PCEF Options History — October 2013

In October 2013, PCEF traded between $23.61 and $24.44. ATM implied volatility averaged 10.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.8% (HV 20d: 9.1%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.27.

Notable Days

  • 2013-10-02: Highest Volume — 20 contracts
  • 2013-10-17: Largest IV spike — 54.3% change
  • 2013-10-09: Highest IV Rank — 6.6%
  • 2013-10-30: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.07$23.61$24.44$23.98$24.39
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV10.9%8.1%13.5%10.4%12.1%
Expected Move3.0%2.3%3.7%3.0%3.5%
HV 20d9.1%8.1%10.3%8.5%9.2%
HV 60d8.6%7.8%9.1%8.5%8.9%
IV Rank4.8%2.8%6.6%4.4%5.6%
IV Percentile66.4%36.9%83.7%65.1%75.4%
Term Structure-2.4%-6.4%1.7%0.3%-5.6%
VWIV8.6%8.4%8.8%8.4%8.8%
Skew 25d1.8%-0.5%5.4%1.2%0.3%
Skew 10d2.2%-0.8%4.9%3.1%0.7%
Call IV 25d10.4%7.5%12.3%11.2%11.2%
Put IV 25d12.2%9.9%17.0%12.4%11.5%
Bid-Ask Spread %97.5283.62113.19103.9284.66
Gamma HHI0.310.260.370.310.27
Net GEX-22.9K-31.0K-15.1K-19.3K-23.4K
Net DEX263.7K202.1K329.9K244.9K221.9K
Net VEX-728-926-378-619-680
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.000.800.800.00
Total Volume3.21702000
Total OI240.739194256194247

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$23.98$24.0010.4%3.0%8.5%4.4%0.0%1.2%0.3%-19.3K244.9K-6190.00103.92N/AN/A0017177
2013-10-02$24.01$24.0011.4%3.3%8.3%5.1%0.0%3.2%-0.2%-15.1K215.5K-3780.0086.03N/AN/A02017177
2013-10-03$23.91$24.0010.9%3.1%8.1%4.8%0.0%1.9%0.6%-23.0K310.2K-8180.0084.66N/AN/A0017217
2013-10-04$23.92$0.0010.7%2.6%8.1%4.6%0.0%-0.5%-0.5%-23.5K300.5K-8570.00112.07N/AN/A0017217
2013-10-07$23.80$0.0011.5%3.4%8.2%5.2%0.0%4.7%-5.2%-20.8K302.2K-8610.0098.96N/AN/A0017217
2013-10-08$23.62$0.0012.7%3.1%8.5%6.0%0.0%4.8%-2.4%-19.5K319.4K-8360.00110.06N/AN/A01017217
2013-10-09$23.65$0.0013.5%2.7%8.5%6.6%0.0%5.4%-2.2%-19.8K329.9K-7830.0085.64N/AN/A0017217
2013-10-10$23.90$0.008.3%2.4%9.3%2.9%8.4%5.3%1.6%-24.7K315.4K-7470.80102.05N/AN/A10817217
2013-10-11$23.95$24.008.8%2.5%9.1%3.2%0.0%2.2%1.7%-26.7K291.5K-7170.00105.85N/AN/A0327225
2013-10-14$23.93$24.0011.2%3.2%9.0%4.9%0.0%2.2%-2.2%-25.4K295.0K-9260.00111.52N/AN/A0027228
2013-10-15$23.61$24.009.8%2.8%10.3%4.0%0.0%1.0%-2.8%-23.9K316.2K-8960.00109.45N/AN/A0126228
2013-10-16$23.81$24.008.1%2.3%9.0%2.8%0.0%1.5%-3.3%-29.2K301.1K-8530.00109.44N/AN/A0026229
2013-10-17$24.11$24.0012.5%3.6%10.1%5.9%0.0%1.1%-3.1%-31.0K261.7K-6710.0092.05N/AN/A0126229
2013-10-18$24.11$24.009.8%2.8%9.5%4.0%8.8%0.3%-2.1%-30.7K256.6K-6600.00109.84N/AN/A0826230
2013-10-21$24.18$24.0010.6%3.0%9.4%4.5%0.0%3.0%-3.6%-22.1K242.3K-6100.0094.98N/AN/A0026219
2013-10-22$24.31$24.009.9%2.8%9.6%4.1%0.0%0.9%-2.4%-21.3K231.7K-6470.0084.78N/AN/A0026219
2013-10-23$24.32$24.0010.1%2.9%9.6%4.1%0.0%-0.0%-1.7%-22.0K230.6K-6440.00101.70N/AN/A0026219
2013-10-24$24.35$24.0011.6%3.3%9.5%5.2%0.0%1.8%-2.9%-24.5K227.0K-8040.0086.61N/AN/A6026219
2013-10-25$24.39$24.0010.9%3.1%9.5%4.7%0.0%-0.1%-2.9%-19.3K202.1K-6660.0084.34N/AN/A5032219
2013-10-28$24.43$24.0012.5%3.6%9.3%5.9%0.0%0.2%-6.4%-24.0K219.3K-7820.0087.44N/AN/A0127219
2013-10-29$24.44$24.0011.5%3.3%9.3%5.1%0.0%0.5%-4.8%-18.7K208.9K-6320.0083.62N/AN/A0127220
2013-10-30$24.39$24.0013.0%3.7%9.4%6.2%0.0%0.2%-5.2%-18.7K220.2K-6550.00113.19N/AN/A0027220
2013-10-31$24.39$24.0012.1%3.5%9.2%5.6%0.0%0.3%-5.6%-23.4K221.9K-6800.0084.66N/AN/A0027220