rank 5.1% 0.1% 64.0% 2.6% 64.0% IV Percentile 38.1% 0.8% 98.8% 50.4% 98.8% Term Structure -3.3% -37.6% 4.4% -4.0% -37.6% Skew 25d 2.3% -21.6% 128.0% -20.0% 128.0% Skew 10d 1.9% -30.2% 135.7% -28.0% 135.7% Call IV 25d 13.6% 7.4% 33.2% 31.6% 10.8% Put IV 25d 15.9% 7.3% 138.8% 11.6% 138.8% Bid-Ask Spread % 143.73 122.10 194.14 122.98 194.14 Gamma HHI 0.75 0.32 0.95 0.87 0.32 Net GEX -42.1K -80.0K -2.3K -42.5K -2.3K Net DEX 145.6K 59.7K 196.6K 173.7K 59.7K Net VEX -295 -425 -159 -425 -272 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.1 0 2 0 0 Total OI 160.55 62 195 193 62
Daily Data (20 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 2012-12-03 $25.22 $25.00 9.8% 2.8% 18.5% 2.6% 0.0% -20.0% -4.0% -42.5K 173.7K -425 0.00 122.98 N/A N/A 0 0 9 184 2012-12-04 $25.22 $25.00 10.1% 2.9% 18.5% 2.8% 0.0% -20.5% -4.0% -42.7K 172.8K -414 0.00 123.48 N/A N/A 0 0 9 184 2012-12-05 $25.20 $25.00 9.8% 2.8% 18.4% 2.6% 0.0% -21.6% -4.3% -44.8K 176.1K -405 0.00 122.98 N/A N/A 0 0 9 184 2012-12-06 $25.18 $25.00 9.5% 2.7% 18.2% 2.5% 0.0% -20.2% -3.1% -47.3K 179.2K -397 0.00 123.11 N/A N/A 0 0 9 184 2012-12-07 $25.16 $24.00 9.8% 2.1% 18.2% 2.7% 0.0% -0.7% -1.0% -47.7K 182.9K -389 0.00 153.79 N/A N/A 0 0 9 184 2012-12-10 $25.15 $24.00 8.3% 1.7% 18.2% 1.6% 0.0% -0.5% 0.9% -63.2K 196.6K -308 0.00 122.10 N/A N/A 0 0 9 184 2012-12-11 $25.23 $24.00 13.6% 2.2% 18.2% 5.1% 0.0% -0.6% -1.8% -43.1K 171.0K -354 0.00 156.46 N/A N/A 0 0 9 184 2012-12-12 $25.30 $24.00 14.2% 2.8% 18.1% 5.4% 0.0% -1.7% -4.3% -44.6K 167.5K -304 0.00 155.10 N/A N/A 0 0 9 184 2012-12-13 $25.21 $24.00 7.4% 2.1% 14.1% 1.1% 0.0% 1.5% 0.0% -42.3K 152.9K -346 0.00 157.61 N/A N/A 0 0 9 184 2012-12-14 $25.05 $24.00 7.5% 2.2% 10.9% 1.2% 0.0% 1.0% -0.0% -67.1K 176.5K -335 0.00 154.35 N/A N/A 0 0 9 184 2012-12-17 $25.05 $24.00 7.4% 2.1% 7.8% 1.1% 0.0% 0.5% -0.5% -74.3K 176.4K -292 0.00 153.53 N/A N/A 0 0 9 184 2012-12-18 $25.09 $24.00 7.0% 2.0% 5.6% 0.8% 0.0% -1.2% -2.1% -80.0K 165.7K -233 0.00 125.50 N/A N/A 0 2 9 184 2012-12-19 $25.10 $24.00 7.3% 2.1% 5.6% 1.0% 0.0% -0.7% -0.8% -68.2K 163.2K -269 0.00 156.17 N/A N/A 0 0 9 186 2012-12-20 $25.16 $24.00 8.3% 2.4% 4.9% 1.7% 0.0% -0.2% -2.4% -55.3K 153.5K -250 0.00 147.71 N/A N/A 0 0 9 186 2012-12-21 $25.13 $24.00 8.0% 2.3% 4.0% 1.5% 0.0% 0.7% -0.9% -48.3K 164.9K -231 0.00 144.53 N/A N/A 0 0 9 186 2012-12-24 $25.17 $24.00 7.9% 2.3% 3.8% 1.4% 0.0% -0.2% -2.5% -7.0K 64.3K -177 0.00 138.31 N/A N/A 0 0 7 55 2012-12-26 $25.15 $24.00 5.8% 1.7% 3.8% 0.1% 0.0% 2.3% 4.4% -6.7K 69.8K -171 0.00 145.65 N/A N/A 0 0 7 55 2012-12-27 $25.07 $24.00 7.9% 2.3% 3.9% 1.4% 0.0% 0.8% -0.3% -6.8K 72.6K -159 0.00 137.10 N/A N/A 0 0 7 55 2012-12-28 $25.01 $24.00 8.6% 2.5% 3.7% 1.8% 0.0% -0.3% -1.6% -6.9K 73.6K -160 0.00 139.94 N/A N/A 0 0 7 55 2012-12-31 $25.14 $24.00 106.0% 30.4% 4.2% 64.0% 0.0% 128.0% -37.6% -2.3K 59.7K -272 0.00 194.14 N/A N/A 0 0 7 55
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