PCEF Options History — August 2014

In August 2014, PCEF traded between $24.43 and $25.14. ATM implied volatility averaged 59.5%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 51.7% (HV 20d: 7.8%). 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 17 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-08-06: Highest Volume — 20 contracts
  • 2014-08-27: Largest IV spike — 272.9% change
  • 2014-08-06: Highest IV Rank — 100.0%
  • 2014-08-29: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.86$24.43$25.14$24.68$25.14
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV59.5%6.1%171.7%125.3%69.6%
Expected Move8.9%5.1%9.8%9.1%9.8%
HV 20d7.8%5.8%8.4%7.2%5.8%
HV 60d5.7%5.3%5.9%5.3%5.8%
IV Rank34.3%0.5%100.0%79.0%38.7%
IV Percentile68.1%0.8%100.0%96.4%78.2%
Term Structure20.3%-116.6%64.1%-116.6%-88.2%
VWIV22.8%15.4%37.4%21.7%37.4%
Skew 25d9.4%-32.0%72.4%1.6%-8.8%
Skew 10d-46.2%-81.2%23.0%1.5%-64.4%
Call IV 25d66.7%8.2%149.1%149.1%117.8%
Put IV 25d76.2%15.7%150.7%150.7%109.0%
Bid-Ask Spread %183.47162.16193.16189.63174.46
Gamma HHI0.360.310.400.360.34
Net GEX-4.5K-9.0K-1.9K-1.9K-5.5K
Net DEX89.1K66.0K107.4K66.0K75.0K
Net VEX-463-540-354-365-420
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.71402050
Total OI85.095621006283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$24.68$25.00125.3%9.1%7.2%79.0%21.7%1.6%-116.6%-1.9K66.0K-3650.00189.63N/AN/A05557
2014-08-04$24.64$25.00140.2%5.1%7.1%88.8%16.8%57.6%30.6%-3.7K79.9K-3870.00176.17N/AN/A05562
2014-08-05$24.43$25.00135.0%9.5%7.5%85.3%0.0%-6.4%19.6%-2.4K83.6K-4280.00191.63N/AN/A010567
2014-08-06$24.47$25.00157.5%9.5%7.5%100.0%0.0%-32.0%23.2%-2.3K80.0K-4240.00191.68N/AN/A020566
2014-08-07$24.54$25.00162.2%9.4%7.7%100.0%15.4%30.5%34.7%-4.8K94.9K-4810.00168.14N/AN/A05586
2014-08-08$24.66$25.00171.7%9.3%7.9%100.0%0.0%-28.6%22.3%-4.6K107.4K-5280.00188.37N/AN/A00591
2014-08-11$24.80$25.0017.2%9.4%8.2%7.2%0.0%26.6%35.4%-4.8K106.0K-5240.00184.89N/AN/A00591
2014-08-12$24.82$25.0011.3%9.3%7.8%3.7%0.0%20.4%-0.4%-5.2K105.7K-5230.00177.46N/AN/A00591
2014-08-13$24.91$25.0011.5%5.1%8.0%3.8%0.0%23.7%32.1%-6.0K107.1K-5180.00162.16N/AN/A00591
2014-08-14$24.99$25.0011.3%9.7%8.0%3.7%0.0%2.2%1.6%-5.3K101.1K-5230.00187.88N/AN/A00591
2014-08-15$24.81$25.0014.6%9.4%8.3%5.6%0.0%72.4%32.6%-5.3K105.6K-5170.00192.05N/AN/A00591
2014-08-18$24.91$25.0020.3%6.5%8.4%9.1%37.4%49.9%51.6%-5.8K105.3K-5100.00191.73N/AN/A04591
2014-08-19$24.98$25.0020.6%9.5%8.4%9.3%0.0%6.1%51.9%-5.6K106.4K-5400.00190.19N/AN/A020595
2014-08-20$24.98$25.0020.5%9.5%8.3%9.2%0.0%5.9%53.1%-3.3K84.1K-4800.00193.16N/AN/A00575
2014-08-21$25.03$25.0020.9%9.5%8.4%9.4%0.0%0.6%59.0%-3.3K85.6K-4770.00183.75N/AN/A00575
2014-08-22$24.97$25.0021.3%9.3%8.4%9.6%0.0%5.8%53.9%-3.5K84.8K-4770.00190.34N/AN/A00575
2014-08-25$24.98$25.0020.5%9.7%8.4%9.2%0.0%5.4%61.0%-3.9K66.5K-4180.00175.68N/AN/A00575
2014-08-26$25.04$25.006.1%9.8%8.4%0.5%0.0%-17.8%64.1%-4.5K70.4K-4000.00177.70N/AN/A06575
2014-08-27$25.11$25.0022.9%9.7%8.3%10.6%0.0%-10.4%36.5%-9.0K81.9K-3540.00187.24N/AN/A30581
2014-08-28$25.12$25.0068.1%9.8%6.1%37.8%0.0%-6.7%-32.1%-4.4K75.0K-4250.00178.64N/AN/A00281
2014-08-29$25.14$25.0069.6%9.8%5.8%38.7%0.0%-8.8%-88.2%-5.5K75.0K-4200.00174.46N/AN/A00281