PCEF Options History — August 2013

In August 2013, PCEF traded between $23.43 and $24.39. ATM implied volatility averaged 19.7%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 11.9% (HV 20d: 7.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-08-23: Highest Volume — 7 contracts
  • 2013-08-20: Largest IV spike — 579.4% change
  • 2013-08-22: Highest IV Rank — 62.7%
  • 2013-08-22: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$23.43$24.39$24.35$23.70
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.7%8.3%92.6%13.3%9.9%
Expected Move5.4%2.4%26.5%3.8%2.8%
HV 20d7.8%5.0%9.5%8.3%9.5%
HV 60d13.1%12.6%13.6%12.9%12.6%
IV Rank10.7%2.9%62.7%5.7%4.0%
IV Percentile75.7%41.3%98.4%82.5%62.7%
Term Structure-2.9%-26.5%1.2%-6.1%1.2%
VWIV11.6%9.4%15.9%11.3%15.9%
Skew 25d0.5%-11.6%9.8%-0.4%3.6%
Skew 10d-0.2%-11.6%2.9%0.9%2.9%
Call IV 25d20.7%9.2%122.1%12.6%10.5%
Put IV 25d21.2%9.7%110.5%12.2%14.0%
Bid-Ask Spread %103.7180.44187.70102.6582.45
Gamma HHI0.320.290.360.340.33
Net GEX-36.1K-46.3K-12.3K-46.3K-32.4K
Net DEX620.0K433.6K710.3K538.4K686.6K
Net VEX-1.3K-1.7K-910-1.6K-945
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.1360700
Total OI438.909434442442434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$24.35$0.0013.3%3.8%8.3%5.7%0.0%-0.4%-6.1%-46.3K538.4K-1.6K0.00102.65N/AN/A0055387
2013-08-02$24.39$0.0013.1%3.8%7.6%5.6%0.0%0.3%-2.2%-43.4K547.3K-1.7K0.00113.91N/AN/A0055387
2013-08-05$24.19$25.0012.7%3.3%8.2%5.3%11.3%1.3%0.7%-44.9K592.2K-1.5K0.00103.25N/AN/A0155387
2013-08-06$24.12$25.0012.2%2.7%8.0%5.1%0.0%0.3%0.8%-44.2K643.8K-1.4K0.00106.95N/AN/A0055387
2013-08-07$24.12$25.0010.2%3.2%8.0%3.8%0.0%1.3%0.1%-44.2K635.3K-1.3K0.0088.83N/AN/A0055387
2013-08-08$24.23$25.0012.5%3.2%5.7%5.2%0.0%1.3%0.2%-45.1K625.8K-1.4K0.0099.62N/AN/A0055387
2013-08-09$24.25$25.0012.9%3.5%5.7%5.5%12.0%1.1%-0.7%-44.2K613.7K-1.4K0.0097.16N/AN/A0655387
2013-08-12$24.27$25.0015.4%3.7%5.6%7.1%0.0%2.4%-0.2%-44.5K588.5K-1.4K0.0099.31N/AN/A0055383
2013-08-13$24.25$25.0015.3%3.2%5.2%7.0%0.0%1.6%1.0%-45.4K616.2K-1.4K0.0090.75N/AN/A0055383
2013-08-14$24.17$25.0015.3%3.1%5.0%7.0%0.0%1.9%0.5%-45.7K625.1K-1.3K0.0088.50N/AN/A0055383
2013-08-15$23.79$25.008.3%2.4%7.1%2.9%0.0%0.5%1.0%-37.1K648.5K-1.2K0.0080.44N/AN/A0055383
2013-08-16$23.71$25.009.1%2.6%7.2%3.5%0.0%2.2%-0.3%-34.0K640.1K-1.2K0.0091.99N/AN/A0055383
2013-08-19$23.43$25.0013.2%3.8%8.0%6.4%0.0%0.8%1.1%-29.5K687.5K-1.0K0.0083.57N/AN/A0055383
2013-08-20$23.58$25.0089.6%25.7%8.3%60.5%0.0%-11.0%-24.6%-12.3K433.6K-1.6K0.00187.70N/AN/A0155383
2013-08-21$23.45$25.0014.4%4.1%8.4%7.2%9.4%1.3%-4.8%-29.8K697.7K-1.0K0.0081.79N/AN/A0155384
2013-08-22$23.57$25.0092.6%26.5%8.6%62.7%0.0%-11.6%-26.5%-12.3K434.0K-1.6K0.00181.42N/AN/A1055383
2013-08-23$23.75$25.009.3%2.7%9.2%3.6%9.6%1.8%0.1%-34.9K691.2K-1.0K0.0082.46N/AN/A0756383
2013-08-26$23.69$25.009.1%2.6%9.2%3.4%0.0%1.2%-0.3%-33.5K710.3K-9100.0093.44N/AN/A0256383
2013-08-27$23.56$25.0011.0%3.2%9.3%4.8%15.9%0.5%-0.9%-30.9K693.9K-9640.0083.76N/AN/A0656383
2013-08-28$23.57$25.0010.1%2.9%9.3%4.2%0.0%1.4%-1.1%-30.9K670.2K-1.0K0.0080.86N/AN/A0056378
2013-08-29$23.65$25.0023.6%6.8%9.5%13.8%0.0%9.8%-3.3%-28.8K620.9K-1.1K0.00160.79N/AN/A0056378
2013-08-30$23.70$25.009.9%2.8%9.5%4.0%0.0%3.6%1.2%-32.4K686.6K-9450.0082.45N/AN/A0056378