PCEF Options History — May 2015

In May 2015, PCEF traded between $23.72 and $24.10. ATM implied volatility averaged 63.3%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 59.2% (HV 20d: 4.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.45.

Notable Days

2015-05-26: Highest Volume — 56 contracts
2015-05-20: Largest IV spike — 464.0% change
2015-05-08: Highest IV Rank — 60.9%
2015-05-01: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.88	$23.72	$24.10	$24.10	$23.77
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	63.3%	9.7%	109.5%	79.0%	66.2%
Expected Move	14.9%	2.8%	22.6%	22.6%	19.0%
HV 20d	4.1%	3.3%	4.5%	3.5%	4.3%
HV 60d	5.1%	5.0%	5.3%	5.3%	5.1%
IV Rank	34.6%	4.0%	60.9%	43.5%	36.2%
IV Percentile	31.9%	2.8%	77.0%	38.5%	28.6%
Term Structure	-34.4%	-99.2%	65.0%	-60.1%	-37.9%
VWIV	69.9%	41.8%	91.0%	64.0%	91.0%
Skew 25d	19.1%	-63.8%	115.0%	98.2%	26.7%
Skew 10d	19.6%	-63.8%	126.3%	25.0%	28.0%
Call IV 25d	85.0%	9.3%	117.0%	9.3%	117.0%
Put IV 25d	104.1%	26.7%	143.7%	107.5%	143.7%
Bid-Ask Spread %	187.07	168.60	197.24	176.59	193.03
Gamma HHI	0.34	0.29	0.50	0.31	0.50
Net GEX	-1.3K	-3.6K	-693	-1.2K	-3.6K
Net DEX	34.4K	24.7K	58.0K	26.7K	58.0K
Net VEX	-192	-281	-163	-190	-234
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.45	3.00	4.60	3.00	3.80
Total Volume	33.6	0	56	40	48
Total OI	46.7	43	61	43	61

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
2015-05-01	$24.10	$0.00	79.0%	22.6%	3.5%	43.5%	0.0%	98.2%	-60.1%	-1.2K	26.7K	-190	3.00	176.59	N/A	N/A	10	30	10	33
2015-05-04	$24.07	$25.00	87.2%	12.6%	3.3%	48.2%	0.0%	17.8%	-29.9%	-1.0K	32.4K	-188	0.00	195.34	N/A	N/A	0	0	10	33
2015-05-05	$23.94	$25.00	92.0%	12.8%	3.8%	51.0%	64.0%	20.2%	-32.0%	-1.2K	26.2K	-182	3.00	190.50	N/A	N/A	10	30	10	33
2015-05-06	$23.85	$25.00	96.8%	12.8%	3.9%	53.7%	44.3%	-58.7%	-35.3%	-693	28.6K	-185	3.00	168.60	N/A	N/A	10	30	10	33
2015-05-07	$23.87	$25.00	102.7%	13.1%	3.9%	57.0%	64.8%	19.7%	-35.6%	-1.4K	27.8K	-175	3.00	193.28	N/A	N/A	10	30	10	33
2015-05-08	$23.98	$25.00	109.5%	13.2%	4.3%	60.9%	0.0%	18.3%	-46.6%	-1.2K	33.7K	-179	0.00	196.67	N/A	N/A	0	0	10	33
2015-05-11	$23.90	$25.00	28.6%	13.7%	4.4%	14.8%	0.0%	-63.8%	-36.0%	-1.1K	34.2K	-171	0.00	196.61	N/A	N/A	0	0	10	33
2015-05-12	$23.87	$25.00	33.0%	13.9%	4.4%	17.3%	41.8%	11.3%	-42.3%	-1.7K	29.5K	-163	3.00	184.54	N/A	N/A	10	30	10	33
2015-05-13	$23.91	$25.00	49.2%	14.1%	4.3%	26.5%	69.0%	18.4%	-42.9%	-1.2K	28.0K	-168	3.00	192.26	N/A	N/A	10	30	10	33
2015-05-14	$23.96	$25.00	50.6%	14.5%	4.3%	27.3%	71.0%	24.8%	-39.8%	-770	24.7K	-177	3.00	173.84	N/A	N/A	10	30	10	33
2015-05-15	$23.85	$25.00	50.8%	14.6%	4.5%	27.4%	71.8%	21.5%	-42.7%	-1.2K	27.0K	-169	3.00	192.24	N/A	N/A	10	30	10	33
2015-05-18	$23.82	$25.00	53.6%	15.4%	4.2%	29.0%	0.0%	22.4%	-26.2%	-969	30.5K	-169	0.00	197.24	N/A	N/A	0	4	10	33
2015-05-19	$23.82	$25.00	9.7%	2.8%	4.2%	4.0%	0.0%	-30.8%	65.0%	-1.4K	41.7K	-190	0.00	196.94	N/A	N/A	0	0	10	37
2015-05-20	$23.84	$25.00	54.9%	15.7%	4.2%	29.7%	77.6%	23.1%	-25.3%	-1.2K	28.3K	-188	3.40	190.49	N/A	N/A	10	34	10	37
2015-05-21	$23.83	$25.00	55.8%	16.0%	4.1%	30.3%	78.9%	23.4%	-26.3%	-1.1K	35.1K	-193	3.40	190.71	N/A	N/A	10	34	10	37
2015-05-22	$23.79	$25.00	56.9%	16.3%	4.1%	30.9%	80.3%	23.5%	-27.5%	-969	34.2K	-191	3.40	173.27	N/A	N/A	10	34	10	37
2015-05-26	$23.72	$25.00	62.0%	17.8%	4.1%	33.8%	86.9%	24.8%	-33.0%	-1.7K	34.4K	-179	4.60	191.98	N/A	N/A	10	46	10	37
2015-05-27	$23.82	$25.00	63.2%	18.1%	4.4%	34.5%	88.8%	25.9%	-34.1%	-1.4K	50.0K	-281	4.60	175.75	N/A	N/A	10	46	10	51
2015-05-28	$23.81	$25.00	64.6%	18.5%	4.4%	35.3%	48.0%	115.0%	-99.2%	-1.4K	56.2K	-269	4.60	171.55	N/A	N/A	10	46	10	51
2015-05-29	$23.77	$25.00	66.2%	19.0%	4.3%	36.2%	91.0%	26.7%	-37.9%	-3.6K	58.0K	-234	3.80	193.03	N/A	N/A	10	38	10	51