PCEF Options History — December 2014

In December 2014, PCEF traded between $22.97 and $24.30. ATM implied volatility averaged 91.9%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 84.0% (HV 20d: 8.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.85.

Notable Days

  • 2014-12-08: Highest Volume — 63 contracts
  • 2014-12-12: Largest IV spike — 412.2% change
  • 2014-12-10: Highest IV Rank — 91.5%
  • 2014-12-31: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$22.97$24.30$24.27$23.60
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV91.9%17.9%163.1%92.5%85.2%
Expected Move16.3%13.8%20.4%13.8%20.4%
HV 20d8.0%4.4%11.2%4.5%11.1%
HV 60d8.2%7.3%9.2%7.3%9.1%
IV Rank50.9%8.6%91.5%51.2%47.0%
IV Percentile67.9%31.7%98.8%76.2%63.5%
Term Structure-34.1%-53.7%49.5%-31.1%-53.7%
VWIV33.0%20.3%43.0%23.8%37.7%
Skew 25d9.0%-98.8%77.4%15.8%0.1%
Skew 10d9.4%-98.8%77.4%25.1%0.1%
Call IV 25d106.7%22.4%150.5%130.2%147.1%
Put IV 25d115.7%23.5%157.7%146.0%147.2%
Bid-Ask Spread %179.14157.34197.67184.54197.67
Gamma HHI0.430.330.930.370.33
Net GEX-4.2K-21.0K-1.6K-4.2K-1.8K
Net DEX95.5K71.0K121.5K93.7K78.3K
Net VEX-350-414-126-345-330
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.852.705.305.002.70
Total Volume39.909063500
Total OI8271937871

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$24.27$26.0092.5%13.8%4.5%51.2%23.8%15.8%-31.1%-4.2K93.7K-3450.00184.54N/AN/A050078
2014-12-02$24.29$26.00118.8%13.9%4.5%66.2%20.3%4.6%-44.4%-2.9K98.7K-3440.00186.94N/AN/A050078
2014-12-03$24.30$26.00120.1%13.9%4.4%67.0%43.0%7.0%-45.9%-21.0K111.7K-1260.00176.72N/AN/A050078
2014-12-04$24.25$26.00125.3%14.0%4.4%69.9%0.0%7.1%-48.0%-3.9K101.9K-3350.00195.90N/AN/A00078
2014-12-05$24.12$26.0070.0%14.4%4.7%38.4%20.3%73.7%-22.7%-4.9K111.9K-3175.00182.74N/AN/A1050078
2014-12-08$23.92$26.00147.6%14.8%5.5%82.7%23.2%77.4%-25.5%-3.0K89.4K-3935.30157.34N/AN/A10531078
2014-12-09$23.84$26.00153.0%14.8%5.5%85.8%22.2%70.0%-32.4%-3.7K100.3K-4025.30169.00N/AN/A10531082
2014-12-10$23.67$26.00163.1%15.0%5.7%91.5%39.5%77.0%-28.2%-2.3K89.5K-4144.10173.26N/AN/A10411082
2014-12-11$23.69$26.0017.9%15.1%5.8%8.6%39.7%0.0%49.5%-2.4K96.1K-4054.10178.10N/AN/A10411083
2014-12-12$23.47$26.0091.6%15.1%6.4%50.7%38.0%-3.9%-37.0%-2.4K99.0K-3894.10186.50N/AN/A10411082
2014-12-15$23.13$26.0092.2%15.6%7.6%51.0%40.2%-7.6%-35.4%-4.1K115.4K-3694.10169.28N/AN/A10411082
2014-12-16$22.97$26.0095.0%16.3%7.8%52.6%42.3%-5.9%-35.0%-2.8K118.6K-3584.10161.86N/AN/A10411082
2014-12-17$23.29$26.0094.4%15.6%9.6%52.3%39.1%-7.8%-36.4%-4.5K121.5K-3564.10173.99N/AN/A10411082
2014-12-18$23.52$26.0064.0%15.2%10.4%35.0%37.7%-17.1%-41.2%-6.9K121.3K-3524.10182.72N/AN/A10411082
2014-12-19$23.69$26.0065.1%15.2%10.9%35.6%0.0%1.7%-41.2%-10.5K118.5K-3620.00189.12N/AN/A001082
2014-12-22$23.54$0.0068.9%18.8%10.9%37.7%0.0%-1.0%-34.8%-1.6K71.0K-3552.70186.84N/AN/A10271061
2014-12-23$23.66$0.0058.9%19.0%11.1%32.0%0.0%1.2%-33.4%-1.7K71.0K-3542.70188.30N/AN/A10271061
2014-12-24$23.70$0.0061.6%19.1%11.1%33.6%0.0%-98.8%-36.0%-1.9K72.7K-3532.70164.46N/AN/A10271061
2014-12-26$23.78$0.0074.7%19.4%11.1%41.0%0.0%3.7%-39.9%-1.8K71.8K-3552.70172.71N/AN/A10271061
2014-12-29$23.64$0.0080.5%20.0%11.2%44.4%0.0%1.0%-47.3%-1.8K71.9K-3442.70173.36N/AN/A10271061
2014-12-30$23.60$0.0082.7%20.2%11.1%45.6%0.0%0.1%-50.8%-1.7K75.7K-3310.00189.79N/AN/A001061
2014-12-31$23.60$0.0085.2%20.4%11.1%47.0%0.0%0.1%-53.7%-1.8K78.3K-3300.00197.67N/AN/A001061