PCEF Options History — July 2015

In July 2015, PCEF traded between $22.28 and $22.96. ATM implied volatility averaged 116.5%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 28.3%. IV traded above realized volatility by 108.9% (HV 20d: 7.6%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 4.76.

Notable Days

2015-07-30: Highest Volume — 59 contracts
2015-07-15: Largest IV spike — 5707.3% change
2015-07-09: Highest IV Rank — 100.0%
2015-07-02: Largest Expected Move — 39.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.71	$22.28	$22.96	$22.88	$22.57
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	116.5%	1.5%	195.1%	131.6%	115.8%
Expected Move	28.3%	22.5%	39.0%	37.7%	33.2%
HV 20d	7.6%	6.6%	8.1%	7.7%	6.8%
HV 60d	5.8%	5.4%	6.3%	5.4%	6.3%
IV Rank	61.3%	0.0%	100.0%	73.6%	59.0%
IV Percentile	71.4%	0.0%	100.0%	88.9%	77.0%
Term Structure	-30.8%	-67.3%	-17.8%	-54.5%	-39.0%
VWIV	99.5%	54.0%	123.5%	54.0%	123.5%
Skew 25d	70.8%	-18.9%	123.5%	-18.1%	123.5%
Skew 10d	71.2%	-18.9%	123.5%	-18.1%	123.5%
Call IV 25d	26.2%	7.8%	167.9%	162.4%	15.1%
Put IV 25d	97.0%	22.6%	148.9%	144.3%	138.6%
Bid-Ask Spread %	182.35	161.72	196.56	191.99	196.09
Gamma HHI	0.48	0.41	0.57	0.46	0.42
Net GEX	-3.0K	-4.5K	-2.2K	-2.5K	-2.3K
Net DEX	93.9K	82.0K	149.7K	86.8K	98.4K
Net VEX	-427	-481	-217	-481	-401
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.76	4.36	4.80	4.80	4.36
Total Volume	58.091	58	59	58	59
Total OI	98.045	98	99	98	99

Daily Data (22 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
2015-07-01	$22.88	$0.00	131.6%	37.7%	7.7%	73.6%	0.0%	-18.1%	-54.5%	-2.5K	86.8K	-481	4.80	191.99	N/A	N/A	10	48	10	88
2015-07-02	$22.87	$0.00	136.0%	39.0%	7.6%	76.0%	0.0%	-18.9%	-59.1%	-2.5K	87.0K	-479	4.80	192.42	N/A	N/A	10	48	10	88
2015-07-06	$22.82	$22.00	159.0%	22.5%	7.5%	89.2%	54.0%	91.4%	-19.4%	-3.1K	96.9K	-451	4.80	178.68	N/A	N/A	10	48	10	88
2015-07-07	$22.89	$22.00	166.6%	23.0%	7.7%	93.5%	87.9%	84.8%	-21.0%	-2.8K	101.9K	-451	4.80	178.61	N/A	N/A	10	48	10	88
2015-07-08	$22.73	$22.00	176.1%	23.4%	7.9%	98.9%	88.9%	85.8%	-23.7%	-2.6K	83.1K	-463	4.80	187.32	N/A	N/A	10	48	10	88
2015-07-09	$22.78	$22.00	186.7%	23.2%	7.9%	100.0%	77.1%	64.8%	-28.8%	-2.6K	87.0K	-456	4.80	165.17	N/A	N/A	10	48	10	88
2015-07-10	$22.88	$22.00	195.1%	23.4%	8.0%	100.0%	88.0%	88.3%	-18.2%	-4.1K	99.8K	-458	4.80	161.72	N/A	N/A	10	48	10	88
2015-07-13	$22.93	$22.00	85.6%	24.5%	8.1%	43.1%	94.7%	22.1%	-67.3%	-4.5K	149.7K	-217	4.80	178.99	N/A	N/A	10	48	10	88
2015-07-14	$22.96	$22.00	1.5%	24.9%	7.4%	0.0%	96.0%	14.9%	-20.5%	-3.5K	89.4K	-457	4.80	176.13	N/A	N/A	10	48	10	88
2015-07-15	$22.80	$22.00	87.7%	25.1%	7.6%	44.5%	97.6%	15.0%	-20.2%	-3.8K	82.0K	-450	4.80	185.31	N/A	N/A	10	48	10	88
2015-07-16	$22.90	$22.00	88.6%	25.4%	7.9%	45.0%	98.9%	13.2%	-20.8%	-3.8K	86.1K	-450	4.80	188.01	N/A	N/A	10	48	10	88
2015-07-17	$22.87	$22.00	89.8%	25.7%	7.8%	45.6%	100.6%	13.7%	-17.8%	-3.8K	88.1K	-449	4.80	178.32	N/A	N/A	10	48	10	88
2015-07-20	$22.75	$22.00	94.5%	27.1%	8.0%	48.0%	104.9%	106.8%	-25.8%	-4.0K	97.1K	-429	4.80	171.84	N/A	N/A	10	48	10	88
2015-07-21	$22.72	$22.00	94.9%	27.2%	7.9%	48.3%	102.7%	103.1%	-23.0%	-2.6K	89.1K	-427	4.80	184.81	N/A	N/A	10	48	10	88
2015-07-22	$22.65	$22.00	96.6%	27.7%	7.9%	49.1%	103.8%	104.1%	-25.5%	-2.6K	87.8K	-425	4.80	175.16	N/A	N/A	10	48	10	88
2015-07-23	$22.59	$22.00	98.4%	28.2%	7.9%	50.0%	105.1%	105.2%	-26.8%	-2.5K	87.3K	-419	4.80	194.84	N/A	N/A	10	48	10	88
2015-07-24	$22.42	$22.00	103.0%	29.5%	8.1%	52.4%	105.7%	105.1%	-27.1%	-2.5K	94.1K	-420	4.80	196.56	N/A	N/A	10	48	10	88
2015-07-27	$22.28	$22.00	113.7%	32.6%	7.9%	57.9%	110.7%	109.4%	-33.3%	-2.4K	83.7K	-409	4.80	173.09	N/A	N/A	10	48	10	88
2015-07-28	$22.39	$22.00	112.5%	32.2%	7.3%	57.3%	114.0%	110.9%	-31.2%	-2.2K	96.0K	-405	4.80	191.78	N/A	N/A	10	48	10	88
2015-07-29	$22.48	$22.00	114.5%	32.8%	6.7%	58.3%	114.8%	112.3%	-37.4%	-2.3K	98.7K	-400	4.80	190.62	N/A	N/A	10	48	10	88
2015-07-30	$22.50	$22.00	116.0%	33.3%	6.6%	59.1%	120.0%	119.6%	-36.4%	-2.6K	96.3K	-404	4.36	174.33	N/A	N/A	11	48	10	88
2015-07-31	$22.57	$22.00	115.8%	33.2%	6.8%	59.0%	123.5%	123.5%	-39.0%	-2.3K	98.4K	-401	4.36	196.09	N/A	N/A	11	48	11	88