PCEF Options History — January 2014 In January 2014, PCEF traded between $24.10 and $24.63. ATM implied volatility averaged 10.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 3.5% (HV 20d: 7.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-01-31 : Highest Volume — 12 contracts2014-01-16 : Largest IV drop — 54.6% change2014-01-14 : Highest IV Rank — 13.4%2014-01-29 : Largest Expected Move — 3.0%Monthly Statistics Metric Avg Min Max Open Close Price $24.38 $24.10 $24.63 $24.23 $24.10 Max Pain $24.00 $24.00 $24.00 $24.00 $24.00 ATM IV 10.5% 6.3% 23.1% 9.5% 8.4% Expected Move 2.3% 1.8% 3.0% 2.7% 2.4% HV 20d 7.0% 5.3% 7.6% 7.4% 7.1% HV 60d 6.7% 6.1% 7.6% 7.6% 6.8% IV Rank 4.5% 1.5% 13.4% 3.8% 3.0% IV Percentile 55.2% 6.3% 96.0% 58.7% 40.1% Term Structure -0.9% -5.2% 3.8% -3.8% -1.4% VWIV 8.3% 6.8% 10.4% 7.8% 6.8% Skew 25d 0.6% -2.9% 4.2% -2.9% 0.5% Skew 10d 2.5% 0.3% 5.4% 0.4% 3.1% Call IV 25d 8.3% 5.8% 12.3% 12.3% 9.0% Put IV 25d 9.0% 7.4% 12.4% 9.5% 9.6% Bid-Ask Spread % 73.54 34.60 119.77 74.77 82.14 Gamma HHI 0.35 0.29 0.58 0.41 0.32 Net GEX -6.4K -10.3K -2.8K -4.3K -6.0K Net DEX 120.0K 93.7K 144.8K 118.6K 144.8K Net VEX -341 -487 -166 -166 -350 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 1.952 0 12 10 12 Total OI 142.286 135 154 135 145
Daily Data (21 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 2014-01-02 $24.23 $24.00 9.5% 2.7% 7.4% 3.8% 0.0% -2.9% -3.8% -4.3K 118.6K -166 0.00 74.77 N/A N/A 0 10 19 116 2014-01-03 $24.26 $24.00 8.2% 2.4% 7.4% 2.8% 0.0% -2.7% -4.2% -5.5K 132.2K -260 0.00 45.23 N/A N/A 0 0 19 126 2014-01-06 $24.27 $0.00 9.9% 2.0% 7.2% 4.0% 0.0% 0.4% 0.7% -7.2K 143.3K -371 0.00 115.75 N/A N/A 0 0 19 126 2014-01-07 $24.44 $0.00 11.7% 2.1% 7.3% 5.3% 0.0% -0.5% 1.3% -4.3K 124.1K -258 0.00 119.77 N/A N/A 0 0 19 126 2014-01-08 $24.45 $0.00 10.2% 2.8% 7.3% 4.2% 0.0% -0.1% -5.2% -8.1K 132.5K -436 0.00 101.09 N/A N/A 0 0 19 126 2014-01-09 $24.45 $0.00 9.8% 2.0% 7.3% 4.0% 0.0% 4.2% 3.8% -9.4K 124.7K -487 0.00 82.82 N/A N/A 0 0 19 126 2014-01-10 $24.58 $0.00 13.1% 2.0% 7.2% 6.3% 7.8% 2.8% 1.4% -8.1K 98.4K -368 0.00 81.80 N/A N/A 9 0 19 126 2014-01-13 $24.44 $24.00 15.8% 2.4% 7.6% 8.2% 0.0% -0.1% -3.4% -5.0K 95.5K -364 0.00 62.87 N/A N/A 0 0 28 126 2014-01-14 $24.52 $24.00 23.1% 2.1% 6.9% 13.4% 0.0% 2.5% -0.4% -4.7K 93.7K -384 0.00 81.19 N/A N/A 0 0 28 126 2014-01-15 $24.42 $0.00 17.4% 2.5% 7.3% 9.3% 0.0% 1.4% -3.3% -8.1K 126.2K -405 0.00 83.72 N/A N/A 0 0 19 126 2014-01-16 $24.45 $0.00 7.9% 2.3% 7.3% 2.6% 0.0% 1.0% 2.2% -8.6K 117.8K -288 0.00 70.02 N/A N/A 0 0 19 126 2014-01-17 $24.50 $0.00 7.5% 2.2% 6.9% 2.4% 0.0% 0.7% 1.4% -10.3K 111.7K -352 0.00 36.63 N/A N/A 0 0 19 126 2014-01-21 $24.55 $0.00 6.3% 1.8% 6.8% 1.5% 0.0% 1.3% -0.3% -6.9K 100.7K -360 0.00 35.96 N/A N/A 0 0 19 116 2014-01-22 $24.63 $0.00 6.3% 1.8% 6.7% 1.5% 0.0% 1.3% 0.5% -6.8K 95.8K -367 0.00 34.60 N/A N/A 0 0 19 116 2014-01-23 $24.58 $0.00 6.7% 1.9% 5.3% 1.7% 0.0% 1.6% 0.4% -6.3K 101.9K -338 0.00 38.99 N/A N/A 0 0 19 116 2014-01-24 $24.38 $0.00 9.6% 2.8% 6.1% 3.8% 0.0% -0.3% -4.5% -6.0K 123.1K -349 0.00 69.63 N/A N/A 0 0 19 116 2014-01-27 $24.18 $0.00 9.0% 2.6% 6.7% 3.4% 0.0% 1.6% 0.8% -6.9K 140.1K -358 0.00 84.67 N/A N/A 0 0 19 116 2014-01-28 $24.27 $0.00 9.8% 2.8% 6.8% 3.9% 0.0% 0.1% -2.2% -2.8K 116.5K -232 0.00 89.40 N/A N/A 5 0 19 116 2014-01-29 $24.11 $0.00 10.4% 3.0% 7.1% 4.4% 10.4% 1.2% -0.8% -5.4K 141.6K -348 0.00 79.45 N/A N/A 0 5 24 116 2014-01-30 $24.19 $24.00 9.7% 2.8% 7.1% 3.9% 0.0% -0.4% -2.1% -4.2K 137.4K -322 0.00 73.78 N/A N/A 0 0 24 121 2014-01-31 $24.10 $24.00 8.4% 2.4% 7.1% 3.0% 6.8% 0.5% -1.4% -6.0K 144.8K -350 0.00 82.14 N/A N/A 0 12 24 121
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