PCEF Options History — April 2013

In April 2013, PCEF traded between $25.82 and $26.42. ATM implied volatility averaged 7.4%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 0.0% (HV 20d: 7.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.03.

Notable Days

  • 2013-04-10: Highest Volume — 145 contracts
  • 2013-04-29: Largest IV spike — 157.3% change
  • 2013-04-29: Highest IV Rank — 7.5%
  • 2013-04-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.11$25.82$26.42$26.09$26.42
Max Pain$25.82$25.00$27.00$25.00$27.00
ATM IV7.4%4.2%16.1%6.8%7.7%
Expected Move1.9%1.2%4.6%2.0%2.2%
HV 20d7.3%6.0%8.4%6.0%8.2%
HV 60d6.1%5.4%6.7%5.5%6.7%
IV Rank1.8%0.0%7.5%1.4%2.2%
IV Percentile21.9%0.0%85.7%11.9%30.6%
Term Structure-1.6%-7.4%1.2%-2.3%-3.7%
VWIV8.8%6.1%13.5%9.3%13.5%
Skew 25d0.7%-3.4%8.5%3.3%0.5%
Skew 10d0.4%-3.2%6.0%5.5%2.0%
Call IV 25d7.9%6.0%9.7%6.5%6.5%
Put IV 25d8.6%5.9%16.8%9.8%7.1%
Bid-Ask Spread %123.7898.49165.25121.9398.49
Gamma HHI0.490.320.690.430.60
Net GEX-12.0K-34.6K7.5K-296-34.6K
Net DEX92.2K-158.6K321.7K-147.3K298.2K
Net VEX-765-1.1K-306-1.0K-717
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.090.090.00
Total Volume22.136014520
Total OI289.273194382285303

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$26.09$25.006.8%2.0%6.0%1.4%0.0%3.3%-2.3%-296-147.3K-1.0K0.00121.93N/AN/A02122163
2013-04-02$26.13$25.006.4%1.8%6.0%1.1%0.0%4.1%-1.2%-7.3K-158.6K-9170.00121.97N/AN/A00122165
2013-04-03$25.96$25.007.0%2.0%6.4%1.5%0.0%3.2%-1.3%7.3K-68.2K-9050.00117.23N/AN/A00122165
2013-04-04$25.98$25.007.3%2.1%6.4%1.7%9.3%4.2%-4.0%7.5K-16.5K-1.1K0.00122.32N/AN/A0112122165
2013-04-05$26.06$25.007.6%1.4%6.5%1.9%0.0%0.4%1.2%-8.3K96.6K-1.0K0.00109.85N/AN/A00122255
2013-04-08$26.10$25.008.6%1.7%6.4%2.5%0.0%0.4%-0.4%12963.3K-8260.00112.30N/AN/A00122255
2013-04-09$26.15$25.009.0%1.3%6.4%2.7%6.1%0.9%0.1%-2.8K57.8K-9400.00122.43N/AN/A05122255
2013-04-10$26.26$26.009.3%1.8%6.6%3.0%6.2%-0.0%-1.3%-4.5K17.4K-8280.09118.08N/AN/A13312122260
2013-04-11$26.25$26.006.3%1.8%6.6%1.1%0.0%-0.0%-1.4%-4.2K22.3K-8240.00117.86N/AN/A00122252
2013-04-12$26.24$26.005.3%1.5%6.6%0.4%0.0%-1.0%-1.7%-25.5K-15.6K-4760.00144.06N/AN/A00122252
2013-04-15$25.82$26.006.4%1.8%7.4%1.2%0.0%-1.5%-0.9%-14.4K111.4K-9990.00111.34N/AN/A1000121252
2013-04-16$26.01$26.006.0%1.7%7.8%0.9%0.0%-0.8%-0.5%-13.7K189.7K-6180.00132.96N/AN/A0121198
2013-04-17$25.87$26.006.8%1.9%8.1%1.3%0.0%0.2%-0.9%-19.0K219.2K-8910.00119.48N/AN/A0021199
2013-04-18$25.88$26.007.7%2.2%7.9%2.0%0.0%-1.3%-1.0%-17.5K184.5K-6060.00132.16N/AN/A0021199
2013-04-19$26.00$26.006.7%1.9%8.1%1.3%0.0%0.0%0.5%-14.9K233.9K-9470.00144.92N/AN/A10021199
2013-04-22$25.99$26.004.2%1.2%8.0%0.0%0.0%-1.6%-1.0%-9.7K128.2K-6090.00116.62N/AN/A0721173
2013-04-23$26.17$26.006.9%2.0%8.4%1.7%0.0%-0.2%-1.1%-12.8K75.9K-3700.00141.22N/AN/A0021180
2013-04-24$26.19$26.005.5%1.6%8.2%0.8%0.0%-3.4%-2.9%-13.4K111.1K-5830.00106.88N/AN/A0121180
2013-04-25$26.28$26.008.0%2.3%8.3%2.4%13.5%-0.5%-1.9%-15.7K58.4K-3060.00141.96N/AN/A010021181
2013-04-26$26.28$27.006.3%1.8%8.3%1.3%0.0%0.9%-2.8%-31.9K321.7K-7480.00103.78N/AN/A0021281
2013-04-29$26.37$27.0016.1%4.6%8.2%7.5%0.0%8.5%-7.4%-27.9K246.2K-5470.00165.25N/AN/A0421281
2013-04-30$26.42$27.007.7%2.2%8.2%2.2%0.0%0.5%-3.7%-34.6K298.2K-7170.0098.49N/AN/A0021282