PCEF Options History — July 2014

Name: PCEF Options Analytics - July 2014
Creator: Options Analysis Suite

In July 2014, PCEF traded between $24.80 and $25.50. ATM implied volatility averaged 83.6%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 79.3% (HV 20d: 4.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

2014-07-22: Highest Volume — 15 contracts
2014-07-23: Largest IV spike — 278.6% change
2014-07-09: Highest IV Rank — 96.2%
2014-07-03: Largest Expected Move — 34.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.31	$24.80	$25.50	$25.50	$24.80
Max Pain	$25.30	$25.00	$26.00	$26.00	$25.00
ATM IV	83.6%	13.2%	151.6%	112.6%	76.6%
Expected Move	17.4%	5.2%	34.4%	32.3%	9.2%
HV 20d	4.3%	3.2%	7.0%	3.3%	7.0%
HV 60d	4.1%	3.7%	5.3%	3.9%	5.3%
IV Rank	51.6%	5.3%	96.2%	70.6%	46.9%
IV Percentile	84.6%	60.7%	98.8%	95.6%	81.0%
Term Structure	-49.5%	-90.3%	-3.7%	-39.5%	-19.9%
VWIV	9.3%	4.7%	13.9%	4.7%	13.9%
Skew 25d	6.4%	-81.8%	46.9%	18.4%	4.2%
Skew 10d	7.9%	-81.8%	52.2%	18.4%	4.2%
Call IV 25d	92.9%	8.8%	142.7%	125.8%	142.7%
Put IV 25d	99.3%	7.3%	151.6%	144.3%	146.9%
Bid-Ask Spread %	191.13	172.68	200.00	195.14	190.57
Gamma HHI	0.40	0.33	0.64	0.33	0.36
Net GEX	-3.4K	-6.9K	-1.9K	-2.7K	-1.9K
Net DEX	52.6K	22.0K	65.0K	56.4K	60.3K
Net VEX	-270	-386	-110	-278	-367
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	1.273	0	15	0	4
Total OI	56.955	43	62	59	62

Daily Data (22 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	Put Vol	Call OI	Put OI
2014-07-01	$25.50	$26.00	112.6%	32.3%	3.3%	70.6%	0.0%	18.4%	-39.5%	-2.7K	56.4K	-278	195.14	N/A	N/A	0	5	54
2014-07-02	$25.36	$26.00	116.3%	33.3%	3.6%	73.0%	0.0%	16.0%	-42.7%	-2.6K	57.8K	-275	195.14	N/A	N/A	0	5	54
2014-07-03	$25.33	$26.00	120.0%	34.4%	3.6%	75.5%	0.0%	15.8%	-45.6%	-2.6K	58.2K	-274	196.30	N/A	N/A	0	5	54
2014-07-07	$25.36	$0.00	71.1%	11.9%	3.6%	43.3%	0.0%	-26.6%	-66.7%	-3.4K	42.8K	-110	174.21	N/A	N/A	0	5	54
2014-07-08	$25.37	$0.00	144.6%	22.0%	3.6%	91.7%	0.0%	8.6%	-50.4%	-2.7K	57.9K	-260	200.00	N/A	N/A	0	5	54
2014-07-09	$25.42	$0.00	151.6%	22.3%	3.4%	96.2%	0.0%	9.4%	-54.4%	-2.5K	57.4K	-260	197.24	N/A	N/A	0	5	54
2014-07-10	$25.38	$0.00	78.9%	22.6%	3.5%	48.5%	0.0%	9.0%	-55.4%	-2.6K	57.8K	-255	197.24	N/A	N/A	0	5	54
2014-07-11	$25.45	$0.00	79.7%	22.8%	3.6%	48.9%	0.0%	12.3%	-55.6%	-2.2K	54.7K	-254	196.67	N/A	N/A	0	5	54
2014-07-14	$25.49	$0.00	83.1%	23.8%	3.2%	51.2%	0.0%	13.4%	-58.4%	-2.2K	54.6K	-244	196.13	N/A	N/A	0	5	54
2014-07-15	$25.28	$0.00	84.8%	24.3%	4.4%	52.3%	0.0%	10.4%	-60.3%	-6.9K	63.3K	-235	197.24	N/A	N/A	0	5	54
2014-07-16	$25.29	$0.00	62.6%	17.9%	4.4%	37.7%	0.0%	8.2%	-41.6%	-5.3K	40.8K	-227	200.00	N/A	N/A	0	5	44
2014-07-17	$25.19	$0.00	87.8%	25.2%	4.7%	54.3%	0.0%	9.3%	-64.3%	-6.1K	42.4K	-224	197.24	N/A	N/A	0	5	44
2014-07-18	$25.25	$0.00	62.3%	17.8%	4.5%	37.5%	0.0%	10.4%	-11.5%	-6.8K	39.8K	-221	197.24	N/A	N/A	4	5	44
2014-07-21	$25.21	$0.00	28.0%	8.8%	4.6%	15.0%	0.0%	46.9%	-3.7%	-3.7K	23.4K	-120	197.86	N/A	N/A	0	5	38
2014-07-22	$25.29	$0.00	13.2%	5.5%	4.7%	5.3%	4.7%	-4.3%	-5.0%	-3.1K	22.0K	-117	172.68	N/A	N/A	15	5	38
2014-07-23	$25.37	$25.00	50.1%	6.8%	4.9%	29.5%	13.9%	5.1%	-72.5%	-6.5K	60.4K	-320	175.06	N/A	N/A	5	5	53
2014-07-24	$25.37	$25.00	56.3%	5.2%	4.7%	33.6%	0.0%	13.9%	-74.3%	-2.0K	61.7K	-386	174.80	N/A	N/A	0	5	57
2014-07-25	$25.32	$25.00	60.7%	8.9%	4.7%	36.5%	0.0%	-81.8%	-76.6%	-2.2K	61.3K	-386	188.06	N/A	N/A	0	5	57
2014-07-28	$25.32	$25.00	110.0%	9.0%	4.7%	68.9%	0.0%	14.3%	-87.5%	-1.9K	62.6K	-378	196.98	N/A	N/A	0	5	57
2014-07-29	$25.32	$25.00	113.0%	9.0%	4.7%	70.9%	0.0%	14.7%	-90.3%	-1.9K	57.5K	-378	184.35	N/A	N/A	0	5	57
2014-07-30	$25.18	$25.00	77.0%	9.2%	5.0%	47.2%	0.0%	12.2%	-13.5%	-2.1K	65.0K	-373	184.62	N/A	N/A	0	5	57
2014-07-31	$24.80	$25.00	76.6%	9.2%	7.0%	46.9%	0.0%	4.2%	-19.9%	-1.9K	60.3K	-367	190.57	N/A	N/A	4	5	57