PCEF Options History — May 2014

In May 2014, PCEF traded between $25.04 and $25.37. ATM implied volatility averaged 60.0%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 55.9% (HV 20d: 4.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.67.

Notable Days

2014-05-29: Highest Volume — 10 contracts
2014-05-21: Largest IV spike — 326.1% change
2014-05-08: Highest IV Rank — 100.0%
2014-05-02: Largest Expected Move — 35.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.16	$25.04	$25.37	$25.07	$25.37
Max Pain	$25.90	$25.00	$26.00	$25.00	$26.00
ATM IV	60.0%	7.9%	157.3%	62.6%	8.4%
Expected Move	10.4%	1.8%	35.3%	17.9%	2.4%
HV 20d	4.1%	2.8%	4.4%	4.1%	4.2%
HV 60d	4.5%	4.3%	4.7%	4.7%	4.4%
IV Rank	36.5%	1.7%	100.0%	38.6%	2.1%
IV Percentile	74.5%	19.4%	100.0%	91.3%	25.0%
Term Structure	1.6%	-64.4%	63.5%	63.5%	-1.4%
VWIV	47.1%	8.6%	123.3%	123.3%	8.6%
Skew 25d	31.0%	-3.0%	106.0%	9.7%	2.3%
Skew 10d	48.4%	0.2%	119.3%	9.7%	5.1%
Call IV 25d	24.6%	9.2%	144.0%	139.3%	10.0%
Put IV 25d	55.5%	10.4%	153.8%	149.0%	12.3%
Bid-Ask Spread %	168.16	112.55	199.56	199.56	122.03
Gamma HHI	0.44	0.34	0.59	0.43	0.50
Net GEX	-7.8K	-15.2K	-3.0K	-3.9K	-10.7K
Net DEX	99.7K	86.0K	118.8K	88.1K	87.2K
Net VEX	-239	-332	-113	-332	-113
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.67	0.00	8.00	0.00	0.00
Total Volume	1.905	0	10	0	0
Total OI	87.095	83	98	90	88

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
2014-05-01	$25.07	$25.00	62.6%	17.9%	4.1%	38.6%	0.0%	9.7%	63.5%	-3.9K	88.1K	-332	0.00	199.56	N/A	N/A	0	0	10	80
2014-05-02	$25.06	$25.00	123.2%	35.3%	4.1%	79.5%	123.3%	9.8%	-53.1%	-4.0K	87.9K	-329	0.00	198.81	N/A	N/A	6	0	10	80
2014-05-05	$25.07	$26.00	139.1%	20.3%	4.0%	90.2%	0.0%	86.9%	-64.4%	-3.1K	88.9K	-311	0.00	195.88	N/A	N/A	0	0	4	80
2014-05-06	$25.05	$26.00	140.9%	12.2%	4.1%	91.4%	21.3%	58.2%	-9.2%	-5.0K	98.3K	-303	0.00	195.16	N/A	N/A	0	1	4	80
2014-05-07	$25.14	$26.00	152.8%	12.7%	4.2%	99.4%	56.4%	0.4%	-27.5%	-8.0K	118.8K	-233	0.00	191.70	N/A	N/A	0	1	4	80
2014-05-08	$25.12	$26.00	157.3%	12.5%	4.0%	100.0%	0.0%	5.4%	-9.2%	-5.5K	103.1K	-267	0.00	175.94	N/A	N/A	0	0	4	79
2014-05-09	$25.09	$26.00	131.7%	12.6%	4.0%	83.2%	0.0%	60.9%	-9.5%	-4.9K	96.1K	-291	0.00	194.95	N/A	N/A	0	0	4	79
2014-05-12	$25.19	$26.00	15.7%	2.0%	4.1%	6.9%	0.0%	4.8%	-0.3%	-12.7K	109.5K	-140	0.00	118.00	N/A	N/A	0	5	4	79
2014-05-13	$25.22	$26.00	19.6%	1.8%	4.1%	9.4%	0.0%	5.1%	0.4%	-11.1K	108.6K	-144	0.00	118.00	N/A	N/A	0	0	4	79
2014-05-14	$25.25	$26.00	47.8%	13.7%	2.8%	28.0%	0.0%	95.3%	-9.1%	-3.0K	86.0K	-289	0.00	193.71	N/A	N/A	0	0	4	79
2014-05-15	$25.04	$26.00	47.5%	13.6%	4.3%	27.8%	0.0%	56.8%	-10.2%	-4.8K	92.2K	-277	0.00	194.95	N/A	N/A	0	0	4	79
2014-05-16	$25.11	$26.00	48.7%	14.0%	4.4%	28.6%	0.0%	98.1%	-10.1%	-3.1K	88.3K	-280	0.00	194.83	N/A	N/A	0	0	4	79
2014-05-19	$25.12	$26.00	7.9%	2.3%	4.4%	1.7%	25.7%	0.2%	-0.8%	-12.8K	108.7K	-132	8.00	117.53	N/A	N/A	1	8	4	79
2014-05-20	$25.09	$26.00	12.3%	3.5%	4.3%	4.7%	0.0%	-3.0%	-8.3%	-12.6K	109.9K	-178	0.00	120.94	N/A	N/A	0	0	3	87
2014-05-21	$25.13	$26.00	52.6%	15.1%	4.2%	31.1%	0.0%	106.0%	45.5%	-3.3K	99.3K	-318	0.00	193.65	N/A	N/A	0	0	3	87
2014-05-22	$25.20	$26.00	12.8%	3.7%	4.3%	5.0%	0.0%	11.9%	45.6%	-13.2K	115.4K	-199	0.00	186.19	N/A	N/A	0	1	3	87
2014-05-23	$25.19	$26.00	29.8%	8.5%	4.2%	16.2%	0.0%	16.4%	47.1%	-6.5K	103.8K	-308	0.00	192.74	N/A	N/A	2	0	3	88
2014-05-27	$25.22	$26.00	32.2%	9.2%	4.1%	17.7%	0.0%	18.3%	48.2%	-6.2K	100.1K	-304	0.00	192.26	N/A	N/A	0	0	5	88
2014-05-28	$25.27	$26.00	8.2%	2.4%	4.2%	2.0%	0.0%	6.0%	-1.6%	-15.2K	103.6K	-125	0.00	112.55	N/A	N/A	0	5	5	88
2014-05-29	$25.33	$26.00	8.3%	2.4%	4.2%	2.0%	8.6%	0.5%	-1.8%	-13.6K	99.0K	-136	0.00	122.08	N/A	N/A	0	10	5	93
2014-05-30	$25.37	$26.00	8.4%	2.4%	4.2%	2.1%	0.0%	2.3%	-1.4%	-10.7K	87.2K	-113	0.00	122.03	N/A	N/A	0	0	5	83