PCEF Options History — December 2013

In December 2013, PCEF traded between $23.56 and $24.43. ATM implied volatility averaged 7.8%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.7% (HV 20d: 6.1%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-12-16: Highest Volume — 98 contracts
  • 2013-12-24: Largest IV spike — 37.8% change
  • 2013-12-24: Highest IV Rank — 3.8%
  • 2013-12-24: Largest Expected Move — 2.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.94$23.56$24.43$23.87$24.34
Max Pain$24.57$24.00$26.00$26.00$24.00
ATM IV7.8%5.2%9.5%8.1%8.0%
Expected Move2.2%1.5%2.7%2.3%2.3%
HV 20d6.1%5.1%7.6%5.7%7.3%
HV 60d7.5%6.9%7.8%7.8%7.6%
IV Rank2.6%0.7%3.8%2.8%2.7%
IV Percentile34.6%0.8%58.3%38.5%36.9%
Term Structure-1.9%-6.7%0.8%-0.7%-3.8%
VWIV5.9%4.7%7.2%7.2%4.7%
Skew 25d3.9%-38.5%121.0%0.1%-1.3%
Skew 10d2.5%-102.4%127.2%1.0%1.5%
Call IV 25d11.4%7.3%50.4%11.8%10.1%
Put IV 25d15.3%7.1%133.3%11.9%8.8%
Bid-Ask Spread %93.3465.46107.9183.3368.46
Gamma HHI0.420.260.550.370.43
Net GEX-19.4K-31.4K-5.1K-21.6K-5.1K
Net DEX233.8K102.5K316.1K283.4K102.5K
Net VEX-379-529-180-529-290
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6.8109800
Total OI212.429108264243135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$23.87$26.008.1%2.3%5.7%2.8%0.0%0.1%-0.7%-21.6K283.4K-5290.0083.33N/AN/A0028215
2013-12-03$23.80$26.008.1%2.3%5.6%2.7%0.0%-0.2%-1.1%-22.7K279.9K-5290.0069.47N/AN/A0028215
2013-12-04$23.78$26.007.5%2.2%5.6%2.4%0.0%121.0%-0.8%-24.1K283.9K-4860.0098.37N/AN/A0028215
2013-12-05$23.68$26.005.2%1.5%5.6%0.7%0.0%-38.5%0.8%-21.5K302.2K-4440.00101.13N/AN/A0028215
2013-12-06$23.81$0.006.8%2.1%6.0%1.8%0.0%0.6%-2.2%-24.4K287.0K-3810.0094.86N/AN/A0028215
2013-12-09$23.81$0.008.4%2.1%5.5%3.0%0.0%-0.2%-1.5%-24.7K292.6K-3490.00107.63N/AN/A0028215
2013-12-10$23.83$0.008.0%2.0%5.3%2.7%0.0%-0.2%-1.6%-23.7K287.8K-3460.0096.27N/AN/A0028215
2013-12-11$23.76$0.008.8%2.2%5.2%3.3%0.0%-1.3%-2.5%-22.9K294.2K-4140.0095.82N/AN/A0528215
2013-12-12$23.73$0.008.9%2.6%5.1%3.4%0.0%1.8%-1.2%-22.9K282.7K-3300.00106.71N/AN/A0028215
2013-12-13$23.56$0.007.7%2.2%5.3%2.5%0.0%-0.3%-1.8%-23.2K300.7K-2970.00107.91N/AN/A0128215
2013-12-16$23.62$0.007.8%2.2%5.3%2.5%7.2%1.1%0.1%-24.2K219.2K-1800.0099.61N/AN/A09828186
2013-12-17$23.69$24.007.6%2.2%5.3%2.4%0.0%1.3%-0.7%-27.2K316.1K-4480.0096.71N/AN/A0028235
2013-12-18$23.88$24.006.8%2.0%6.1%1.9%0.0%-0.2%-2.6%-31.4K283.5K-4710.00101.15N/AN/A0228235
2013-12-19$23.87$24.007.9%2.3%6.0%2.6%0.0%-1.1%0.2%-28.0K282.1K-2900.0088.79N/AN/A0028236
2013-12-20$24.00$24.005.4%1.5%6.2%0.8%4.7%0.7%-0.1%-25.4K243.8K-2710.00105.97N/AN/A01028233
2013-12-23$24.30$24.006.9%2.0%7.6%1.9%0.0%-1.3%-3.9%-8.3K114.2K-2730.0065.46N/AN/A0191296
2013-12-24$24.37$24.009.5%2.7%7.4%3.8%0.0%-0.2%-5.9%-6.1K116.8K-4270.0083.32N/AN/A0112115
2013-12-26$24.43$24.009.3%2.7%7.4%3.6%0.0%0.0%-6.7%-8.2K120.1K-4360.0083.31N/AN/A6012116
2013-12-27$24.41$24.008.7%2.5%7.4%3.2%0.0%0.3%-1.9%-7.1K106.8K-4780.00102.83N/AN/A0018116
2013-12-30$24.30$24.009.3%2.7%7.6%3.6%0.0%-0.1%-1.2%-5.5K109.7K-2830.00103.07N/AN/A1018116
2013-12-31$24.34$24.008.0%2.3%7.3%2.7%0.0%-1.3%-3.8%-5.1K102.5K-2900.0068.46N/AN/A0019116