PCEF Options History — October 2015

In October 2015, PCEF traded between $20.91 and $21.95. ATM implied volatility averaged 93.7%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 84.8% (HV 20d: 8.9%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2015-10-26: Highest Volume — 202 contracts
  • 2015-10-21: Largest IV spike — 758.8% change
  • 2015-10-07: Highest IV Rank — 97.3%
  • 2015-10-29: Largest Expected Move — 45.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.67$20.91$21.95$20.91$21.87
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV93.7%9.3%189.8%150.0%120.5%
Expected Move23.0%2.7%45.5%43.0%34.5%
HV 20d8.9%6.6%10.3%7.8%6.6%
HV 60d10.5%10.0%10.7%10.0%10.4%
IV Rank47.6%4.1%97.3%76.7%61.5%
IV Percentile45.4%0.4%99.6%91.7%78.6%
Term Structure-34.2%-93.3%49.1%-63.1%-41.6%
VWIV78.5%9.0%159.6%29.0%124.2%
Skew 25d52.8%-12.4%153.3%-12.4%153.3%
Skew 10d53.6%-12.4%154.7%-12.4%154.7%
Call IV 25d28.6%7.6%185.7%179.7%9.5%
Put IV 25d81.5%15.8%173.6%167.3%162.8%
Bid-Ask Spread %176.64138.96196.08172.33172.05
Gamma HHI0.750.450.940.840.55
Net GEX23.9K10.6K44.0K10.6K19.5K
Net DEX-537.6K-879.0K-97.5K-492.1K-723.4K
Net VEX-3.2K-3.8K-1.8K-3.1K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.081.171.170.09
Total Volume104.591020226202
Total OI673565780565780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$20.91$0.00150.0%43.0%7.8%76.7%0.0%-12.4%-63.1%10.6K-492.1K-3.1K1.17172.33N/AN/A121451352
2015-10-02$21.03$0.00155.2%44.5%8.1%79.4%0.0%-12.1%-65.1%11.1K-490.9K-3.1K0.26173.84N/AN/A541451352
2015-10-05$21.23$0.0094.9%15.4%9.0%48.3%0.0%7.7%-74.8%22.9K-126.7K-2.0K0.00196.08N/AN/A0055951
2015-10-06$21.29$0.0077.5%18.3%8.9%39.2%0.0%6.2%-75.6%23.4K-97.5K-1.8K1.08186.22N/AN/A131455952
2015-10-07$21.50$0.00189.8%22.8%9.6%97.3%0.0%9.8%-47.5%17.5K-363.9K-3.0K1.08167.74N/AN/A131455952
2015-10-08$21.73$0.00186.7%14.9%10.3%95.6%0.0%101.0%49.1%28.1K-353.9K-3.1K1.08189.41N/AN/A131455952
2015-10-09$21.81$0.0089.0%25.5%10.3%45.2%0.0%9.2%-22.4%12.6K-550.5K-3.3K1.08181.15N/AN/A131455952
2015-10-12$21.80$0.0052.2%15.0%10.1%26.2%29.0%30.0%31.1%17.3K-553.5K-3.3K0.48179.42N/AN/A291455952
2015-10-13$21.74$22.0070.2%20.1%9.9%35.5%94.2%11.6%-80.5%37.7K-365.0K-3.1K0.48179.09N/AN/A291457552
2015-10-14$21.71$22.0054.2%15.6%10.0%27.2%35.7%70.3%-18.4%44.0K-649.2K-3.1K0.46183.96N/AN/A351657552
2015-10-15$21.64$22.0092.4%26.5%9.7%46.9%97.4%11.0%-85.0%30.2K-449.9K-3.2K0.46174.66N/AN/A351657554
2015-10-16$21.72$22.0094.5%27.1%9.8%48.0%97.8%21.7%-82.5%15.5K-511.9K-3.3K0.46188.74N/AN/A351657554
2015-10-19$21.76$22.0056.5%16.2%9.8%28.4%101.8%124.0%-22.7%33.6K-718.3K-3.1K0.43177.13N/AN/A351557554
2015-10-20$21.80$22.009.3%2.7%9.6%4.1%9.0%105.3%8.7%24.1K-400.0K-3.1K0.08173.27N/AN/A1851557555
2015-10-21$21.79$22.0080.3%23.0%9.6%40.7%108.7%114.7%-93.3%30.5K-590.6K-3.6K0.08138.96N/AN/A1851572555
2015-10-22$21.90$22.0026.8%7.7%9.4%13.1%39.5%70.7%23.0%27.2K-672.3K-3.7K0.08159.41N/AN/A1851572555
2015-10-23$21.95$22.0032.9%9.4%9.4%16.2%40.2%13.5%16.2%41.0K-776.6K-3.8K0.08171.30N/AN/A1851572555
2015-10-26$21.92$22.00110.3%31.6%7.5%56.2%113.1%142.2%-34.2%19.8K-712.7K-3.7K0.09186.29N/AN/A1851772555
2015-10-27$21.89$22.0045.7%13.1%6.9%22.8%9.4%14.0%25.1%21.6K-650.2K-3.6K0.09177.63N/AN/A1851772555
2015-10-28$21.90$22.00115.1%33.0%6.8%58.6%118.2%148.2%-40.4%23.2K-698.8K-3.7K0.09170.97N/AN/A1851772555
2015-10-29$21.84$22.00158.7%45.5%6.7%81.2%159.6%23.0%-57.8%14.5K-879.0K-3.6K0.09186.49N/AN/A1851772555
2015-10-30$21.87$22.00120.5%34.5%6.6%61.5%124.2%153.3%-41.6%19.5K-723.4K-3.7K0.09172.05N/AN/A1851772555