PCEF Options History — January 2015

Name: PCEF Options Analytics - January 2015
Creator: Options Analysis Suite

In January 2015, PCEF traded between $23.33 and $23.76. ATM implied volatility averaged 87.9%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 78.1% (HV 20d: 9.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.98.

Notable Days

2015-01-22: Highest Volume — 50 contracts
2015-01-07: Largest IV drop — 79.0% change
2015-01-06: Highest IV Rank — 88.1%
2015-01-30: Largest Expected Move — 31.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.60	$23.33	$23.76	$23.63	$23.60
ATM IV	87.9%	33.0%	157.1%	90.6%	110.6%
Expected Move	25.1%	13.6%	31.7%	20.8%	31.7%
HV 20d	9.7%	7.7%	12.0%	11.1%	7.9%
HV 60d	8.5%	8.1%	9.3%	9.1%	8.2%
IV Rank	48.6%	17.2%	88.1%	50.2%	61.6%
IV Percentile	65.5%	30.6%	96.8%	69.8%	82.5%
Term Structure	-22.2%	-57.9%	44.3%	-57.9%	-34.1%
Skew 25d	7.2%	-41.8%	21.0%	-41.8%	20.0%
Skew 10d	7.2%	-41.8%	21.0%	-41.8%	20.0%
Call IV 25d	106.6%	87.6%	156.2%	156.2%	126.0%
Put IV 25d	113.8%	78.0%	146.0%	114.4%	146.0%
Bid-Ask Spread %	187.65	163.25	195.80	191.17	194.99
Gamma HHI	0.33	0.31	0.35	0.35	0.34
Net GEX	-2.4K	-4.5K	-1.6K	-2.3K	-4.4K
Net DEX	81.7K	66.1K	103.1K	89.1K	101.3K
Net VEX	-336	-430	-263	-263	-403
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.98	2.70	4.00	2.70	3.20
Total Volume	23.85	0	50	37	42
Total OI	76.15	71	89	71	89

Daily Data (20 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
2015-01-02	$23.63	$0.00	90.6%	20.8%	11.1%	50.2%	0.0%	-41.8%	-57.9%	-2.3K	89.1K	-263	2.70	191.17	N/A	N/A	10	27	10	61
2015-01-05	$23.38	$0.00	150.5%	13.6%	11.6%	84.3%	0.0%	9.4%	44.3%	-1.7K	73.8K	-325	0.00	179.46	N/A	N/A	0	0	10	61
2015-01-06	$23.40	$0.00	157.1%	22.5%	11.6%	88.1%	0.0%	9.8%	-9.8%	-1.9K	79.6K	-312	0.00	193.51	N/A	N/A	0	0	10	61
2015-01-07	$23.58	$0.00	33.0%	22.0%	11.7%	17.2%	0.0%	8.5%	-19.5%	-1.8K	71.2K	-331	0.00	190.96	N/A	N/A	0	0	10	61
2015-01-08	$23.74	$0.00	34.3%	22.2%	12.0%	18.0%	0.0%	9.7%	-18.6%	-1.7K	73.8K	-323	2.70	189.60	N/A	N/A	10	27	10	61
2015-01-09	$23.67	$0.00	36.1%	22.5%	11.7%	19.0%	0.0%	9.9%	-15.8%	-1.7K	74.6K	-319	2.70	189.88	N/A	N/A	10	27	10	61
2015-01-12	$23.65	$0.00	45.7%	23.3%	11.7%	24.5%	0.0%	14.2%	-18.4%	-1.7K	70.4K	-321	2.70	163.25	N/A	N/A	10	27	10	61
2015-01-13	$23.66	$0.00	51.8%	23.7%	11.2%	28.0%	0.0%	9.1%	-18.8%	-2.2K	80.7K	-304	2.70	195.37	N/A	N/A	10	27	10	61
2015-01-14	$23.56	$0.00	83.6%	24.0%	9.9%	46.1%	0.0%	9.2%	-21.5%	-1.6K	72.6K	-313	2.70	181.23	N/A	N/A	10	27	10	61
2015-01-15	$23.33	$0.00	87.9%	25.2%	10.2%	48.6%	0.0%	9.4%	-17.9%	-1.9K	82.5K	-282	2.70	195.29	N/A	N/A	10	27	10	61
2015-01-16	$23.49	$0.00	89.2%	25.6%	9.3%	49.3%	0.0%	14.7%	-20.4%	-1.7K	70.6K	-311	0.00	178.84	N/A	N/A	0	0	10	61
2015-01-20	$23.52	$0.00	91.3%	26.2%	8.6%	50.5%	0.0%	12.2%	-28.0%	-1.7K	66.1K	-313	0.00	179.28	N/A	N/A	0	0	10	61
2015-01-21	$23.62	$0.00	92.4%	26.5%	8.4%	51.2%	0.0%	18.1%	-26.3%	-1.8K	66.4K	-313	0.00	175.83	N/A	N/A	0	0	10	61
2015-01-22	$23.73	$0.00	94.3%	27.0%	8.2%	52.2%	0.0%	10.3%	-25.8%	-2.6K	80.3K	-292	4.00	195.80	N/A	N/A	10	40	10	61
2015-01-23	$23.76	$0.00	95.9%	27.5%	8.0%	53.2%	0.0%	10.9%	-26.8%	-4.5K	100.6K	-323	3.20	189.68	N/A	N/A	10	32	10	74
2015-01-26	$23.70	$0.00	101.1%	29.0%	8.1%	56.1%	0.0%	-35.5%	-32.0%	-2.5K	90.7K	-430	0.00	194.79	N/A	N/A	0	0	10	79
2015-01-27	$23.66	$0.00	103.3%	29.6%	8.0%	57.4%	0.0%	21.0%	-33.6%	-2.4K	90.1K	-428	0.00	192.60	N/A	N/A	0	0	10	79
2015-01-28	$23.60	$0.00	106.0%	30.4%	7.7%	58.9%	0.0%	12.1%	-35.2%	-4.5K	103.1K	-406	3.20	189.46	N/A	N/A	10	32	10	79
2015-01-29	$23.67	$0.00	102.7%	29.4%	7.8%	57.0%	0.0%	11.8%	-28.0%	-4.3K	95.6K	-417	3.20	191.92	N/A	N/A	10	32	10	79
2015-01-30	$23.60	$0.00	110.6%	31.7%	7.9%	61.6%	0.0%	20.0%	-34.1%	-4.4K	101.3K	-403	3.20	194.99	N/A	N/A	10	32	10	79