PCEF Options History — March 2014

In March 2014, PCEF traded between $24.48 and $24.85. ATM implied volatility averaged 55.3%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 50.2% (HV 20d: 5.1%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2014-03-07: Highest Volume — 8 contracts
  • 2014-03-11: Largest IV spike — 1500.4% change
  • 2014-03-12: Highest IV Rank — 100.0%
  • 2014-03-06: Largest Expected Move — 34.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.65$24.48$24.85$24.72$24.74
Max Pain$24.90$24.00$25.00$25.00$25.00
ATM IV55.3%8.3%153.6%8.5%58.5%
Expected Move13.8%1.9%34.7%2.4%16.8%
HV 20d5.1%4.5%5.6%5.6%5.2%
HV 60d6.5%6.0%6.8%6.7%6.0%
IV Rank34.8%2.7%100.0%3.0%36.4%
IV Percentile81.2%35.7%100.0%38.1%96.0%
Term Structure-3.6%-115.1%60.4%-0.7%18.6%
VWIV48.1%15.1%81.0%15.1%81.0%
Skew 25d45.7%-116.1%128.0%1.7%23.7%
Skew 10d46.8%-116.0%128.0%2.6%23.7%
Call IV 25d25.7%7.3%134.8%9.6%124.6%
Put IV 25d71.4%8.1%162.3%11.4%148.3%
Bid-Ask Spread %165.1170.61200.0084.54197.86
Gamma HHI0.360.310.610.310.35
Net GEX-5.9K-8.9K-2.5K-8.8K-6.6K
Net DEX118.4K95.9K153.0K107.4K105.2K
Net VEX-336-513-101-304-351
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.140.000.00
Total Volume1.2860840
Total OI112.0958412912387

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$24.72$25.008.5%2.4%5.6%3.0%0.0%1.7%-0.7%-8.8K107.4K-3040.0084.54N/AN/A407116
2014-03-04$24.85$25.008.5%2.4%4.9%3.1%15.1%-0.0%-1.6%-6.4K130.7K-1280.0070.61N/AN/A2011116
2014-03-05$24.82$24.0064.9%18.6%4.7%43.0%0.0%-116.1%-115.1%-6.5K121.4K-1900.0087.42N/AN/A0013116
2014-03-06$24.81$24.00121.1%34.7%4.8%82.9%0.0%27.4%-48.6%-4.6K119.7K-5130.00197.19N/AN/A0013116
2014-03-07$24.69$25.008.6%1.9%5.1%3.1%0.0%1.0%-0.7%-7.6K117.3K-2160.1497.21N/AN/A7113116
2014-03-10$24.72$25.009.1%1.9%4.8%3.4%0.0%0.1%0.2%-8.9K144.1K-3060.0095.20N/AN/A009117
2014-03-11$24.70$25.00145.0%21.8%4.6%99.8%0.0%91.3%-26.8%-4.8K129.5K-4760.00195.75N/AN/A009117
2014-03-12$24.73$25.00153.6%22.6%4.5%100.0%0.0%96.3%-30.7%-4.8K128.7K-4750.00198.35N/AN/A009117
2014-03-13$24.70$25.0079.9%22.9%4.5%50.6%0.0%97.3%-31.7%-4.8K129.9K-4650.00198.35N/AN/A009117
2014-03-14$24.50$25.0045.0%12.9%5.4%27.3%0.0%6.9%-30.0%-7.7K153.0K-3870.00199.04N/AN/A016117
2014-03-17$24.58$25.008.3%2.4%5.3%2.7%0.0%2.3%-4.1%-7.8K112.1K-2090.00109.30N/AN/A086110
2014-03-18$24.65$25.0045.5%13.0%5.2%27.6%0.0%12.7%43.4%-8.7K136.6K-3300.00197.20N/AN/A006110
2014-03-19$24.55$25.0046.2%13.2%5.3%28.1%0.0%106.5%44.5%-5.6K102.5K-3990.00198.32N/AN/A006110
2014-03-20$24.53$25.0046.4%13.3%5.3%28.3%0.0%108.2%45.6%-5.0K101.0K-3910.00200.00N/AN/A006110
2014-03-21$24.57$25.0045.9%13.2%5.3%27.9%81.0%13.2%-3.5%-4.6K125.8K-1010.00196.77N/AN/A016110
2014-03-24$24.48$25.0097.6%28.0%5.4%62.5%0.0%115.7%-27.7%-6.8K119.1K-3140.00199.15N/AN/A00579
2014-03-25$24.53$25.0051.4%14.7%5.5%31.6%0.0%118.5%60.4%-3.6K100.3K-3790.00199.15N/AN/A00579
2014-03-26$24.55$25.009.5%2.7%5.5%3.6%0.0%1.4%-3.0%-2.5K104.2K-3530.00148.88N/AN/A00579
2014-03-27$24.56$25.0053.1%15.2%5.0%32.7%0.0%124.0%18.2%-3.9K101.0K-3740.00197.92N/AN/A30579
2014-03-28$24.66$25.0054.3%15.6%5.2%33.6%0.0%128.0%18.4%-3.5K95.9K-3980.00199.15N/AN/A00879
2014-03-31$24.74$25.0058.5%16.8%5.2%36.4%0.0%23.7%18.6%-6.6K105.2K-3510.00197.86N/AN/A00879