PCEF Options History — November 2015

In November 2015, PCEF traded between $21.28 and $22.02. ATM implied volatility averaged 90.6%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 84.3% (HV 20d: 6.3%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2015-11-02: Highest Volume — 202 contracts
  • 2015-11-06: Largest IV spike — 1710.8% change
  • 2015-11-30: Highest IV Rank — 91.1%
  • 2015-11-04: Largest Expected Move — 39.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.58$21.28$22.02$22.01$21.42
Max Pain$22.85$22.00$23.00$22.00$23.00
ATM IV90.6%8.2%177.8%129.8%177.8%
Expected Move22.0%2.9%39.8%37.2%3.4%
HV 20d6.3%4.2%7.1%6.2%6.8%
HV 60d9.3%7.5%10.8%10.5%7.5%
IV Rank46.0%3.4%91.1%66.3%91.1%
IV Percentile51.2%0.4%98.4%84.9%98.4%
Term Structure-16.6%-64.8%162.3%-51.3%162.3%
VWIV67.4%11.6%140.0%131.9%12.2%
Skew 25d24.1%-18.7%168.0%168.0%-4.0%
Skew 10d27.7%-18.7%169.2%169.2%-4.0%
Call IV 25d80.3%7.1%148.8%9.4%128.3%
Put IV 25d104.4%11.1%191.6%177.5%124.3%
Bid-Ask Spread %158.3275.20198.60192.77198.60
Gamma HHI0.570.430.990.430.49
Net GEX32.5K12.8K73.6K22.9K12.8K
Net DEX-555.8K-823.3K-190.4K-710.0K-660.5K
Net VEX-3.0K-3.6K-2.0K-3.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.090.100.090.10
Total Volume140.302022020
Total OI774.4765780780765

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$22.01$22.00129.8%37.2%6.2%66.3%131.9%168.0%-51.3%22.9K-710.0K-3.6K0.09192.77N/AN/A1851772555
2015-11-03$22.02$22.00133.4%38.3%6.2%68.1%135.4%19.6%-50.8%22.3K-719.5K-3.5K0.09174.21N/AN/A1851772555
2015-11-04$22.00$22.00138.9%39.8%5.5%71.0%140.0%42.9%-64.8%20.5K-823.3K-3.6K0.09173.57N/AN/A1851772555
2015-11-05$21.98$23.008.2%6.6%4.2%3.4%21.8%4.0%5.3%52.9K-327.0K-2.7K0.09115.72N/AN/A1851772555
2015-11-06$21.89$23.00147.8%18.2%4.4%75.5%0.0%27.9%-37.9%25.2K-728.6K-3.5K0.00189.28N/AN/A0071154
2015-11-09$21.67$23.00167.5%18.9%5.7%85.7%0.0%-8.0%-40.6%27.0K-597.4K-3.3K0.00172.58N/AN/A0071154
2015-11-10$21.68$23.0026.8%6.8%5.6%13.0%28.5%98.6%-1.4%69.0K-218.7K-2.3K0.09136.10N/AN/A1851772555
2015-11-11$21.67$23.0010.1%2.9%5.6%4.5%11.6%6.1%1.9%73.6K-361.3K-2.8K0.0986.89N/AN/A1851772555
2015-11-12$21.46$23.0071.2%20.4%6.5%36.0%72.8%-1.3%9.0%23.0K-635.9K-3.3K0.09176.57N/AN/A1851772555
2015-11-13$21.28$23.0055.8%16.0%6.9%28.1%80.5%22.5%37.4%23.5K-528.5K-3.0K0.09156.44N/AN/A1851772555
2015-11-16$21.33$23.00101.1%29.0%6.9%51.5%0.0%-9.3%-46.3%21.1K-613.6K-3.2K0.00185.72N/AN/A0071154
2015-11-17$21.30$23.00103.6%29.7%6.8%52.7%85.8%-18.7%-47.2%19.2K-661.0K-3.2K0.09156.68N/AN/A1851772555
2015-11-18$21.40$23.0059.2%17.0%7.1%29.8%48.1%106.6%-48.3%23.8K-613.2K-3.1K0.09171.89N/AN/A1851772555
2015-11-19$21.41$23.0010.2%2.9%6.8%4.5%11.9%66.0%-1.3%66.4K-216.2K-2.4K0.0985.01N/AN/A1851772555
2015-11-20$21.39$23.00108.0%31.0%6.7%55.0%74.0%-9.1%-49.8%20.5K-606.6K-3.1K0.09173.65N/AN/A1851772555
2015-11-23$21.36$23.00114.4%32.8%6.7%58.3%0.0%-9.7%-34.8%20.3K-624.9K-3.1K0.00186.03N/AN/A0071154
2015-11-24$21.41$23.00116.6%33.4%6.8%59.4%0.0%-9.1%-36.1%20.2K-634.0K-3.1K0.00186.03N/AN/A0071154
2015-11-25$21.42$23.00119.0%34.1%6.8%60.7%89.1%-8.9%-35.2%20.9K-645.2K-3.1K0.10173.45N/AN/A1741771455
2015-11-27$21.45$23.0011.9%3.4%6.8%5.4%12.2%-2.1%-2.7%65.1K-190.4K-2.0K0.1075.20N/AN/A1741771455
2015-11-30$21.42$23.00177.8%0.0%6.8%91.1%0.0%-4.0%162.3%12.8K-660.5K-2.6K0.00198.60N/AN/A0071154