PCEF Options History — March 2015

In March 2015, PCEF traded between $23.63 and $24.15. ATM implied volatility averaged 104.8%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 27.0%. IV traded above realized volatility by 98.4% (HV 20d: 6.4%). 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 2 of 22 days. Put/call ratio averaged 3.64.

Notable Days

  • 2015-03-02: Highest Volume — 58 contracts
  • 2015-03-09: Largest IV spike — 104.3% change
  • 2015-03-10: Highest IV Rank — 89.6%
  • 2015-03-04: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.86$23.63$24.15$24.10$23.84
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV104.8%62.7%159.7%120.2%122.4%
Expected Move27.0%12.7%35.8%34.5%35.1%
HV 20d6.4%4.9%7.3%5.5%6.9%
HV 60d7.6%6.7%8.5%8.5%6.8%
IV Rank58.2%34.2%89.6%67.0%68.3%
IV Percentile68.8%30.6%97.6%84.1%83.3%
Term Structure-34.2%-61.2%25.4%-45.0%-47.5%
VWIV99.7%95.0%107.5%95.0%107.5%
Skew 25d4.1%-47.3%50.8%4.1%5.3%
Skew 10d3.7%-47.3%42.7%4.1%5.3%
Call IV 25d97.5%24.8%151.4%143.6%143.9%
Put IV 25d101.6%21.3%158.1%147.7%149.3%
Bid-Ask Spread %190.44168.49200.00191.12196.94
Gamma HHI0.330.250.470.280.32
Net GEX-2.3K-3.9K-735-2.4K-1.6K
Net DEX56.7K23.9K95.6K74.5K23.9K
Net VEX-245-346-203-302-205
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.642.804.804.802.80
Total Volume17.3640585838
Total OI63.40941908343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$24.10$26.00120.2%34.5%5.5%67.0%95.0%4.1%-45.0%-2.4K74.5K-3024.80191.12N/AN/A10481073
2015-03-03$24.08$26.00123.6%35.4%5.5%69.0%96.6%2.8%-49.9%-2.5K81.8K-3464.80168.49N/AN/A10481080
2015-03-04$24.11$26.00124.8%35.8%5.0%69.6%107.5%6.8%-47.5%-3.1K74.2K-3213.70182.82N/AN/A10371080
2015-03-05$24.15$0.00131.6%22.1%4.9%73.5%0.0%7.6%-61.2%-2.7K95.6K-2483.70196.92N/AN/A10371074
2015-03-06$23.93$0.0074.4%12.7%5.8%40.9%0.0%50.8%25.4%-2.3K80.5K-2843.70176.72N/AN/A10371074
2015-03-09$23.99$0.00151.9%23.1%5.7%85.1%0.0%3.3%-32.3%-2.3K72.4K-2630.00200.00N/AN/A001067
2015-03-10$23.88$0.00159.7%23.5%5.9%89.6%0.0%1.7%-28.6%-2.2K71.6K-2610.00185.56N/AN/A001067
2015-03-11$23.85$0.0083.0%23.8%5.8%45.8%0.0%1.2%-32.5%-2.6K75.1K-2540.00199.56N/AN/A001067
2015-03-12$23.95$0.0062.7%18.0%6.0%34.2%0.0%5.4%12.2%-2.6K70.3K-2550.00178.60N/AN/A001067
2015-03-13$23.65$0.0085.5%24.5%7.3%47.3%0.0%0.7%-34.6%-3.1K78.4K-2430.00199.12N/AN/A051067
2015-03-16$23.66$0.0089.5%25.6%7.1%49.5%0.0%0.9%-37.8%-3.5K52.9K-2260.00189.10N/AN/A041046
2015-03-17$23.63$0.0090.9%26.1%6.8%50.3%0.0%0.4%-39.1%-3.5K53.6K-2240.00200.00N/AN/A001046
2015-03-18$23.74$0.0092.3%26.5%7.0%51.1%0.0%-5.3%-39.9%-3.9K51.9K-2240.00197.85N/AN/A001046
2015-03-19$23.68$0.0094.0%26.9%7.0%52.0%0.0%-47.3%-41.5%-3.9K53.1K-2180.00191.58N/AN/A001046
2015-03-20$23.78$0.0095.4%27.4%7.1%52.9%0.0%3.1%-42.4%-80553.1K-2180.00200.00N/AN/A001046
2015-03-23$23.81$0.00101.0%28.9%7.0%56.1%0.0%-2.5%-27.8%-95533.5K-2080.00193.43N/AN/A021031
2015-03-24$23.81$0.00103.0%29.5%6.8%57.2%0.0%42.7%-33.1%-73529.8K-2320.00187.52N/AN/A001033
2015-03-25$23.77$0.00105.4%30.2%6.8%58.6%0.0%3.2%-34.8%-1.0K33.3K-2210.00188.04N/AN/A001033
2015-03-26$23.78$0.00107.7%30.9%6.8%59.9%0.0%3.5%-32.7%-1.7K27.5K-2032.80196.07N/AN/A10281033
2015-03-27$23.80$0.00110.2%31.6%6.8%61.3%0.0%4.0%-38.3%-1.0K33.1K-2190.00186.32N/AN/A001033
2015-03-30$23.89$0.0076.5%21.9%6.9%42.1%0.0%-1.4%-44.5%-1.4K26.4K-2182.80183.94N/AN/A10281033
2015-03-31$23.84$0.00122.4%35.1%6.9%68.3%0.0%5.3%-47.5%-1.6K23.9K-2052.80196.94N/AN/A10281033