PCEF Options History — August 2015

In August 2015, PCEF traded between $21.03 and $22.59. ATM implied volatility averaged 107.8%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 30.6%. IV traded above realized volatility by 99.6% (HV 20d: 8.2%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 4.10.

Notable Days

  • 2015-08-18: Highest Volume — 60 contracts
  • 2015-08-06: Largest IV drop — 34.8% change
  • 2015-08-05: Highest IV Rank — 67.7%
  • 2015-08-05: Largest Expected Move — 38.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.07$21.03$22.59$22.57$21.66
Max Pain$24.57$22.00$25.00$22.00$25.00
ATM IV107.8%86.5%132.7%125.1%130.6%
Expected Move30.6%24.4%38.0%35.9%37.4%
HV 20d8.2%5.4%14.1%6.8%14.0%
HV 60d7.2%6.1%9.9%6.3%9.9%
IV Rank54.9%43.9%67.7%63.8%66.7%
IV Percentile69.1%42.5%88.1%83.3%88.1%
Term Structure-42.3%-54.3%-28.1%-46.2%-49.3%
VWIV83.1%30.9%137.4%137.4%97.7%
Skew 25d6.6%-36.2%141.8%133.4%-12.5%
Skew 10d6.6%-36.2%141.8%133.4%-12.5%
Call IV 25d110.4%16.3%170.3%16.3%170.3%
Put IV 25d117.0%16.4%159.1%149.7%157.8%
Bid-Ask Spread %178.67164.19191.37190.10177.51
Gamma HHI0.450.400.630.460.44
Net GEX-3.1K-8.6K-1.8K-2.5K-2.2K
Net DEX102.3K93.9K113.6K102.0K107.4K
Net VEX-352-392-302-392-318
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.103.094.454.363.09
Total Volume48.095060045
Total OI98.81901009998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$22.57$22.00125.1%35.9%6.8%63.8%0.0%133.4%-46.2%-2.5K102.0K-3920.00190.10N/AN/A001188
2015-08-04$22.58$22.00128.7%36.9%6.7%65.7%137.4%137.4%-51.3%-2.5K105.4K-3744.36191.37N/AN/A11481188
2015-08-05$22.59$22.00132.7%38.0%6.2%67.7%30.9%141.8%-52.2%-2.4K101.6K-3824.36185.75N/AN/A11481188
2015-08-06$22.46$25.0086.5%24.8%6.4%43.9%72.5%-8.6%-38.6%-2.4K94.5K-3894.36171.13N/AN/A11481188
2015-08-07$22.42$25.0086.5%24.4%6.2%43.9%72.8%-11.4%-37.0%-2.3K95.3K-3834.36183.97N/AN/A11481188
2015-08-10$22.44$25.0097.6%25.1%6.1%49.6%75.8%-10.0%-38.9%-2.4K95.0K-3754.36170.47N/AN/A11481188
2015-08-11$22.40$25.00102.5%25.8%6.0%52.2%0.0%-10.7%-36.2%-2.3K101.5K-3640.00182.91N/AN/A001188
2015-08-12$22.44$25.0090.7%26.0%5.7%46.1%53.9%-12.6%-40.4%-2.6K99.7K-3654.36183.55N/AN/A11481188
2015-08-13$22.44$25.0094.6%27.1%5.4%48.1%55.3%-10.3%-42.9%-2.4K98.9K-3614.36178.58N/AN/A11481188
2015-08-14$22.29$25.0093.4%26.8%5.7%47.5%79.9%-12.6%-41.6%-2.4K99.0K-3574.36175.65N/AN/A11481188
2015-08-17$22.25$25.0095.5%27.4%5.6%48.6%84.4%-11.5%-44.1%-5.3K95.9K-3474.36166.48N/AN/A11481188
2015-08-18$22.23$25.0097.3%27.9%5.6%49.5%58.4%-16.3%-43.2%-5.4K99.1K-3404.45170.04N/AN/A11491188
2015-08-19$22.17$25.00100.1%28.7%5.5%50.9%0.0%-13.4%-48.8%-6.3K106.3K-3320.00190.49N/AN/A001189
2015-08-20$22.00$25.00103.2%29.6%6.0%52.5%89.6%-13.3%-49.2%-8.6K99.9K-3394.45186.87N/AN/A11491189
2015-08-21$21.67$25.00105.4%30.2%7.5%53.7%71.9%-13.8%-54.3%-2.3K111.1K-3254.45164.19N/AN/A11491189
2015-08-24$21.03$25.00116.2%33.3%12.5%59.3%107.3%-36.2%-28.1%-1.8K93.9K-3023.73177.04N/AN/A11411179
2015-08-25$21.26$25.00118.7%34.0%13.1%60.5%105.8%-23.3%-29.9%-2.1K107.1K-3383.82178.96N/AN/A11421188
2015-08-26$21.38$25.00120.6%34.6%13.2%61.5%107.4%-22.3%-36.3%-2.2K111.0K-3383.82171.45N/AN/A11421189
2015-08-27$21.62$25.00117.1%33.6%14.1%59.7%107.9%-13.4%-34.1%-2.2K110.5K-3373.64180.30N/AN/A11401189
2015-08-28$21.65$25.00121.5%34.8%14.0%62.0%87.5%-22.4%-46.2%-2.3K113.6K-3313.09175.37N/AN/A11341189
2015-08-31$21.66$25.00130.6%37.4%14.0%66.7%97.7%-12.5%-49.3%-2.2K107.4K-3183.09177.51N/AN/A11341187