PCEF Options History — November 2013 In November 2013, PCEF traded between $23.78 and $24.41. ATM implied volatility averaged 12.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 6.0% (HV 20d: 6.5%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-11-13 : Highest Volume — 10 contracts2013-11-29 : Largest IV spike — 696.0% change2013-11-29 : Highest IV Rank — 38.0%2013-11-29 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $24.04 $23.78 $24.41 $24.36 $23.98 Max Pain $25.90 $24.00 $26.00 $24.00 $26.00 ATM IV 12.5% 6.5% 57.8% 11.4% 57.8% Expected Move 3.0% 1.6% 16.6% 3.3% 16.6% HV 20d 6.5% 4.9% 9.2% 9.2% 5.5% HV 60d 8.2% 7.7% 9.0% 8.9% 7.7% IV Rank 5.9% 1.6% 38.0% 5.1% 38.0% IV Percentile 53.6% 9.9% 97.2% 71.8% 97.2% Term Structure -5.3% -102.1% 2.6% -3.4% -102.1% VWIV 9.3% 9.3% 9.3% 9.3% 9.3% Skew 25d -0.8% -35.1% 4.1% 0.2% 4.1% Skew 10d -3.2% -80.9% 12.8% 0.8% -5.6% Call IV 25d 16.9% 7.3% 127.9% 11.4% 127.9% Put IV 25d 16.1% 7.6% 132.0% 11.6% 132.0% Bid-Ask Spread % 92.88 66.67 132.88 86.09 132.88 Gamma HHI 0.37 0.28 0.51 0.29 0.36 Net GEX -21.1K -28.6K -12.5K -18.4K -12.5K Net DEX 252.1K 216.8K 288.1K 219.5K 238.0K Net VEX -519 -674 -338 -601 -674 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.55 0 10 0 0 Total OI 245.2 243 247 247 243
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 2013-11-01 $24.36 $24.00 11.4% 3.3% 9.2% 5.1% 0.0% 0.2% -3.4% -18.4K 219.5K -601 0.00 86.09 N/A N/A 0 0 27 220 2013-11-04 $24.41 $26.00 12.8% 2.6% 9.0% 6.1% 0.0% 2.3% -0.0% -23.4K 220.6K -651 0.00 97.69 N/A N/A 0 0 27 220 2013-11-05 $24.33 $26.00 13.2% 2.6% 8.5% 6.4% 0.0% 1.3% 0.5% -17.3K 229.4K -559 0.00 87.38 N/A N/A 0 0 27 220 2013-11-06 $24.33 $26.00 13.8% 2.7% 8.5% 6.8% 0.0% 1.3% -0.7% -17.1K 227.0K -554 0.00 96.45 N/A N/A 0 0 27 220 2013-11-07 $24.21 $26.00 12.0% 3.0% 8.1% 5.5% 0.0% 1.3% -1.1% -14.4K 216.8K -393 0.00 84.30 N/A N/A 0 0 27 220 2013-11-08 $24.04 $26.00 13.1% 1.8% 8.5% 6.3% 0.0% -0.7% 2.6% -14.3K 274.0K -480 0.00 107.63 N/A N/A 0 0 27 220 2013-11-11 $24.13 $26.00 14.4% 2.1% 8.6% 7.2% 0.0% 1.6% 0.1% -14.5K 232.1K -338 0.00 87.47 N/A N/A 0 0 27 220 2013-11-12 $24.02 $26.00 14.6% 1.6% 7.2% 7.4% 0.0% 1.0% 1.0% -16.7K 270.6K -462 0.00 79.31 N/A N/A 0 0 27 220 2013-11-13 $24.05 $26.00 15.8% 2.3% 6.6% 8.2% 9.3% 2.6% 0.4% -27.4K 255.1K -510 0.00 81.16 N/A N/A 0 10 27 220 2013-11-14 $24.14 $26.00 8.0% 2.3% 5.0% 2.7% 0.0% 3.6% 1.8% -24.7K 248.1K -429 0.00 128.49 N/A N/A 0 0 27 220 2013-11-15 $24.01 $26.00 7.5% 2.1% 5.4% 2.3% 0.0% 0.9% -0.5% -28.6K 257.9K -524 0.00 81.38 N/A N/A 1 0 27 220 2013-11-18 $23.93 $26.00 6.7% 1.9% 5.4% 1.8% 0.0% -0.3% 0.0% -23.1K 265.7K -647 0.00 95.77 N/A N/A 0 0 28 215 2013-11-19 $23.90 $26.00 7.2% 2.1% 4.9% 2.1% 0.0% -0.2% -1.4% -22.1K 251.9K -547 0.00 94.33 N/A N/A 0 0 28 215 2013-11-20 $23.81 $26.00 6.7% 1.9% 5.0% 1.7% 0.0% -0.9% -0.7% -24.9K 288.1K -534 0.00 69.46 N/A N/A 0 0 28 215 2013-11-21 $23.87 $26.00 6.5% 1.9% 5.1% 1.6% 0.0% 0.6% 0.3% -27.7K 252.8K -542 0.00 74.76 N/A N/A 0 0 28 215 2013-11-22 $23.87 $26.00 7.1% 2.0% 5.0% 2.0% 0.0% -0.3% -0.0% -25.4K 269.9K -369 0.00 77.33 N/A N/A 0 0 28 215 2013-11-25 $23.78 $26.00 6.6% 1.9% 5.0% 1.7% 0.0% -0.1% -0.9% -21.6K 276.6K -619 0.00 66.67 N/A N/A 0 0 28 215 2013-11-26 $23.81 $26.00 7.9% 2.3% 5.0% 2.6% 0.0% -0.2% -2.3% -23.4K 280.4K -575 0.00 111.80 N/A N/A 0 0 28 215 2013-11-27 $23.88 $26.00 7.3% 2.1% 5.2% 2.2% 0.0% -35.1% 0.6% -24.7K 268.2K -373 0.00 117.27 N/A N/A 0 0 28 215 2013-11-29 $23.98 $26.00 57.8% 16.6% 5.5% 38.0% 0.0% 4.1% -102.1% -12.5K 238.0K -674 0.00 132.88 N/A N/A 0 0 28 215
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