PCEF Options History — April 2015

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

In April 2015, PCEF traded between $23.84 and $24.14. ATM implied volatility averaged 74.6%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 70.2% (HV 20d: 4.4%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.91.

Notable Days

2015-04-16: Highest Volume — 40 contracts
2015-04-15: Largest IV spike — 266.9% change
2015-04-07: Highest IV Rank — 89.4%
2015-04-01: Largest Expected Move — 35.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.04	$23.84	$24.14	$23.84	$24.04
ATM IV	74.6%	14.6%	159.3%	124.9%	76.5%
Expected Move	19.7%	4.2%	35.8%	35.8%	21.9%
HV 20d	4.4%	3.2%	6.9%	6.9%	3.5%
HV 60d	5.8%	5.3%	6.4%	6.4%	5.3%
IV Rank	41.0%	6.8%	89.4%	69.7%	42.1%
IV Percentile	37.3%	7.1%	96.8%	85.7%	35.7%
Term Structure	-34.1%	-107.4%	43.7%	-47.9%	-60.1%
Skew 25d	17.0%	-57.9%	80.1%	-2.6%	14.9%
Skew 10d	16.7%	-2.6%	92.4%	-2.6%	14.9%
Call IV 25d	88.1%	8.3%	148.4%	32.6%	148.4%
Put IV 25d	105.1%	30.0%	163.4%	30.0%	163.4%
Bid-Ask Spread %	178.00	160.66	194.59	187.50	194.59
Gamma HHI	0.32	0.30	0.43	0.32	0.31
Net GEX	-1.2K	-1.8K	-643	-1.6K	-1.2K
Net DEX	27.0K	15.4K	34.2K	29.3K	26.6K
Net VEX	-200	-217	-147	-199	-189
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	2.80	3.00	2.80	3.00
Total Volume	37.333	2	40	38	40
Total OI	43	43	43	43	43

Daily Data (21 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
2015-04-01	$23.84	$0.00	124.9%	35.8%	6.9%	69.7%	0.0%	-2.6%	-47.9%	-1.6K	29.3K	-199	2.80	187.50	N/A	N/A	10	28	10	33
2015-04-02	$23.86	$0.00	130.3%	22.1%	6.9%	72.8%	0.0%	1.3%	-17.4%	-1.4K	27.9K	-208	2.80	181.33	N/A	N/A	10	28	10	33
2015-04-06	$23.96	$0.00	77.2%	23.1%	6.3%	42.5%	0.0%	2.9%	-25.8%	-1.7K	30.0K	-203	2.80	185.22	N/A	N/A	10	28	10	33
2015-04-07	$24.02	$0.00	159.3%	23.6%	6.3%	89.4%	0.0%	8.6%	-23.1%	-1.2K	26.2K	-212	2.80	182.14	N/A	N/A	10	28	10	33
2015-04-08	$24.04	$0.00	83.4%	23.9%	6.0%	46.0%	0.0%	8.7%	-19.3%	-643	29.2K	-215	0.00	191.58	N/A	N/A	0	2	10	33
2015-04-09	$24.07	$0.00	84.8%	24.3%	6.0%	46.8%	0.0%	9.2%	-24.6%	-791	26.0K	-217	2.80	160.66	N/A	N/A	10	28	10	33
2015-04-10	$24.08	$0.00	78.8%	22.6%	5.8%	43.4%	0.0%	8.7%	-27.2%	-1.4K	25.2K	-208	2.80	177.51	N/A	N/A	10	28	10	33
2015-04-13	$24.06	$0.00	51.2%	14.7%	3.3%	27.7%	0.0%	16.5%	-24.8%	-1.4K	27.4K	-205	2.80	176.85	N/A	N/A	10	28	10	33
2015-04-14	$24.10	$0.00	14.6%	4.2%	3.4%	6.8%	0.0%	66.1%	43.7%	-1.8K	27.3K	-192	2.80	169.57	N/A	N/A	10	28	10	33
2015-04-15	$24.01	$0.00	53.8%	15.4%	3.7%	29.1%	0.0%	9.7%	-25.7%	-718	27.1K	-212	2.80	186.02	N/A	N/A	10	28	10	33
2015-04-16	$24.02	$0.00	55.6%	15.9%	3.4%	30.1%	0.0%	-57.9%	-24.8%	-1.4K	24.1K	-203	3.00	185.20	N/A	N/A	10	30	10	33
2015-04-17	$23.93	$0.00	54.8%	15.7%	3.5%	29.7%	0.0%	20.4%	-35.7%	-1.3K	15.4K	-195	3.00	184.48	N/A	N/A	10	30	10	33
2015-04-20	$24.02	$0.00	58.8%	16.9%	3.5%	32.0%	0.0%	10.8%	-32.7%	-778	28.3K	-207	3.00	162.79	N/A	N/A	10	30	10	33
2015-04-21	$24.03	$0.00	60.6%	17.4%	3.5%	33.0%	0.0%	10.9%	-37.4%	-1.1K	24.1K	-200	3.00	181.12	N/A	N/A	10	30	10	33
2015-04-22	$24.07	$0.00	62.0%	17.8%	3.5%	33.8%	0.0%	78.8%	-39.1%	-1.2K	25.4K	-199	3.00	174.25	N/A	N/A	10	30	10	33
2015-04-23	$24.12	$0.00	62.6%	17.9%	3.4%	34.1%	0.0%	67.8%	-39.8%	-1.3K	29.5K	-197	3.00	173.49	N/A	N/A	10	30	10	33
2015-04-24	$24.13	$0.00	63.0%	18.1%	3.4%	34.4%	0.0%	18.4%	-45.3%	-746	29.3K	-201	3.00	166.84	N/A	N/A	10	30	10	33
2015-04-27	$24.10	$0.00	69.2%	19.8%	3.5%	37.9%	0.0%	14.4%	-45.6%	-728	27.7K	-198	3.00	162.11	N/A	N/A	10	30	10	33
2015-04-28	$24.14	$0.00	71.7%	20.5%	3.3%	39.3%	0.0%	-30.9%	-107.4%	-1.6K	34.2K	-147	3.00	176.44	N/A	N/A	10	30	10	33
2015-04-29	$24.11	$0.00	73.4%	21.0%	3.2%	40.3%	0.0%	80.1%	-55.8%	-1.2K	26.0K	-191	3.00	178.31	N/A	N/A	10	30	10	33
2015-04-30	$24.04	$0.00	76.5%	21.9%	3.5%	42.1%	0.0%	14.9%	-60.1%	-1.2K	26.6K	-189	3.00	194.59	N/A	N/A	10	30	10	33