PCEF Options History — November 2014 In November 2014, PCEF traded between $24.14 and $24.45. ATM implied volatility averaged 100.0%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 93.4% (HV 20d: 6.5%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days.
Notable Days 2014-11-21 : Highest Volume — 50 contracts2014-11-10 : Largest IV spike — 90.5% change2014-11-11 : Highest IV Rank — 84.5%2014-11-20 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.33 $24.14 $24.45 $24.45 $24.40 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 100.0% 57.3% 150.8% 101.2% 71.6% Expected Move 12.7% 7.7% 13.7% 12.2% 13.5% HV 20d 6.5% 4.1% 10.5% 10.5% 4.3% HV 60d 7.2% 7.1% 7.4% 7.4% 7.3% IV Rank 55.5% 31.1% 84.5% 56.2% 39.3% IV Percentile 78.9% 52.8% 96.0% 84.9% 57.9% Term Structure -34.3% -49.6% 32.9% -44.2% 32.9% VWIV 21.0% 16.9% 33.7% 20.4% 17.3% Skew 25d 4.0% -81.4% 61.7% -81.4% -1.3% Skew 10d 2.8% -81.4% 61.7% -81.4% -1.3% Call IV 25d 103.6% 40.2% 148.3% 145.3% 60.3% Put IV 25d 107.6% 31.3% 159.4% 63.9% 59.0% Bid-Ask Spread % 178.13 157.31 196.35 176.20 196.35 Gamma HHI 0.38 0.34 0.48 0.37 0.38 Net GEX -3.9K -5.2K -1.3K -4.8K -4.4K Net DEX 101.1K 89.1K 110.8K 108.9K 101.0K Net VEX -334 -374 -100 -351 -357 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 28.105 0 50 35 0 Total OI 77.368 77 79 77 78
Daily Data (19 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 2014-11-03 $24.45 $26.00 101.2% 12.2% 10.5% 56.2% 20.4% -81.4% -44.2% -4.8K 108.9K -351 0.00 176.20 N/A N/A 0 35 0 77 2014-11-04 $24.38 $26.00 118.8% 12.3% 10.5% 66.3% 19.6% 5.2% -44.3% -4.8K 106.3K -349 0.00 178.95 N/A N/A 0 35 0 77 2014-11-05 $24.42 $26.00 122.6% 12.4% 10.4% 68.4% 16.9% 10.7% -46.7% -3.1K 98.9K -362 0.00 188.49 N/A N/A 0 35 0 77 2014-11-06 $24.42 $26.00 126.4% 7.7% 10.0% 70.6% 18.2% 11.1% -49.6% -2.5K 89.1K -374 0.00 168.32 N/A N/A 0 35 0 77 2014-11-07 $24.42 $26.00 75.9% 12.5% 9.5% 41.7% 33.7% -60.2% -31.2% -1.3K 95.3K -100 0.00 175.31 N/A N/A 0 35 0 77 2014-11-10 $24.38 $26.00 144.5% 12.8% 8.3% 80.9% 23.9% 4.3% -29.9% -4.3K 95.0K -360 0.00 157.31 N/A N/A 0 35 0 77 2014-11-11 $24.44 $26.00 150.8% 12.6% 8.3% 84.5% 21.2% 5.1% -38.7% -2.7K 90.2K -373 0.00 162.28 N/A N/A 0 35 0 79 2014-11-12 $24.44 $26.00 91.4% 12.7% 5.6% 50.6% 20.4% 4.3% -34.2% -4.8K 106.0K -336 0.00 177.59 N/A N/A 0 35 0 77 2014-11-13 $24.39 $26.00 81.3% 12.7% 5.5% 44.8% 18.9% 6.7% -34.0% -5.2K 108.8K -321 0.00 180.53 N/A N/A 0 35 0 77 2014-11-14 $24.20 $26.00 57.3% 12.9% 5.5% 31.1% 0.0% 44.6% -35.6% -4.3K 94.2K -353 0.00 184.34 N/A N/A 0 0 0 77 2014-11-17 $24.14 $26.00 88.3% 13.1% 5.6% 48.8% 19.7% 3.2% -40.3% -4.1K 103.9K -329 0.00 173.15 N/A N/A 0 35 0 77 2014-11-18 $24.20 $26.00 89.5% 13.2% 4.6% 49.5% 24.0% 61.7% -42.3% -4.1K 94.2K -340 0.00 176.92 N/A N/A 0 35 0 77 2014-11-19 $24.20 $26.00 90.9% 13.1% 4.6% 50.3% 0.0% 3.5% -38.5% -3.5K 104.1K -317 0.00 185.76 N/A N/A 0 0 0 77 2014-11-20 $24.19 $26.00 92.5% 13.7% 4.2% 51.2% 18.0% 1.6% -38.6% -4.1K 106.8K -312 0.00 185.11 N/A N/A 0 49 0 77 2014-11-21 $24.27 $26.00 93.6% 13.5% 4.4% 51.9% 21.2% 42.8% -42.4% -4.2K 107.8K -355 0.00 158.82 N/A N/A 0 50 0 78 2014-11-24 $24.29 $26.00 99.1% 13.3% 4.3% 55.0% 0.0% 6.3% -28.5% -4.1K 102.6K -361 0.00 185.31 N/A N/A 0 0 0 78 2014-11-25 $24.32 $26.00 100.8% 13.4% 4.1% 55.9% 17.3% 4.4% -31.1% -4.0K 110.8K -333 0.00 183.66 N/A N/A 0 50 0 78 2014-11-26 $24.41 $26.00 102.6% 13.5% 4.3% 57.0% 0.0% 4.0% -33.7% -3.9K 96.3K -368 0.00 190.10 N/A N/A 0 0 0 78 2014-11-28 $24.40 $26.00 71.6% 13.5% 4.3% 39.3% 0.0% -1.3% 32.9% -4.4K 101.0K -357 0.00 196.35 N/A N/A 0 0 0 78
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