PCEF Options History — April 2014

In April 2014, PCEF traded between $24.59 and $25.02. ATM implied volatility averaged 64.0%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 59.5% (HV 20d: 4.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2014-04-04: Highest Volume — 6 contracts
2014-04-11: Largest IV spike — 924.5% change
2014-04-25: Highest IV Rank — 65.9%
2014-04-25: Largest Expected Move — 29.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.79	$24.59	$25.02	$24.78	$25.02
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	64.0%	6.9%	103.0%	60.2%	60.7%
Expected Move	17.4%	1.6%	29.5%	17.2%	17.4%
HV 20d	4.5%	3.7%	5.0%	4.9%	4.2%
HV 60d	5.6%	4.8%	6.1%	6.0%	4.8%
IV Rank	39.9%	1.1%	65.9%	37.4%	37.4%
IV Percentile	86.0%	6.3%	98.0%	96.0%	90.9%
Term Structure	9.8%	-39.0%	65.4%	18.7%	62.9%
VWIV	7.6%	7.6%	7.6%	7.6%	7.6%
Skew 25d	5.3%	-8.7%	25.2%	25.2%	8.3%
Skew 10d	5.4%	-8.7%	25.2%	25.2%	8.3%
Call IV 25d	94.0%	5.7%	136.4%	127.5%	135.8%
Put IV 25d	99.3%	8.0%	161.3%	152.7%	144.1%
Bid-Ask Spread %	182.97	97.03	200.00	197.86	199.56
Gamma HHI	0.44	0.37	0.74	0.39	0.42
Net GEX	-3.5K	-6.7K	-1.7K	-3.5K	-3.8K
Net DEX	95.2K	85.0K	132.2K	94.1K	88.9K
Net VEX	-333	-393	-82	-390	-335
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	0.476	0	6	0	0
Total OI	90.905	87	95	87	90

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-04-01	$24.78	$25.00	60.2%	17.2%	4.9%	37.4%	0.0%	25.2%	18.7%	-3.5K	94.1K	-390	197.86	N/A	N/A	0	0	8	79
2014-04-02	$24.72	$25.00	61.9%	17.7%	5.0%	38.6%	0.0%	24.6%	65.4%	-3.6K	95.5K	-387	198.52	N/A	N/A	0	0	8	79
2014-04-03	$24.70	$25.00	63.8%	18.3%	5.0%	39.9%	0.0%	24.9%	31.8%	-3.8K	97.1K	-379	198.52	N/A	N/A	0	0	8	79
2014-04-04	$24.68	$0.00	65.9%	11.0%	4.7%	41.3%	7.6%	0.9%	52.1%	-4.1K	101.9K	-366	199.09	N/A	N/A	6	0	8	79
2014-04-07	$24.68	$25.00	73.7%	11.4%	4.7%	46.5%	0.0%	-1.9%	53.1%	-3.2K	89.0K	-393	198.35	N/A	N/A	0	0	14	79
2014-04-08	$24.72	$25.00	82.3%	22.3%	4.7%	52.2%	0.0%	-1.3%	-21.6%	-3.3K	87.9K	-390	199.15	N/A	N/A	0	2	14	79
2014-04-09	$24.82	$25.00	11.3%	1.6%	4.9%	4.8%	0.0%	2.2%	1.7%	-4.2K	116.9K	-186	97.03	N/A	N/A	0	0	14	81
2014-04-10	$24.78	$25.00	7.9%	2.3%	4.9%	2.5%	0.0%	0.4%	-1.9%	-3.0K	132.2K	-82	108.08	N/A	N/A	0	0	14	81
2014-04-11	$24.74	$25.00	80.7%	23.1%	3.9%	51.2%	0.0%	1.6%	-23.3%	-3.4K	86.7K	-390	198.71	N/A	N/A	0	0	14	81
2014-04-14	$24.76	$25.00	84.3%	24.2%	3.7%	53.6%	0.0%	2.0%	-25.6%	-2.9K	85.0K	-386	198.71	N/A	N/A	0	0	14	81
2014-04-15	$24.59	$25.00	85.8%	24.6%	4.4%	54.6%	0.0%	-0.7%	-27.1%	-3.0K	93.3K	-370	196.33	N/A	N/A	0	0	14	81
2014-04-16	$24.68	$25.00	87.1%	25.0%	4.4%	55.5%	0.0%	-8.7%	-27.7%	-1.9K	86.4K	-365	200.00	N/A	N/A	0	0	14	78
2014-04-17	$24.72	$25.00	86.7%	24.8%	4.4%	55.2%	0.0%	1.4%	-28.6%	-1.7K	87.0K	-356	168.89	N/A	N/A	0	0	14	78
2014-04-21	$24.72	$25.00	66.2%	19.0%	4.3%	41.5%	0.0%	1.5%	24.2%	-3.3K	88.9K	-350	181.50	N/A	N/A	0	0	10	78
2014-04-22	$24.81	$25.00	96.8%	27.7%	4.2%	62.0%	0.0%	3.2%	-34.5%	-3.1K	86.6K	-352	188.31	N/A	N/A	0	2	10	78
2014-04-23	$24.88	$25.00	50.5%	14.5%	4.3%	30.5%	0.0%	4.5%	60.6%	-3.2K	88.2K	-360	200.00	N/A	N/A	0	0	10	80
2014-04-24	$24.93	$25.00	50.1%	14.4%	4.3%	30.2%	0.0%	5.5%	0.6%	-4.4K	98.8K	-309	200.00	N/A	N/A	0	0	10	80
2014-04-25	$24.88	$25.00	103.0%	29.5%	4.4%	65.9%	0.0%	4.7%	-39.0%	-3.3K	87.9K	-354	199.56	N/A	N/A	0	0	10	80
2014-04-28	$24.95	$25.00	6.9%	2.0%	4.3%	1.1%	0.0%	6.1%	0.3%	-6.7K	117.1K	-155	114.18	N/A	N/A	0	0	10	80
2014-04-29	$24.97	$25.00	58.4%	16.7%	4.2%	35.8%	0.0%	7.1%	63.5%	-3.8K	89.8K	-337	200.00	N/A	N/A	0	0	10	80
2014-04-30	$25.02	$25.00	60.7%	17.4%	4.2%	37.4%	0.0%	8.3%	62.9%	-3.8K	88.9K	-335	199.56	N/A	N/A	0	0	10	80