PCEF Options History — October 2014

In October 2014, PCEF traded between $23.45 and $24.47. ATM implied volatility averaged 103.3%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 94.8% (HV 20d: 8.5%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days.

Notable Days

  • 2014-10-30: Highest Volume — 35 contracts
  • 2014-10-15: Largest IV spike — 2998.6% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-31: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.15$23.45$24.47$24.28$24.40
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV103.3%2.8%178.0%122.6%107.3%
Expected Move10.3%6.5%12.1%11.0%12.1%
HV 20d8.5%5.3%10.7%5.3%10.5%
HV 60d7.2%6.3%8.3%6.3%7.5%
IV Rank58.2%0.0%100.0%70.5%59.7%
IV Percentile80.5%0.0%100.0%93.7%86.9%
Term Structure-23.4%-55.7%39.4%-46.0%-38.3%
VWIV29.4%21.6%34.8%33.4%21.9%
Skew 25d-5.9%-54.7%5.9%-7.6%4.2%
Skew 10d-5.9%-54.7%5.9%-7.6%4.2%
Call IV 25d112.6%86.3%154.2%145.5%129.4%
Put IV 25d106.7%66.6%147.4%137.9%133.6%
Bid-Ask Spread %183.61154.00195.26193.49175.07
Gamma HHI0.320.300.450.310.45
Net GEX-4.5K-9.7K-2.8K-3.5K-9.7K
Net DEX107.3K97.3K116.5K105.7K102.0K
Net VEX-448-500-358-500-358
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume11.304035035
Total OI85.60977878777

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$24.28$26.00122.6%11.0%5.3%70.5%0.0%-7.6%-46.0%-3.5K105.7K-5000.00193.49N/AN/A00087
2014-10-02$24.22$26.00125.3%11.1%5.3%72.1%0.0%-9.2%-46.3%-3.1K106.1K-4960.00188.48N/AN/A00087
2014-10-03$24.33$26.00126.4%6.5%5.7%72.8%0.0%-6.8%-55.7%-4.1K109.7K-4910.00192.72N/AN/A00087
2014-10-06$24.39$26.00142.6%6.7%5.9%82.5%0.0%-3.6%-15.4%-4.2K109.6K-4850.00193.80N/AN/A00087
2014-10-07$24.36$26.00150.6%6.7%5.7%87.4%0.0%-7.1%-3.1%-4.2K109.4K-4830.00191.47N/AN/A00087
2014-10-08$24.47$26.00160.4%11.2%6.1%93.2%33.4%-7.0%-19.2%-6.6K99.1K-4670.00182.52N/AN/A023087
2014-10-09$24.28$26.00167.0%11.3%6.5%97.2%0.0%-6.8%-10.0%-3.8K112.0K-4760.00193.56N/AN/A00087
2014-10-10$24.08$26.00178.0%11.7%6.9%100.0%0.0%-5.4%-16.5%-2.9K103.5K-4790.00190.84N/AN/A00087
2014-10-13$23.80$26.0077.9%11.5%7.4%42.1%0.0%-20.8%-17.0%-3.5K111.9K-4580.00182.57N/AN/A00087
2014-10-14$23.81$26.002.8%11.7%7.2%0.0%34.8%-8.9%-16.6%-5.8K102.7K-4510.00154.00N/AN/A023087
2014-10-15$23.45$26.0085.5%7.1%8.6%47.2%30.6%-21.3%-20.8%-3.6K108.2K-4560.00179.47N/AN/A024087
2014-10-16$23.62$26.0083.3%8.6%9.2%46.0%0.0%-4.9%-22.0%-2.8K109.8K-4330.00187.12N/AN/A00085
2014-10-17$23.86$26.0085.4%8.7%10.1%47.2%0.0%0.5%-23.3%-3.6K108.5K-4470.00186.59N/AN/A00085
2014-10-20$23.91$26.0087.8%8.7%10.0%48.5%0.0%-0.4%-22.9%-3.6K108.0K-4410.00192.51N/AN/A00085
2014-10-21$24.13$26.0054.4%11.8%10.7%29.4%30.3%-1.4%-23.7%-3.9K104.8K-4440.00175.24N/AN/A024085
2014-10-22$24.15$26.0059.0%11.9%10.6%32.1%32.7%3.5%-30.6%-7.1K97.3K-4170.00159.54N/AN/A024085
2014-10-23$24.27$26.0091.7%11.8%10.5%50.8%30.2%4.4%-25.3%-4.7K107.1K-4350.00180.91N/AN/A024085
2014-10-24$24.31$26.0094.0%11.9%10.6%52.1%30.3%3.6%-27.0%-4.8K107.4K-4330.00179.20N/AN/A024085
2014-10-27$24.26$26.0065.1%12.0%10.6%35.6%0.0%5.9%39.4%-3.6K104.1K-4370.00195.26N/AN/A00085
2014-10-28$24.36$26.00100.7%9.1%10.6%55.9%0.0%-54.7%-31.9%-4.1K116.4K-3950.00189.43N/AN/A00085
2014-10-29$24.35$26.00102.9%12.1%10.6%57.1%28.5%4.4%-32.7%-5.2K116.5K-4000.00180.27N/AN/A024085
2014-10-30$24.33$26.00105.0%12.1%10.5%58.4%21.6%4.1%-34.5%-4.9K108.4K-4170.00178.99N/AN/A035085
2014-10-31$24.40$26.00107.3%12.1%10.5%59.7%21.9%4.2%-38.3%-9.7K102.0K-3580.00175.07N/AN/A035077