PCEF Options History — June 2015

In June 2015, PCEF traded between $22.64 and $23.76. ATM implied volatility averaged 101.3%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 96.5% (HV 20d: 4.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 4.59.

Notable Days

  • 2015-06-15: Highest Volume — 62 contracts
  • 2015-06-19: Largest IV spike — 79.7% change
  • 2015-06-09: Highest IV Rank — 92.8%
  • 2015-06-30: Largest Expected Move — 36.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.28$22.64$23.76$23.74$22.84
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV101.3%55.8%165.3%69.1%127.8%
Expected Move26.3%16.0%36.6%19.8%36.6%
HV 20d4.8%3.8%7.6%4.2%7.6%
HV 60d4.6%4.1%5.5%5.1%5.5%
IV Rank56.2%30.3%92.8%37.9%71.4%
IV Percentile61.8%16.7%98.8%30.6%88.1%
Term Structure-40.9%-90.3%-26.9%-39.8%-51.9%
VWIV103.4%100.3%106.4%100.3%106.4%
Skew 25d-4.0%-113.2%94.7%27.9%-18.5%
Skew 10d-1.2%-118.0%107.0%30.1%-18.5%
Call IV 25d108.8%6.9%158.1%131.7%158.1%
Put IV 25d104.7%35.3%169.7%159.5%139.6%
Bid-Ask Spread %184.45161.19194.99191.87188.39
Gamma HHI0.530.360.780.780.55
Net GEX-2.9K-5.3K-1.7K-4.3K-2.2K
Net DEX89.8K52.6K123.3K72.0K73.9K
Net VEX-379-448-204-204-448
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.593.805.203.804.80
Total Volume50.9090624858
Total OI82.77359956588

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$23.74$25.0069.1%19.8%4.2%37.9%100.3%27.9%-39.8%-4.3K72.0K-2043.80191.87N/AN/A10381055
2015-06-02$23.76$25.0073.6%21.1%4.2%40.4%0.0%29.2%-50.3%-1.7K52.6K-2710.00190.99N/AN/A001049
2015-06-03$23.72$25.0075.9%21.8%3.9%41.7%106.4%29.7%-50.5%-4.1K71.2K-2094.40187.44N/AN/A10441055
2015-06-04$23.59$0.0078.5%22.2%4.1%43.2%0.0%-0.2%-28.2%-1.9K69.1K-3374.60161.19N/AN/A10461065
2015-06-05$23.50$0.00139.1%23.3%4.2%77.8%0.0%-6.7%-26.9%-4.9K89.7K-3774.60194.99N/AN/A10461073
2015-06-08$23.43$0.00157.2%24.7%3.8%88.1%0.0%-4.9%-26.9%-2.0K77.8K-3774.60169.75N/AN/A10461073
2015-06-09$23.33$0.00165.3%24.6%3.9%92.8%0.0%-7.4%-30.5%-5.2K95.3K-3364.00190.24N/AN/A10401073
2015-06-10$23.36$0.0087.1%25.0%4.0%48.1%0.0%-7.1%-32.3%-2.0K80.4K-3844.80188.51N/AN/A10481075
2015-06-11$23.43$0.0088.1%25.3%4.1%48.7%0.0%-7.6%-33.2%-2.3K94.3K-4324.80193.44N/AN/A10481083
2015-06-12$23.35$0.0089.5%25.7%4.0%49.5%0.0%-7.3%-31.2%-3.2K117.3K-4004.80193.44N/AN/A10481083
2015-06-15$23.12$0.0091.9%26.3%4.9%50.9%0.0%-5.5%-32.6%-2.6K114.6K-3945.20190.32N/AN/A10521083
2015-06-16$23.18$0.0058.2%16.7%5.2%31.7%0.0%-4.6%-39.5%-3.0K113.4K-4245.20168.24N/AN/A10521085
2015-06-17$23.17$0.0096.8%27.8%5.1%53.7%0.0%-8.4%-41.6%-2.4K111.1K-4255.20185.19N/AN/A10521085
2015-06-18$23.21$0.0055.8%16.0%5.2%30.3%0.0%45.4%-38.4%-5.3K123.3K-3785.20162.39N/AN/A10521085
2015-06-19$23.20$0.00100.3%28.8%5.2%55.7%0.0%-8.0%-49.8%-2.5K105.4K-4195.20187.13N/AN/A10521085
2015-06-22$23.22$0.00105.6%30.3%5.3%58.7%0.0%-91.5%-36.1%-2.4K91.5K-4170.00175.04N/AN/A038076
2015-06-23$23.25$0.00105.9%30.4%5.3%58.9%0.0%-6.8%-36.5%-2.4K92.3K-4140.00193.57N/AN/A038076
2015-06-24$23.20$0.00109.3%31.4%4.9%60.8%0.0%94.7%-37.2%-2.9K92.2K-4100.00177.26N/AN/A038076
2015-06-25$23.09$0.00112.8%32.3%5.1%62.8%0.0%-9.3%-90.3%-2.4K89.5K-4123.80194.03N/AN/A1038076
2015-06-26$22.89$0.00116.2%33.3%5.7%64.7%0.0%-9.0%-45.1%-2.6K71.0K-4433.80190.82N/AN/A10381076
2015-06-29$22.64$0.00124.6%35.7%6.5%69.6%0.0%-113.2%-51.5%-2.3K77.0K-4303.80183.76N/AN/A10381076
2015-06-30$22.84$0.00127.8%36.6%7.6%71.4%0.0%-18.5%-51.9%-2.2K73.9K-4484.80188.39N/AN/A10481078