PCEF Options History — March 2013

In March 2013, PCEF traded between $25.93 and $26.34. ATM implied volatility averaged 9.2%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 3.4% (HV 20d: 5.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2013-03-25: Highest Volume — 25 contracts
2013-03-14: Largest IV drop — 69.6% change
2013-03-12: Highest IV Rank — 9.9%
2013-03-12: Largest Expected Move — 2.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.16	$25.93	$26.34	$26.13	$26.18
Max Pain	$25.05	$25.00	$26.00	$26.00	$25.00
ATM IV	9.2%	4.6%	21.3%	8.3%	7.1%
Expected Move	1.9%	1.3%	2.6%	2.4%	2.0%
HV 20d	5.9%	5.1%	7.1%	6.0%	5.9%
HV 60d	6.6%	6.1%	6.9%	6.4%	6.8%
IV Rank	2.5%	0.0%	9.9%	1.6%	1.6%
IV Percentile	33.8%	0.0%	88.9%	35.3%	15.9%
Term Structure	-1.5%	-3.5%	1.0%	-2.3%	-3.3%
VWIV	8.0%	8.0%	8.0%	8.0%	8.0%
Skew 25d	0.7%	-2.1%	3.8%	0.1%	2.0%
Skew 10d	1.1%	-2.9%	4.7%	0.3%	4.7%
Call IV 25d	8.0%	5.9%	11.2%	11.2%	7.0%
Put IV 25d	8.7%	6.7%	11.3%	11.3%	9.0%
Bid-Ask Spread %	123.04	113.91	139.22	139.22	117.05
Gamma HHI	0.55	0.39	0.76	0.58	0.63
Net GEX	-11.7K	-28.4K	7.8K	-18.5K	4.5K
Net DEX	-94.1K	-209.8K	20.2K	-183.4K	-203.4K
Net VEX	-806	-1.3K	-214	-214	-401
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	1.43	0.00	0.00
Total Volume	3.45	0	25	0	0
Total OI	298.5	257	328	306	285

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
2013-03-01	$26.13	$26.00	8.3%	2.4%	6.0%	1.6%	0.0%	0.1%	-2.3%	-18.5K	-183.4K	-214	0.00	139.22	N/A	N/A	0	0	101	205
2013-03-04	$26.14	$25.00	8.6%	1.7%	5.8%	1.8%	0.0%	-0.8%	-0.1%	-20.6K	-117.7K	-620	0.00	137.39	N/A	N/A	0	7	101	205
2013-03-05	$26.20	$25.00	9.4%	1.6%	5.5%	2.3%	0.0%	1.1%	-1.2%	-15.8K	-51.9K	-1.2K	0.00	116.56	N/A	N/A	0	15	101	212
2013-03-06	$26.18	$25.00	10.1%	1.5%	5.1%	2.7%	0.0%	1.2%	1.0%	-17.2K	-27.8K	-891	0.00	131.05	N/A	N/A	0	0	101	227
2013-03-07	$26.24	$25.00	9.9%	1.8%	5.2%	2.6%	0.0%	0.5%	0.3%	-21.7K	-46.8K	-1.2K	0.00	117.47	N/A	N/A	0	0	101	227
2013-03-08	$26.30	$25.00	12.3%	1.8%	5.2%	4.1%	0.0%	0.4%	0.4%	-28.4K	-139.4K	-559	0.00	116.68	N/A	N/A	0	0	101	227
2013-03-11	$26.34	$25.00	15.9%	1.9%	5.2%	6.5%	0.0%	2.4%	-1.3%	-23.5K	-133.5K	-722	0.00	120.78	N/A	N/A	0	0	101	227
2013-03-12	$26.32	$25.00	21.3%	2.6%	5.2%	9.9%	0.0%	-1.6%	-1.3%	-21.8K	-10.3K	-1.3K	0.00	128.21	N/A	N/A	2	0	101	227
2013-03-13	$26.31	$25.00	19.7%	2.2%	5.2%	8.9%	0.0%	-2.1%	-3.5%	-27.5K	-89.6K	-924	0.00	120.87	N/A	N/A	0	0	101	227
2013-03-14	$26.28	$25.00	6.0%	1.7%	5.2%	0.1%	0.0%	0.5%	-2.2%	-17.0K	2.9K	-1.2K	0.00	121.85	N/A	N/A	0	0	101	227
2013-03-15	$25.93	$25.00	5.9%	1.7%	7.1%	0.1%	0.0%	-0.4%	-0.8%	-23.6K	20.2K	-1.2K	0.00	120.46	N/A	N/A	0	0	101	227
2013-03-18	$25.97	$25.00	4.6%	1.3%	6.7%	0.0%	0.0%	1.6%	0.4%	79	-100.6K	-669	1.43	113.91	N/A	N/A	7	10	100	157
2013-03-19	$25.95	$25.00	6.3%	1.8%	6.6%	1.1%	0.0%	0.8%	-3.0%	-1.7K	-64.6K	-914	0.00	122.52	N/A	N/A	0	0	100	162
2013-03-20	$26.06	$25.00	6.1%	1.8%	6.6%	1.0%	0.0%	0.2%	-2.8%	822	-2.3K	-1.3K	0.00	125.26	N/A	N/A	0	0	100	162
2013-03-21	$26.08	$25.00	6.3%	1.8%	6.4%	1.0%	0.0%	0.0%	-2.8%	-2.5K	-107.4K	-695	0.00	125.26	N/A	N/A	0	0	100	162
2013-03-22	$26.14	$25.00	6.9%	2.0%	6.4%	1.4%	8.0%	-0.6%	-3.3%	-1.2K	-114.9K	-723	0.00	125.32	N/A	N/A	2	0	100	162
2013-03-25	$26.07	$25.00	6.3%	1.8%	6.1%	1.0%	0.0%	1.6%	-0.1%	-2.5K	-113.3K	-643	0.00	121.89	N/A	N/A	25	0	101	162
2013-03-26	$26.20	$25.00	7.1%	2.0%	6.2%	1.6%	0.0%	2.3%	-2.4%	-3.1K	-209.8K	-380	0.00	117.09	N/A	N/A	0	0	122	162
2013-03-27	$26.21	$25.00	7.0%	2.0%	5.9%	1.5%	0.0%	3.8%	-1.7%	7.8K	-188.1K	-441	0.00	122.03	N/A	N/A	0	1	122	162
2013-03-28	$26.18	$25.00	7.1%	2.0%	5.9%	1.6%	0.0%	2.0%	-3.3%	4.5K	-203.4K	-401	0.00	117.05	N/A	N/A	0	0	122	163