PCEF Options History — September 2015

In September 2015, PCEF traded between $20.90 and $21.69. ATM implied volatility averaged 108.2%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 28.3%. IV traded above realized volatility by 96.1% (HV 20d: 12.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2015-09-17: Highest Volume — 547 contracts
  • 2015-09-09: Largest IV drop — 68.6% change
  • 2015-09-08: Highest IV Rank — 89.7%
  • 2015-09-30: Largest Expected Move — 41.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.46$20.90$21.69$21.52$20.99
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV108.2%55.1%175.3%134.8%146.1%
Expected Move28.3%15.8%41.9%38.6%41.9%
HV 20d12.2%6.3%14.9%14.1%8.1%
HV 60d9.9%9.6%10.1%9.9%10.0%
IV Rank55.1%27.7%89.7%68.8%74.7%
IV Percentile62.2%9.9%98.4%89.3%90.9%
Term Structure-20.2%-79.2%42.6%-52.1%-57.0%
VWIV96.2%88.0%104.5%88.0%104.5%
Skew 25d-24.5%-143.6%12.9%-143.6%-11.3%
Skew 10d-24.5%-143.5%12.9%-143.5%-11.3%
Call IV 25d137.1%103.6%180.9%177.3%174.0%
Put IV 25d112.6%17.9%167.3%33.8%162.6%
Bid-Ask Spread %184.71159.72198.32159.72184.37
Gamma HHI0.590.380.900.400.84
Net GEX3.9K-2.8K22.8K-2.4K10.9K
Net DEX-134.4K-504.9K139.3K108.6K-504.9K
Net VEX-1.5K-3.1K-198-313-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.033.093.091.17
Total Volume222.04805474526
Total OI294.9527958398565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$21.52$25.00134.8%38.6%14.1%68.8%88.0%-143.6%-52.1%-2.4K108.6K-3133.09159.72N/AN/A11341187
2015-09-02$21.64$25.00138.6%39.7%14.3%70.8%104.5%-13.7%-54.0%-2.2K105.5K-3163.09181.31N/AN/A11341187
2015-09-03$21.67$0.00143.1%24.3%14.3%73.1%0.0%-6.3%-31.9%-2.2K106.7K-3113.09189.78N/AN/A11341187
2015-09-04$21.60$0.00145.3%24.5%14.3%74.2%0.0%-2.0%-35.6%-2.2K104.4K-3143.09171.61N/AN/A11341187
2015-09-08$21.69$0.00175.3%25.8%14.4%89.7%0.0%-0.5%-35.2%-2.2K104.6K-2910.00198.32N/AN/A001186
2015-09-09$21.60$0.0055.1%15.8%14.5%27.7%0.0%-6.1%37.0%-2.2K109.5K-2843.09195.24N/AN/A11341187
2015-09-10$21.66$0.0092.7%26.6%14.5%47.1%0.0%-86.9%-37.3%-2.8K129.5K-2583.09195.66N/AN/A11341187
2015-09-11$21.60$0.0093.7%26.8%14.5%47.6%0.0%0.8%-38.0%-2.8K122.8K-2673.09172.22N/AN/A11341187
2015-09-14$21.50$0.00104.2%29.9%14.4%53.0%0.0%12.9%-42.1%-2.5K137.1K-2353.09171.11N/AN/A11341187
2015-09-15$21.38$0.00103.9%29.8%14.5%52.9%0.0%-3.4%-41.2%-2.1K139.3K-2240.00196.30N/AN/A001186
2015-09-16$21.43$0.00104.7%30.0%14.6%53.3%0.0%-6.2%-79.2%-2.3K126.8K-1983.09194.85N/AN/A11341175
2015-09-17$21.59$0.0057.8%16.6%14.9%29.1%0.0%-7.3%42.6%-2.5K104.5K-2160.07194.84N/AN/A513341168
2015-09-18$21.59$0.0064.3%18.4%14.7%32.4%0.0%-8.0%33.7%12.4K-398.0K-3.1K0.07196.50N/AN/A5133451469
2015-09-21$21.60$0.0066.9%19.2%13.7%33.8%0.0%-127.7%37.6%8.7K-465.4K-3.1K0.03183.63N/AN/A5031450453
2015-09-22$21.49$0.0098.2%28.1%8.4%49.9%0.0%0.9%1.2%11.9K-498.2K-3.1K0.03171.64N/AN/A5031450452
2015-09-23$21.47$0.0098.3%28.2%7.5%50.0%0.0%-1.9%0.9%11.6K-501.6K-3.1K0.03182.96N/AN/A5031450452
2015-09-24$21.36$0.00107.2%30.7%7.5%54.6%0.0%-20.7%-17.2%11.3K-502.9K-3.1K0.03176.79N/AN/A5031450452
2015-09-25$21.35$0.00103.8%29.8%6.3%52.9%0.0%-27.8%-10.3%22.8K-392.0K-3.0K0.03191.74N/AN/A5081450452
2015-09-28$21.05$0.00117.7%33.7%7.8%60.0%0.0%-27.5%-20.6%11.6K-483.1K-3.1K0.03180.99N/AN/A5081450952
2015-09-29$20.90$0.00121.6%34.9%8.1%62.0%0.0%-28.8%-24.4%9.9K-475.5K-3.0K1.17189.34N/AN/A121450952
2015-09-30$20.99$0.00146.1%41.9%8.1%74.7%0.0%-11.3%-57.0%10.9K-504.9K-3.1K1.17184.37N/AN/A121451352