PCEF Options History — February 2014 In February 2014, PCEF traded between $23.93 and $24.79. ATM implied volatility averaged 11.2%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.9% (HV 20d: 7.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days.
Notable Days 2014-02-18 : Highest Volume — 14 contracts2014-02-18 : Largest IV spike — 472.5% change2014-02-18 : Highest IV Rank — 32.3%2014-02-18 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.45 $23.93 $24.79 $23.93 $24.79 Max Pain $24.53 $24.00 $25.00 $24.00 $25.00 ATM IV 11.2% 7.0% 49.8% 10.1% 7.5% Expected Move 3.1% 2.0% 14.3% 2.9% 2.2% HV 20d 7.2% 5.7% 7.9% 7.5% 5.7% HV 60d 6.9% 6.7% 7.0% 6.9% 6.7% IV Rank 4.9% 2.0% 32.3% 4.1% 2.4% IV Percentile 48.1% 17.5% 98.0% 64.7% 25.0% Term Structure -6.4% -85.4% 0.5% -0.3% -0.9% VWIV 8.3% 7.3% 9.6% 9.6% 7.3% Skew 25d -13.4% -75.5% 3.0% 0.8% 1.6% Skew 10d -0.0% -43.7% 33.6% 2.1% 2.8% Call IV 25d 23.1% 6.4% 83.9% 10.8% 7.5% Put IV 25d 9.7% 7.1% 15.1% 11.6% 9.1% Bid-Ask Spread % 82.78 38.46 162.57 88.89 102.02 Gamma HHI 0.35 0.26 0.56 0.36 0.37 Net GEX -9.4K -14.0K -2.5K -9.0K -9.4K Net DEX 131.7K 106.6K 175.2K 175.2K 114.7K Net VEX -297 -467 -210 -393 -237 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.158 0 14 0 0 Total OI 140.684 123 157 157 123
Daily Data (19 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 2014-02-03 $23.93 $24.00 10.1% 2.9% 7.5% 4.1% 0.0% 0.8% -0.3% -9.0K 175.2K -393 0.00 88.89 N/A N/A 0 0 24 133 2014-02-04 $24.07 $24.00 9.3% 2.7% 7.8% 3.6% 0.0% 1.9% 0.5% -7.9K 161.6K -324 0.00 91.47 N/A N/A 0 0 24 133 2014-02-05 $24.07 $24.00 10.2% 2.9% 7.3% 4.3% 9.6% 1.4% -0.9% -7.8K 158.9K -328 0.00 89.99 N/A N/A 0 5 24 133 2014-02-06 $24.18 $24.00 10.5% 3.0% 7.5% 4.4% 0.0% 1.8% -0.6% -5.2K 125.8K -259 0.00 93.58 N/A N/A 0 0 24 128 2014-02-07 $24.33 $24.00 8.8% 2.8% 7.9% 3.2% 0.0% -55.4% -2.8% -6.8K 132.5K -368 0.00 162.57 N/A N/A 0 0 24 128 2014-02-10 $24.44 $24.00 12.8% 2.5% 7.8% 6.1% 0.0% -68.8% -2.2% -10.8K 146.1K -467 0.00 101.90 N/A N/A 0 0 24 128 2014-02-11 $24.50 $24.00 10.3% 3.2% 7.6% 4.4% 0.0% 1.5% -7.3% -6.7K 108.4K -281 0.00 83.70 N/A N/A 0 0 24 128 2014-02-12 $24.48 $24.00 13.2% 2.4% 7.5% 6.4% 0.0% 1.3% -2.9% -2.5K 122.4K -217 0.00 84.74 N/A N/A 0 0 24 128 2014-02-13 $24.54 $24.00 7.7% 2.2% 7.4% 2.4% 0.0% 2.0% 0.0% -8.7K 106.6K -307 0.00 65.89 N/A N/A 0 0 24 128 2014-02-14 $24.44 $25.00 8.7% 2.5% 7.6% 3.2% 0.0% -75.5% -5.3% -14.0K 131.6K -272 0.00 84.46 N/A N/A 0 0 7 128 2014-02-18 $24.54 $25.00 49.8% 14.3% 7.7% 32.3% 8.0% -69.8% -85.4% -13.8K 133.4K -286 0.00 84.66 N/A N/A 0 14 7 128 2014-02-19 $24.48 $25.00 9.4% 2.7% 7.7% 3.6% 0.0% -0.8% -5.8% -12.2K 140.3K -210 0.00 68.96 N/A N/A 0 0 7 128 2014-02-20 $24.54 $25.00 7.0% 2.0% 7.7% 2.0% 0.0% 3.0% -1.3% -13.0K 136.8K -323 0.00 38.46 N/A N/A 0 0 7 128 2014-02-21 $24.55 $25.00 7.1% 2.1% 7.6% 2.1% 0.0% 0.2% -2.1% -12.9K 128.7K -277 0.00 60.38 N/A N/A 0 0 7 128 2014-02-24 $24.60 $25.00 7.2% 2.1% 7.0% 2.1% 0.0% 0.4% -0.9% -9.5K 115.9K -309 0.00 64.80 N/A N/A 0 0 7 116 2014-02-25 $24.62 $25.00 7.5% 2.1% 6.2% 2.3% 0.0% -0.5% -1.0% -9.8K 125.5K -259 0.00 60.21 N/A N/A 0 0 7 116 2014-02-26 $24.62 $25.00 7.6% 2.2% 6.1% 2.4% 0.0% -0.9% -1.1% -10.0K 125.4K -262 0.00 61.19 N/A N/A 0 0 7 116 2014-02-27 $24.77 $25.00 7.3% 2.1% 5.8% 2.2% 7.3% 0.5% -0.8% -8.6K 111.8K -264 0.00 84.94 N/A N/A 0 3 7 116 2014-02-28 $24.79 $25.00 7.5% 2.2% 5.7% 2.4% 0.0% 1.6% -0.9% -9.4K 114.7K -237 0.00 102.02 N/A N/A 0 0 7 116
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