PCEF Options History — July 2013

In July 2013, PCEF traded between $24.09 and $24.75. ATM implied volatility averaged 15.6%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.3% (HV 20d: 15.3%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-07-11: Highest Volume — 57 contracts
  • 2013-07-08: Largest IV spike — 1969.1% change
  • 2013-07-08: Highest IV Rank — 89.2%
  • 2013-07-08: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.45$24.09$24.75$24.75$24.38
ATM IV15.6%7.0%145.3%8.0%13.8%
Expected Move3.5%1.9%22.8%2.3%4.0%
HV 20d15.3%8.7%18.4%18.2%8.7%
HV 60d13.0%12.7%13.1%12.8%13.0%
IV Rank7.2%1.8%89.2%2.4%6.1%
IV Percentile56.0%21.4%99.6%40.1%84.5%
Term Structure-2.7%-21.0%0.1%-1.4%-3.7%
Skew 25d-0.0%-2.1%1.6%1.2%0.4%
Skew 10d-0.1%-3.2%1.2%0.2%-0.2%
Call IV 25d13.0%6.8%97.9%8.2%12.0%
Put IV 25d12.9%7.4%97.6%9.4%12.3%
Bid-Ask Spread %103.6159.17196.06118.6977.08
Gamma HHI0.410.330.580.470.33
Net GEX-48.8K-65.1K-13.5K-52.1K-43.8K
Net DEX554.8K438.0K664.9K488.7K544.3K
Net VEX-1.4K-1.9K-909-1.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.90905700
Total OI387.182335442335442

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$24.75$0.008.0%2.3%18.2%2.4%0.0%1.2%-1.4%-52.1K488.7K-1.2K0.00118.69N/AN/A005330
2013-07-02$24.50$0.0010.5%3.0%18.3%4.0%0.0%-1.8%-3.5%-57.1K550.6K-1.3K0.00118.83N/AN/A005330
2013-07-03$24.33$0.008.8%2.5%18.4%2.9%0.0%-2.1%-3.2%-52.2K594.7K-1.1K0.00118.43N/AN/A005330
2013-07-05$24.11$0.007.0%1.9%18.2%1.8%0.0%-1.0%-0.6%-38.1K664.9K-9090.00121.06N/AN/A005330
2013-07-08$24.09$0.00145.3%22.8%18.1%89.2%0.0%-0.4%-21.0%-13.5K438.0K-1.6K0.00196.06N/AN/A005330
2013-07-09$24.22$0.0010.4%2.2%17.9%3.9%0.0%-1.5%-1.5%-41.9K647.0K-9420.00125.22N/AN/A015330
2013-07-10$24.29$0.0010.8%2.2%17.7%4.2%0.0%0.3%-1.2%-49.4K614.4K-1.0K0.00121.40N/AN/A005330
2013-07-11$24.67$0.007.6%2.2%18.2%2.1%0.0%0.1%-0.7%-42.6K561.5K-1.0K0.00118.93N/AN/A0575330
2013-07-12$24.60$0.008.4%2.4%17.5%2.7%0.0%1.6%-0.7%-62.0K530.1K-1.2K0.00119.08N/AN/A005387
2013-07-15$24.53$0.007.2%2.1%17.4%1.9%0.0%0.7%0.1%-65.1K534.7K-9710.0062.49N/AN/A005387
2013-07-16$24.37$0.008.7%2.5%17.6%2.9%0.0%0.9%-4.6%-54.9K568.2K-1.2K0.0091.74N/AN/A005387
2013-07-17$24.46$0.008.6%2.5%17.6%2.8%0.0%0.6%-1.6%-57.0K574.3K-1.1K0.0083.65N/AN/A005387
2013-07-18$24.56$0.007.7%2.2%17.3%2.2%0.0%0.9%-0.9%-59.9K538.6K-1.2K0.0093.66N/AN/A005387
2013-07-19$24.51$0.008.1%2.3%15.2%2.4%0.0%-1.0%-1.3%-61.1K561.7K-1.0K0.0094.73N/AN/A005387
2013-07-22$24.46$0.0010.0%2.9%15.2%3.6%0.0%1.2%-1.7%-54.4K565.9K-1.6K0.0063.54N/AN/A5005387
2013-07-23$24.56$0.008.9%2.6%12.9%3.0%0.0%-0.0%-1.1%-43.7K530.2K-1.9K0.00103.72N/AN/A0055387
2013-07-24$24.47$0.009.7%2.8%12.4%3.5%0.0%-0.9%-2.7%-47.1K536.5K-1.8K0.0092.37N/AN/A0055387
2013-07-25$24.53$0.008.6%2.5%10.8%2.8%0.0%0.6%-0.9%-44.9K549.9K-1.8K0.0059.17N/AN/A0055387
2013-07-26$24.55$0.009.5%2.7%9.4%3.3%0.0%-1.1%-2.4%-45.9K537.6K-1.8K0.00104.22N/AN/A0055387
2013-07-29$24.44$0.0012.8%3.7%9.5%5.4%0.0%0.7%-3.4%-44.1K532.7K-1.7K0.0093.35N/AN/A0055387
2013-07-30$24.42$0.0012.3%3.5%9.4%5.1%0.0%-0.0%-2.0%-43.3K541.0K-1.7K0.00102.08N/AN/A0055387
2013-07-31$24.38$0.0013.8%4.0%8.7%6.1%0.0%0.4%-3.7%-43.8K544.3K-1.7K0.0077.08N/AN/A0055387