PCEF Options History — February 2013 In February 2013, PCEF traded between $25.82 and $26.23. ATM implied volatility averaged 11.0%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 6.0% (HV 20d: 5.0%). 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 2 of 19 days. Put/call ratio averaged 0.03.
Notable Days 2013-02-25 : Highest Volume — 105 contracts2013-02-12 : Largest IV spike — 1214.4% change2013-02-12 : Highest IV Rank — 46.6%2013-02-12 : Largest Expected Move — 22.6%Monthly Statistics Metric Avg Min Max Open Close Price $26.10 $25.82 $26.23 $26.17 $26.06 Max Pain $25.95 $25.00 $26.00 $25.00 $26.00 ATM IV 11.0% 5.8% 78.7% 8.9% 8.0% Expected Move 3.0% 1.7% 22.6% 1.8% 2.3% HV 20d 5.0% 4.1% 5.9% 4.6% 5.9% HV 60d 8.7% 6.2% 11.9% 11.9% 6.4% IV Rank 3.4% 0.1% 46.6% 2.0% 1.4% IV Percentile 24.3% 0.8% 96.8% 47.2% 29.8% Term Structure -3.3% -36.9% 0.4% 0.2% -2.4% VWIV 7.9% 6.0% 9.7% 9.7% 6.0% Skew 25d -0.3% -6.0% 1.9% 0.9% -0.6% Skew 10d 2.5% -0.4% 24.4% 2.8% -0.0% Call IV 25d 12.9% 6.8% 84.7% 7.3% 11.2% Put IV 25d 12.5% 7.0% 78.7% 8.2% 10.6% Bid-Ask Spread % 134.33 111.11 194.29 144.02 139.22 Gamma HHI 0.46 0.38 0.65 0.40 0.59 Net GEX -20.0K -33.5K -9.6K -11.7K -16.7K Net DEX 76.9K -114.1K 183.1K 27.1K -114.1K Net VEX -587 -966 -263 -564 -579 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.03 0.00 0.05 0.00 0.05 Total Volume 9.368 0 105 0 1 Total OI 204.526 170 305 197 305
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 2013-02-01 $26.17 $25.00 8.9% 1.8% 4.6% 2.0% 0.0% 0.9% 0.2% -11.7K 27.1K -564 0.00 144.02 N/A N/A 0 0 34 163 2013-02-04 $26.04 $26.00 8.5% 2.1% 4.9% 1.8% 0.0% -0.5% -0.7% -15.5K 59.7K -271 0.00 113.63 N/A N/A 0 0 7 163 2013-02-05 $26.20 $26.00 9.4% 1.8% 5.3% 2.4% 0.0% -0.3% -0.2% -16.8K 73.5K -444 0.00 111.11 N/A N/A 0 39 7 163 2013-02-06 $26.18 $26.00 10.0% 1.9% 5.3% 2.8% 0.0% 0.7% -0.2% -17.8K 92.8K -533 0.00 115.99 N/A N/A 0 0 7 178 2013-02-07 $26.18 $26.00 6.9% 2.0% 5.1% 0.7% 9.7% 1.9% -0.3% -19.4K 149.0K -945 0.00 122.05 N/A N/A 0 3 7 178 2013-02-08 $26.23 $26.00 5.8% 1.7% 5.1% 0.1% 0.0% 0.8% -0.8% -14.8K 99.2K -574 0.00 134.43 N/A N/A 0 0 7 175 2013-02-11 $26.21 $26.00 6.0% 1.7% 5.1% 0.2% 6.0% 0.4% 0.4% -13.0K 66.2K -334 0.00 124.92 N/A N/A 6 0 7 175 2013-02-12 $26.22 $26.00 78.7% 22.6% 5.1% 46.6% 0.0% -6.0% -36.9% -9.6K 183.1K -966 0.00 194.29 N/A N/A 0 0 1 175 2013-02-13 $26.22 $26.00 8.2% 2.4% 4.1% 1.6% 0.0% -0.2% -2.8% -21.3K 153.6K -835 0.00 142.72 N/A N/A 0 0 1 175 2013-02-14 $26.23 $26.00 6.2% 1.8% 4.1% 0.4% 0.0% -0.6% -1.0% -19.2K 115.4K -574 0.00 124.97 N/A N/A 0 10 1 175 2013-02-15 $26.05 $26.00 6.3% 1.8% 4.5% 0.4% 0.0% -0.4% -2.4% -28.6K 126.5K -791 0.00 143.00 N/A N/A 0 0 1 185 2013-02-19 $26.14 $26.00 7.4% 2.1% 4.6% 1.1% 0.0% -0.9% -3.2% -26.3K 119.4K -754 0.00 125.66 N/A N/A 0 14 1 185 2013-02-20 $26.03 $26.00 6.5% 1.8% 4.8% 0.5% 0.0% -0.9% -3.2% -31.0K 85.4K -263 0.00 138.74 N/A N/A 0 0 1 199 2013-02-21 $25.91 $26.00 5.9% 1.7% 4.9% 0.1% 0.0% -0.2% -1.2% -33.5K 94.4K -266 0.00 134.43 N/A N/A 0 0 1 199 2013-02-22 $25.96 $26.00 6.6% 1.9% 5.0% 0.6% 0.0% -0.6% -1.5% -30.5K 126.4K -454 0.00 139.95 N/A N/A 0 0 1 199 2013-02-25 $25.82 $26.00 6.6% 1.9% 5.3% 0.6% 0.0% -0.5% -2.4% -29.7K 153.7K -533 0.05 133.67 N/A N/A 100 5 1 199 2013-02-26 $25.93 $26.00 6.7% 1.9% 5.5% 0.7% 0.0% 0.3% -1.7% -12.2K -90.1K -621 0.00 139.47 N/A N/A 0 0 101 204 2013-02-27 $26.07 $26.00 7.2% 2.1% 5.9% 0.9% 0.0% 0.1% -1.7% -12.1K -59.7K -848 0.00 130.07 N/A N/A 0 0 101 204 2013-02-28 $26.06 $26.00 8.0% 2.3% 5.9% 1.4% 0.0% -0.6% -2.4% -16.7K -114.1K -579 0.00 139.22 N/A N/A 0 1 101 204
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