PCEF Options History — January 2013 In January 2013, PCEF traded between $25.60 and $26.19. ATM implied volatility averaged 15.0%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.8% (HV 20d: 8.2%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-01-25 : Highest Volume — 79 contracts2013-01-25 : Largest IV spike — 1314.5% change2013-01-25 : Highest IV Rank — 56.7%2013-01-25 : Largest Expected Move — 27.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.97 $25.60 $26.19 $25.65 $26.07 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 15.0% 6.2% 94.5% 13.7% 8.0% Expected Move 4.1% 1.8% 27.1% 3.9% 2.3% HV 20d 8.2% 4.6% 8.5% 8.3% 4.6% HV 60d 12.1% 11.9% 12.2% 12.2% 11.9% IV Rank 5.9% 0.3% 56.7% 5.1% 1.5% IV Percentile 36.4% 2.0% 97.6% 79.8% 32.5% Term Structure 0.3% -31.5% 58.4% -0.7% -2.9% Skew 25d 10.7% 0.2% 122.8% 2.4% 1.9% Skew 10d 15.5% -0.9% 137.6% 7.4% 4.1% Call IV 25d 7.2% 6.3% 9.5% 7.8% 8.6% Put IV 25d 17.9% 7.5% 129.1% 10.2% 10.6% Bid-Ask Spread % 140.08 128.02 193.65 149.58 133.50 Gamma HHI 0.48 0.33 0.91 0.41 0.39 Net GEX -6.7K -13.1K -1.8K -6.8K -12.0K Net DEX 5.0K -35.3K 57.2K 57.2K 36.8K Net VEX -342 -584 -116 -185 -569 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 6.714 0 79 27 0 Total OI 118.905 62 197 62 197
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 2013-01-02 $25.65 $24.00 13.7% 3.9% 8.3% 5.1% 0.0% 2.4% -0.7% -6.8K 57.2K -185 0.00 149.58 N/A N/A 27 0 7 55 2013-01-03 $25.60 $24.00 9.0% 2.6% 8.3% 2.1% 0.0% 0.5% -0.9% -1.8K 25.8K -377 0.00 128.02 N/A N/A 0 0 34 55 2013-01-04 $25.71 $0.00 12.9% 2.7% 8.4% 4.6% 0.0% 0.2% -0.3% -2.0K 24.4K -351 0.00 159.69 N/A N/A 4 0 34 55 2013-01-07 $25.77 $0.00 13.9% 2.8% 8.4% 5.3% 0.0% 3.4% -0.3% -2.2K 21.6K -337 0.00 153.13 N/A N/A 0 0 34 55 2013-01-08 $25.83 $0.00 11.9% 2.2% 8.4% 4.0% 0.0% 0.6% -0.3% -2.2K -28.6K -117 0.00 135.38 N/A N/A 0 0 34 55 2013-01-09 $25.94 $0.00 10.6% 2.0% 8.4% 3.1% 0.0% 1.1% 0.4% -3.6K -32.3K -116 0.00 133.54 N/A N/A 0 0 34 55 2013-01-10 $26.00 $0.00 6.9% 2.0% 8.4% 0.8% 0.0% 0.7% -0.3% -3.7K -35.3K -120 0.00 131.27 N/A N/A 0 0 34 55 2013-01-11 $26.02 $0.00 6.8% 2.0% 8.4% 0.7% 0.0% 2.5% -1.8% -2.8K -24.3K -204 0.00 133.87 N/A N/A 0 10 34 55 2013-01-14 $26.01 $0.00 7.5% 2.2% 8.2% 1.2% 0.0% 2.7% -0.4% -5.1K -1.9K -343 0.00 134.12 N/A N/A 0 0 34 65 2013-01-15 $25.81 $0.00 7.4% 2.1% 8.4% 1.1% 0.0% 1.4% -1.1% -4.8K 5.9K -359 0.00 136.29 N/A N/A 0 20 34 65 2013-01-16 $25.84 $0.00 7.1% 2.0% 8.4% 0.9% 0.0% 0.8% -0.5% -8.7K 18.5K -427 0.00 130.45 N/A N/A 0 0 34 85 2013-01-17 $25.98 $0.00 6.2% 1.8% 8.5% 0.3% 0.0% 1.1% -1.2% -8.9K 5.5K -398 0.00 137.32 N/A N/A 0 0 34 85 2013-01-18 $26.06 $0.00 6.3% 1.8% 8.5% 0.4% 0.0% 1.2% -1.3% -8.8K -992 -385 0.00 136.66 N/A N/A 0 0 34 85 2013-01-22 $26.11 $0.00 6.4% 1.8% 8.5% 0.5% 0.0% 2.2% -1.5% -9.4K -9.7K -348 0.00 133.50 N/A N/A 0 0 34 83 2013-01-23 $26.17 $0.00 6.5% 1.9% 8.4% 0.5% 0.0% 2.1% -1.7% -9.5K -18.5K -326 0.00 133.36 N/A N/A 0 0 34 83 2013-01-24 $26.17 $0.00 6.7% 1.9% 8.4% 0.6% 0.0% 2.1% -1.9% -9.1K -17.0K -313 0.00 133.36 N/A N/A 0 1 34 83 2013-01-25 $26.19 $0.00 94.5% 27.1% 8.4% 56.7% 0.0% 122.8% -31.5% -2.3K 33.8K -468 0.00 193.65 N/A N/A 0 79 34 84 2013-01-28 $26.14 $0.00 7.3% 2.1% 8.3% 1.1% 0.0% 2.8% -2.1% -13.1K 29.4K -584 0.00 133.24 N/A N/A 0 0 34 163 2013-01-29 $26.13 $0.00 7.0% 2.0% 8.2% 0.8% 0.0% 2.2% -2.3% -12.3K 31.7K -582 0.00 133.24 N/A N/A 0 0 34 163 2013-01-30 $26.09 $0.00 57.7% 16.5% 8.2% 33.2% 0.0% 69.1% 58.4% -11.0K -16.6K -276 0.00 148.60 N/A N/A 0 0 34 163 2013-01-31 $26.07 $0.00 8.0% 2.3% 4.6% 1.5% 0.0% 1.9% -2.9% -12.0K 36.8K -569 0.00 133.50 N/A N/A 0 0 34 163
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