PCEF Options History — June 2013

In June 2013, PCEF traded between $23.57 and $25.32. ATM implied volatility averaged 9.0%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 4.6% (HV 20d: 13.6%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 15.00.

Notable Days

2013-06-12: Highest Volume — 101 contracts
2013-06-10: Largest IV spike — 63.5% change
2013-06-10: Highest IV Rank — 7.3%
2013-06-10: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.65	$23.57	$25.32	$25.03	$24.65
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	9.0%	6.5%	15.8%	9.3%	8.8%
Expected Move	2.4%	1.9%	4.1%	2.7%	2.5%
HV 20d	13.6%	9.8%	19.5%	9.8%	18.8%
HV 60d	10.0%	8.3%	12.8%	8.3%	12.8%
IV Rank	3.0%	1.5%	7.3%	3.2%	2.9%
IV Percentile	45.4%	11.1%	84.5%	52.0%	49.6%
Term Structure	-1.7%	-3.4%	-0.5%	-2.2%	-1.3%
VWIV	7.3%	7.3%	7.3%	7.3%	7.3%
Skew 25d	-0.4%	-4.1%	1.7%	-1.5%	1.0%
Skew 10d	-1.5%	-9.1%	1.8%	-0.6%	0.7%
Call IV 25d	9.7%	6.4%	19.0%	12.0%	8.5%
Put IV 25d	9.4%	7.2%	14.9%	10.4%	9.4%
Bid-Ask Spread %	121.62	108.78	174.97	118.83	118.11
Gamma HHI	0.50	0.40	0.62	0.55	0.47
Net GEX	-47.2K	-69.5K	-30.3K	-34.9K	-55.7K
Net DEX	563.8K	392.0K	725.6K	404.2K	522.2K
Net VEX	-1.1K	-1.5K	-603	-603	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.00	0.00	60.00	60.00	0.00
Total Volume	11.85	0	101	0	0
Total OI	328.85	257	390	257	335

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
2013-06-03	$25.03	$27.00	9.3%	2.7%	9.8%	3.2%	0.0%	-1.5%	-2.2%	-34.9K	404.2K	-603	0.00	118.83	N/A	N/A	0	0	0	257
2013-06-04	$25.19	$27.00	7.8%	2.2%	10.3%	2.3%	7.3%	0.6%	-1.0%	-37.7K	392.0K	-682	60.00	127.23	N/A	N/A	1	60	0	257
2013-06-05	$25.03	$27.00	8.6%	2.5%	10.0%	2.8%	0.0%	-0.4%	-2.7%	-47.8K	562.4K	-1.1K	0.00	122.29	N/A	N/A	0	0	1	315
2013-06-06	$25.23	$27.00	8.9%	2.6%	10.5%	3.0%	0.0%	-0.4%	-3.4%	-53.5K	476.4K	-976	0.00	122.69	N/A	N/A	0	0	1	315
2013-06-07	$25.32	$0.00	9.7%	2.1%	10.7%	3.5%	0.0%	1.1%	-0.8%	-53.7K	454.1K	-1.0K	0.00	122.50	N/A	N/A	0	0	1	315
2013-06-10	$25.00	$0.00	15.8%	4.1%	11.2%	7.3%	0.0%	-4.1%	-2.5%	-39.4K	500.8K	-1.3K	0.00	174.97	N/A	N/A	0	0	1	315
2013-06-11	$24.76	$0.00	9.1%	1.9%	11.4%	3.1%	0.0%	-0.1%	-1.2%	-40.4K	585.4K	-1.1K	0.00	116.30	N/A	N/A	0	19	1	315
2013-06-12	$24.50	$0.00	13.3%	2.4%	11.5%	5.8%	0.0%	-1.0%	-1.7%	-33.4K	638.8K	-828	0.00	117.07	N/A	N/A	0	101	1	315
2013-06-13	$24.85	$0.00	6.5%	1.9%	13.2%	1.5%	0.0%	1.7%	-0.8%	-51.9K	689.5K	-1.5K	0.00	117.96	N/A	N/A	0	0	1	389
2013-06-14	$24.74	$0.00	6.7%	1.9%	13.2%	1.5%	0.0%	-0.6%	-0.5%	-68.3K	682.7K	-950	0.00	120.23	N/A	N/A	0	0	1	389
2013-06-17	$24.76	$0.00	7.0%	2.0%	13.2%	1.8%	0.0%	-0.1%	-0.7%	-69.5K	538.9K	-998	0.00	118.33	N/A	N/A	3	0	1	340
2013-06-18	$24.81	$0.00	6.8%	1.9%	13.3%	1.6%	0.0%	-0.6%	-1.4%	-67.8K	529.3K	-1.2K	0.00	118.31	N/A	N/A	0	0	1	340
2013-06-19	$24.55	$0.00	7.0%	2.0%	13.4%	1.7%	0.0%	-0.7%	-1.0%	-49.9K	567.0K	-1.2K	0.00	121.11	N/A	N/A	0	0	1	340
2013-06-20	$24.01	$0.00	9.8%	2.8%	14.9%	3.5%	0.0%	-0.3%	-2.8%	-32.6K	725.6K	-650	0.00	112.97	N/A	N/A	0	40	1	335
2013-06-21	$24.07	$0.00	9.0%	2.6%	15.1%	3.0%	0.0%	-0.0%	-0.9%	-40.8K	691.1K	-983	0.00	115.86	N/A	N/A	0	0	1	345
2013-06-24	$23.57	$0.00	9.2%	2.6%	16.1%	3.1%	0.0%	-1.4%	-1.9%	-30.3K	636.1K	-1.0K	0.00	118.48	N/A	N/A	9	0	0	330
2013-06-25	$23.87	$0.00	8.1%	2.3%	17.3%	2.5%	0.0%	-1.1%	-2.6%	-33.7K	591.7K	-1.3K	0.00	108.78	N/A	N/A	0	0	9	330
2013-06-26	$24.30	$0.00	9.1%	2.6%	18.5%	3.1%	0.0%	-0.5%	-3.4%	-48.6K	591.5K	-1.3K	0.00	117.64	N/A	N/A	0	0	9	330
2013-06-27	$24.66	$0.00	8.6%	2.5%	19.5%	2.8%	0.0%	1.2%	-1.1%	-54.5K	496.8K	-1.2K	0.00	122.72	N/A	N/A	4	0	9	330
2013-06-28	$24.65	$0.00	8.8%	2.5%	18.8%	2.9%	0.0%	1.0%	-1.3%	-55.7K	522.2K	-1.4K	0.00	118.11	N/A	N/A	0	0	5	330