PCEF Options History — September 2013

In September 2013, PCEF traded between $23.70 and $24.18. ATM implied volatility averaged 16.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 7.7% (HV 20d: 8.8%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.03.

Notable Days

2013-09-18: Highest Volume — 229 contracts
2013-09-04: Largest IV drop — 90.7% change
2013-09-03: Highest IV Rank — 81.6%
2013-09-03: Largest Expected Move — 34.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.90	$23.70	$24.18	$23.72	$23.97
Max Pain	$23.65	$23.00	$25.00	$25.00	$24.00
ATM IV	16.5%	9.0%	119.3%	119.3%	11.5%
Expected Move	4.7%	2.5%	34.2%	34.2%	3.3%
HV 20d	8.8%	6.7%	9.7%	9.2%	8.5%
HV 60d	10.6%	8.5%	12.5%	12.5%	8.5%
IV Rank	8.7%	3.4%	81.6%	81.6%	5.2%
IV Percentile	70.9%	48.0%	99.6%	99.6%	71.8%
Term Structure	-2.6%	-45.5%	1.5%	-45.5%	-2.4%
VWIV	11.7%	11.7%	11.7%	11.7%	11.7%
Skew 25d	1.1%	-11.6%	5.3%	-11.6%	1.6%
Skew 10d	1.8%	-11.6%	5.5%	-11.6%	3.9%
Call IV 25d	17.7%	9.3%	155.7%	155.7%	11.1%
Put IV 25d	18.8%	9.8%	144.1%	144.1%	12.7%
Bid-Ask Spread %	100.24	67.45	180.50	180.50	98.31
Gamma HHI	0.42	0.27	0.80	0.29	0.29
Net GEX	-17.5K	-51.6K	99.3K	-12.2K	-19.5K
Net DEX	461.5K	121.8K	717.7K	418.2K	242.2K
Net VEX	-756	-1.4K	-426	-1.4K	-649
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.03	0.00	0.08	0.00	0.00
Total Volume	18.65	0	229	0	0
Total OI	367.2	193	579	434	194

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
2013-09-03	$23.72	$25.00	119.3%	34.2%	9.2%	81.6%	0.0%	-11.6%	-45.5%	-12.2K	418.2K	-1.4K	0.00	180.50	N/A	N/A	0	0	56	378
2013-09-04	$23.85	$25.00	11.1%	3.2%	9.4%	4.9%	0.0%	3.5%	-0.5%	-37.5K	707.6K	-792	0.00	70.24	N/A	N/A	0	0	56	378
2013-09-05	$23.70	$25.00	9.6%	2.7%	9.6%	3.8%	0.0%	2.7%	-0.7%	-33.5K	678.4K	-879	0.00	67.45	N/A	N/A	0	0	56	378
2013-09-06	$23.72	$23.00	11.4%	2.9%	9.4%	5.1%	0.0%	5.3%	-0.9%	-32.6K	717.7K	-762	0.00	85.98	N/A	N/A	10	0	56	378
2013-09-09	$23.78	$23.00	10.7%	2.8%	9.5%	4.6%	0.0%	5.2%	0.4%	-33.2K	710.7K	-805	0.00	106.39	N/A	N/A	0	0	66	378
2013-09-10	$23.88	$23.00	10.8%	2.9%	9.7%	4.6%	0.0%	0.2%	-0.8%	-37.0K	703.5K	-810	0.00	120.14	N/A	N/A	0	0	66	378
2013-09-11	$23.89	$23.00	11.3%	2.5%	9.7%	5.0%	0.0%	0.1%	-0.3%	-36.2K	710.4K	-795	0.00	97.62	N/A	N/A	0	6	66	378
2013-09-12	$23.82	$23.00	11.1%	3.2%	9.7%	4.9%	0.0%	1.2%	1.0%	-39.9K	702.2K	-840	0.00	101.93	N/A	N/A	0	0	66	384
2013-09-13	$23.70	$23.00	9.5%	2.7%	8.1%	3.8%	0.0%	1.7%	-1.6%	-37.1K	715.0K	-775	0.00	102.34	N/A	N/A	0	0	66	384
2013-09-16	$23.80	$23.00	9.7%	2.8%	8.1%	3.9%	0.0%	0.8%	0.4%	-43.8K	475.1K	-731	0.00	120.90	N/A	N/A	0	0	66	284
2013-09-17	$23.80	$23.00	10.3%	2.9%	6.7%	4.3%	0.0%	0.9%	-1.5%	-40.3K	467.1K	-747	0.00	103.82	N/A	N/A	0	26	66	284
2013-09-18	$24.18	$23.00	11.9%	3.4%	8.4%	5.4%	0.0%	1.8%	-1.4%	-51.6K	402.3K	-595	0.08	109.16	N/A	N/A	212	17	66	297
2013-09-19	$24.09	$23.00	11.7%	3.4%	8.2%	5.3%	11.7%	0.6%	-1.1%	93.1K	121.8K	-848	0.00	108.42	N/A	N/A	0	18	278	293
2013-09-20	$23.87	$24.00	9.0%	2.6%	8.9%	3.4%	0.0%	-0.1%	-1.1%	99.3K	335.2K	-866	0.00	90.14	N/A	N/A	0	83	278	301
2013-09-23	$23.95	$24.00	12.6%	3.6%	8.6%	6.0%	0.0%	0.1%	0.4%	-18.6K	219.7K	-470	0.00	96.68	N/A	N/A	1	0	16	177
2013-09-24	$24.02	$24.00	11.7%	3.4%	8.6%	5.3%	0.0%	1.0%	1.1%	-17.6K	244.8K	-742	0.00	90.51	N/A	N/A	0	0	17	177
2013-09-25	$24.02	$24.00	12.2%	3.5%	8.3%	5.7%	0.0%	1.6%	0.6%	-18.0K	240.8K	-741	0.00	78.84	N/A	N/A	0	0	17	177
2013-09-26	$24.07	$24.00	12.1%	3.5%	8.3%	5.6%	0.0%	2.4%	0.7%	-17.7K	207.9K	-487	0.00	98.66	N/A	N/A	0	0	17	177
2013-09-27	$24.09	$24.00	12.6%	3.6%	8.2%	6.0%	0.0%	2.4%	1.5%	-16.1K	209.8K	-426	0.00	76.80	N/A	N/A	0	0	17	177
2013-09-30	$23.97	$24.00	11.5%	3.3%	8.5%	5.2%	0.0%	1.6%	-2.4%	-19.5K	242.2K	-649	0.00	98.31	N/A	N/A	0	0	17	177