PCEF Options History — June 2014

In June 2014, PCEF traded between $25.17 and $25.50. ATM implied volatility averaged 69.4%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 65.5% (HV 20d: 3.9%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2014-06-04: Highest Volume — 22 contracts
2014-06-13: Largest IV spike — 795.0% change
2014-06-30: Highest IV Rank — 68.6%
2014-06-30: Largest Expected Move — 31.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.31	$25.17	$25.50	$25.35	$25.50
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	69.4%	8.9%	109.6%	35.4%	109.6%
Expected Move	19.8%	1.8%	31.4%	10.1%	31.4%
HV 20d	3.9%	3.5%	4.6%	4.2%	3.6%
HV 60d	4.1%	3.9%	4.4%	4.4%	3.9%
IV Rank	42.2%	2.4%	68.6%	19.8%	68.6%
IV Percentile	82.7%	31.3%	95.6%	80.2%	95.6%
Term Structure	-13.1%	-37.4%	62.1%	50.1%	-37.4%
VWIV	9.6%	9.1%	9.8%	9.8%	9.1%
Skew 25d	24.1%	-0.4%	149.0%	28.4%	17.9%
Skew 10d	33.5%	0.1%	149.0%	138.9%	17.9%
Call IV 25d	65.0%	6.3%	122.5%	14.4%	122.5%
Put IV 25d	89.1%	8.7%	165.9%	42.9%	140.4%
Bid-Ask Spread %	180.08	101.01	200.00	193.96	195.14
Gamma HHI	0.44	0.32	0.61	0.39	0.36
Net GEX	-6.6K	-17.0K	-1.9K	-5.9K	-2.4K
Net DEX	78.5K	43.4K	129.9K	89.0K	50.2K
Net VEX	-233	-352	-88	-294	-245
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	2.667	0	22	0	5
Total OI	81.571	48	106	88	54

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
2014-06-02	$25.35	$26.00	35.4%	10.1%	4.2%	19.8%	0.0%	28.4%	50.1%	-5.9K	89.0K	-294	193.96	N/A	N/A	0	0	5	83
2014-06-03	$25.27	$26.00	54.1%	15.5%	4.4%	32.2%	9.8%	7.7%	61.3%	-8.6K	97.1K	-269	178.60	N/A	N/A	4	0	5	83
2014-06-04	$25.17	$26.00	9.8%	2.8%	4.6%	3.0%	9.8%	0.1%	-2.2%	-9.4K	94.4K	-88	120.18	N/A	N/A	0	22	5	83
2014-06-05	$25.21	$26.00	67.0%	19.2%	4.5%	40.6%	0.0%	149.0%	62.1%	-4.0K	108.4K	-352	195.23	N/A	N/A	0	0	5	101
2014-06-06	$25.25	$26.00	68.2%	21.0%	4.5%	41.4%	0.0%	78.5%	-25.0%	-6.5K	113.6K	-347	190.60	N/A	N/A	0	0	5	101
2014-06-09	$25.23	$26.00	10.3%	1.8%	4.5%	3.3%	0.0%	-0.4%	0.7%	-12.5K	129.9K	-123	116.78	N/A	N/A	0	0	5	101
2014-06-10	$25.33	$26.00	10.5%	2.0%	4.5%	3.5%	0.0%	5.7%	-0.5%	-14.5K	123.8K	-122	109.16	N/A	N/A	0	0	5	101
2014-06-11	$25.34	$26.00	83.4%	22.3%	4.5%	51.4%	0.0%	83.8%	-28.6%	-5.8K	112.0K	-321	198.68	N/A	N/A	0	0	5	101
2014-06-12	$25.34	$26.00	8.9%	2.6%	4.5%	2.4%	9.1%	3.8%	-3.5%	-17.0K	115.2K	-140	101.01	N/A	N/A	0	5	5	101
2014-06-13	$25.23	$26.00	80.1%	23.0%	3.6%	49.2%	0.0%	9.1%	-30.1%	-10.6K	114.4K	-275	200.00	N/A	N/A	0	0	5	101
2014-06-16	$25.25	$26.00	83.6%	24.0%	3.5%	51.6%	0.0%	9.8%	-32.8%	-4.9K	54.2K	-234	200.00	N/A	N/A	0	1	5	72
2014-06-17	$25.23	$26.00	85.0%	24.4%	3.5%	52.4%	0.0%	9.6%	-33.9%	-8.3K	43.4K	-153	200.00	N/A	N/A	0	0	5	73
2014-06-18	$25.25	$26.00	86.3%	24.7%	3.5%	53.3%	0.0%	10.1%	-34.8%	-6.2K	53.5K	-234	200.00	N/A	N/A	0	0	5	73
2014-06-19	$25.34	$26.00	87.5%	25.1%	3.6%	54.1%	0.0%	11.7%	-35.5%	-6.0K	50.9K	-231	200.00	N/A	N/A	0	0	5	73
2014-06-20	$25.32	$26.00	89.1%	25.5%	3.5%	55.1%	0.0%	11.6%	-36.8%	-6.2K	51.1K	-227	200.00	N/A	N/A	0	0	5	73
2014-06-23	$25.32	$26.00	94.1%	27.0%	3.5%	58.4%	0.0%	12.3%	-27.3%	-1.9K	45.1K	-218	196.58	N/A	N/A	0	19	5	43
2014-06-24	$25.31	$26.00	96.0%	27.5%	3.5%	59.7%	0.0%	12.3%	-28.5%	-2.2K	51.5K	-257	196.94	N/A	N/A	0	0	5	49
2014-06-25	$25.39	$26.00	97.8%	28.0%	3.6%	60.9%	0.0%	14.0%	-29.5%	-2.2K	50.9K	-256	196.94	N/A	N/A	0	0	5	49
2014-06-26	$25.43	$26.00	99.8%	28.6%	3.6%	62.2%	0.0%	15.0%	-30.8%	-2.3K	50.5K	-253	195.70	N/A	N/A	0	0	5	49
2014-06-27	$25.46	$26.00	101.9%	29.2%	3.6%	63.6%	0.0%	15.9%	-32.2%	-2.3K	50.3K	-251	196.30	N/A	N/A	0	0	5	49
2014-06-30	$25.50	$26.00	109.6%	31.4%	3.6%	68.6%	0.0%	17.9%	-37.4%	-2.4K	50.2K	-245	195.14	N/A	N/A	0	5	5	49