PCEF Options History — February 2015

In February 2015, PCEF traded between $23.66 and $24.06. ATM implied volatility averaged 104.9%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 98.5% (HV 20d: 6.4%). 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. Put/call ratio averaged 3.34.

Notable Days

2015-02-25: Highest Volume — 51 contracts
2015-02-25: Largest IV spike — 57.6% change
2015-02-10: Highest IV Rank — 89.5%
2015-02-04: Largest Expected Move — 36.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.86	$23.66	$24.06	$23.66	$24.06
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	104.9%	64.2%	159.5%	119.3%	110.8%
Expected Move	26.9%	18.4%	36.4%	34.2%	31.8%
HV 20d	6.4%	5.7%	7.9%	7.9%	5.7%
HV 60d	8.4%	8.2%	8.6%	8.2%	8.5%
IV Rank	58.3%	35.1%	89.5%	66.5%	61.7%
IV Percentile	71.4%	37.3%	97.6%	85.3%	80.2%
Term Structure	-35.1%	-53.9%	37.9%	-45.7%	-38.8%
VWIV	67.8%	47.4%	88.5%	47.4%	88.5%
Skew 25d	3.1%	-84.8%	81.8%	24.3%	4.8%
Skew 10d	2.6%	-84.8%	81.8%	24.3%	4.8%
Call IV 25d	109.6%	35.7%	149.5%	134.4%	132.7%
Put IV 25d	112.7%	33.6%	163.2%	158.7%	137.5%
Bid-Ask Spread %	183.52	158.50	198.06	198.06	182.01
Gamma HHI	0.34	0.28	0.45	0.34	0.28
Net GEX	-4.0K	-6.6K	-2.1K	-4.0K	-2.4K
Net DEX	88.3K	71.8K	100.6K	91.8K	71.8K
Net VEX	-341	-391	-296	-299	-311
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.34	3.10	4.10	3.10	4.10
Total Volume	36.579	0	51	1	51
Total OI	89.105	83	90	89	83

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
2015-02-02	$23.66	$0.00	119.3%	34.2%	7.9%	66.5%	0.0%	24.3%	-45.7%	-4.0K	91.8K	-299	0.00	198.06	N/A	N/A	0	1	10	79
2015-02-03	$23.83	$0.00	122.9%	35.2%	7.2%	68.6%	0.0%	19.5%	-49.3%	-4.5K	92.5K	-323	3.10	176.60	N/A	N/A	10	31	10	80
2015-02-04	$23.78	$0.00	126.9%	36.4%	7.3%	70.9%	0.0%	13.7%	-53.9%	-3.9K	95.3K	-324	3.10	189.40	N/A	N/A	10	31	10	80
2015-02-05	$23.90	$26.00	86.4%	22.2%	7.0%	47.7%	47.4%	-53.8%	-29.7%	-6.6K	94.4K	-312	3.10	158.50	N/A	N/A	10	31	10	80
2015-02-06	$23.81	$26.00	135.7%	22.3%	6.8%	75.9%	58.3%	6.4%	-31.3%	-5.3K	100.6K	-300	3.10	187.44	N/A	N/A	10	31	10	80
2015-02-09	$23.81	$26.00	149.2%	23.2%	6.7%	83.6%	60.1%	61.5%	-36.5%	-3.8K	89.6K	-330	3.10	165.69	N/A	N/A	10	31	10	80
2015-02-10	$23.89	$26.00	159.5%	23.5%	6.8%	89.5%	60.1%	-3.5%	-34.0%	-4.1K	93.9K	-296	3.10	182.91	N/A	N/A	10	31	10	80
2015-02-11	$23.87	$26.00	83.0%	23.8%	6.8%	45.8%	47.5%	-3.1%	-37.6%	-4.3K	83.8K	-376	3.10	182.13	N/A	N/A	10	31	10	80
2015-02-12	$23.97	$26.00	83.0%	23.8%	6.7%	45.8%	64.0%	0.3%	-31.4%	-4.2K	80.0K	-382	3.10	192.68	N/A	N/A	10	31	10	80
2015-02-13	$23.83	$26.00	64.2%	18.4%	5.9%	35.1%	59.0%	-1.9%	-36.2%	-5.0K	92.7K	-391	3.10	190.41	N/A	N/A	10	31	10	80
2015-02-17	$23.70	$26.00	90.8%	26.0%	6.0%	50.3%	68.2%	-4.1%	-41.3%	-4.7K	88.9K	-381	3.10	192.96	N/A	N/A	10	31	10	80
2015-02-18	$23.76	$26.00	92.2%	26.4%	6.0%	51.1%	69.8%	-3.2%	-42.0%	-5.2K	88.4K	-319	3.10	182.62	N/A	N/A	10	31	10	80
2015-02-19	$23.75	$26.00	93.8%	26.9%	5.8%	52.0%	0.0%	-3.4%	-48.4%	-3.1K	91.7K	-380	0.00	182.77	N/A	N/A	0	0	10	80
2015-02-20	$23.82	$26.00	95.4%	27.3%	5.7%	52.9%	0.0%	-84.8%	-44.3%	-3.2K	91.2K	-378	0.00	194.15	N/A	N/A	0	0	10	80
2015-02-23	$23.90	$26.00	98.8%	28.3%	5.8%	54.8%	77.3%	-0.9%	-31.9%	-3.7K	79.5K	-360	3.10	189.06	N/A	N/A	10	31	10	80
2015-02-24	$24.01	$26.00	67.0%	19.2%	5.9%	36.7%	80.7%	81.8%	37.9%	-3.7K	97.6K	-343	3.90	176.12	N/A	N/A	10	39	10	80
2015-02-25	$23.99	$26.00	105.7%	30.3%	5.8%	58.7%	84.4%	4.1%	-35.3%	-2.7K	78.0K	-353	4.10	194.47	N/A	N/A	10	41	10	78
2015-02-26	$24.03	$26.00	108.3%	31.1%	5.7%	60.3%	84.4%	1.5%	-37.6%	-2.1K	76.2K	-313	4.10	168.95	N/A	N/A	10	41	10	73
2015-02-27	$24.06	$26.00	110.8%	31.8%	5.7%	61.7%	88.5%	4.8%	-38.8%	-2.4K	71.8K	-311	4.10	182.01	N/A	N/A	10	41	10	73