PCEF Options History — May 2013

In May 2013, PCEF traded between $25.40 and $26.64. ATM implied volatility averaged 11.0%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 4.7% (HV 20d: 6.3%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2013-05-13: Highest Volume — 36 contracts
  • 2013-05-10: Largest IV spike — 91.6% change
  • 2013-05-16: Highest IV Rank — 18.0%
  • 2013-05-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.35$25.40$26.64$26.35$25.40
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV11.0%6.8%32.6%10.4%9.4%
Expected Move2.5%1.5%9.3%3.0%2.7%
HV 20d6.3%4.0%8.7%7.9%8.7%
HV 60d6.6%6.3%7.8%6.6%7.8%
IV Rank4.3%1.6%18.0%3.9%3.3%
IV Percentile50.1%14.3%91.7%68.3%54.4%
Term Structure-2.2%-15.2%-0.6%-4.6%-2.4%
VWIV8.5%8.0%9.0%9.0%8.0%
Skew 25d0.4%-2.4%4.2%3.1%0.2%
Skew 10d-0.3%-13.0%5.4%1.1%0.6%
Call IV 25d9.3%6.1%44.5%7.3%9.7%
Put IV 25d9.8%5.0%42.7%10.3%9.9%
Bid-Ask Spread %123.45109.64193.62130.86120.16
Gamma HHI0.630.410.980.480.48
Net GEX-34.8K-69.4K-10.7K-35.6K-40.0K
Net DEX235.7K112.1K434.9K263.4K324.8K
Net VEX-521-1.2K-210-454-743
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume4.5036010
Total OI274.864215349303247

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$26.35$27.0010.4%3.0%7.9%3.9%0.0%3.1%-4.6%-35.6K263.4K-4540.00130.86N/AN/A0021282
2013-05-02$26.44$27.009.3%2.7%8.0%3.2%0.0%3.0%-3.3%-33.2K306.9K-7310.00111.16N/AN/A0021282
2013-05-03$26.44$27.0010.9%3.1%7.9%4.2%0.0%4.2%-3.8%-29.7K241.9K-4720.00109.64N/AN/A0321282
2013-05-06$26.40$27.0011.3%1.5%7.9%4.5%0.0%-2.4%-2.6%-10.7K291.6K-3120.00113.27N/AN/A0021282
2013-05-07$26.52$27.009.5%1.9%8.1%3.4%0.0%-1.7%-0.7%-35.2K236.1K-3100.00111.87N/AN/A0021282
2013-05-08$26.61$27.009.1%1.9%8.0%3.1%0.0%0.2%-0.6%-38.5K220.2K-2770.00118.67N/AN/A0021282
2013-05-09$26.58$27.009.3%1.9%8.0%3.2%9.0%-0.0%-0.7%-36.5K226.5K-2770.00118.88N/AN/A01021282
2013-05-10$26.64$27.0017.9%3.4%8.0%8.6%0.0%-1.5%-1.6%-30.9K220.5K-4170.00154.68N/AN/A0621292
2013-05-13$26.57$27.0013.5%2.1%5.2%5.9%0.0%2.8%-0.9%-32.2K233.1K-2100.00119.21N/AN/A03621294
2013-05-14$26.61$27.0016.0%2.2%4.7%7.4%0.0%1.5%-0.9%-69.4K240.3K-4090.00116.98N/AN/A0221328
2013-05-15$26.47$27.0018.5%1.9%4.7%9.0%0.0%0.8%-1.0%-59.5K364.9K-6160.00118.27N/AN/A000330
2013-05-16$26.45$27.0032.6%9.3%4.7%18.0%0.0%-1.8%-15.2%-36.4K434.9K-1.2K0.00193.62N/AN/A000310
2013-05-17$26.49$27.006.9%2.0%4.6%1.7%0.0%0.2%-1.5%-47.7K324.8K-5790.00117.96N/AN/A000310
2013-05-20$26.48$27.007.2%2.1%4.6%1.9%0.0%0.1%-0.6%-25.3K113.2K-5510.00117.96N/AN/A000215
2013-05-21$26.51$27.007.2%2.1%4.0%1.9%0.0%0.2%-0.7%-24.1K112.1K-5300.00118.80N/AN/A000215
2013-05-22$26.35$27.007.2%2.1%4.6%1.9%0.0%0.1%-0.7%-24.2K118.4K-5430.00119.48N/AN/A000215
2013-05-23$26.31$27.007.0%2.0%4.5%1.8%0.0%-0.1%-1.6%-24.3K122.5K-5390.00120.02N/AN/A000215
2013-05-24$26.27$27.007.2%2.1%4.6%1.9%0.0%0.3%-1.1%-29.0K132.7K-4360.00122.00N/AN/A000215
2013-05-28$26.16$27.006.8%1.9%4.6%1.6%0.0%-0.8%-2.2%-26.8K150.9K-4480.00124.38N/AN/A000215
2013-05-29$25.75$27.007.4%2.1%7.1%2.0%8.0%0.8%-0.8%-33.4K229.0K-6200.00120.59N/AN/A0320215
2013-05-30$25.81$27.007.2%2.1%7.2%1.9%0.0%0.1%-1.1%-43.5K276.5K-7460.00117.53N/AN/A000247
2013-05-31$25.40$27.009.4%2.7%8.7%3.3%0.0%0.2%-2.4%-40.0K324.8K-7430.00120.16N/AN/A0100247