PCEF Options History — December 2015

In December 2015, PCEF traded between $20.52 and $21.56. ATM implied volatility averaged 72.3%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 62.8% (HV 20d: 9.5%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2015-12-18: Highest Volume — 197 contracts
  • 2015-12-14: Largest IV spike — 3766.8% change
  • 2015-12-04: Highest IV Rank — 95.1%
  • 2015-12-04: Largest Expected Move — 53.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.17$20.52$21.56$21.56$21.30
Max Pain$21.40$21.00$23.00$23.00$21.00
ATM IV72.3%0.9%185.7%11.7%173.8%
Expected Move8.0%0.2%53.2%3.4%9.9%
HV 20d9.5%6.8%12.1%6.8%11.8%
HV 60d8.4%7.6%9.3%7.6%8.7%
IV Rank36.7%0.0%95.1%5.3%89.0%
IV Percentile38.0%0.0%98.4%2.4%96.8%
Term Structure95.3%-62.5%167.9%167.9%163.9%
VWIV26.5%12.3%50.5%16.6%50.5%
Skew 25d8.1%-43.0%133.2%-2.3%133.2%
Skew 10d14.8%-119.4%133.2%-2.3%133.2%
Call IV 25d107.4%8.1%166.9%127.7%54.2%
Put IV 25d115.5%11.4%187.4%125.4%187.4%
Bid-Ask Spread %183.50115.96200.00200.00197.59
Gamma HHI0.770.420.990.510.97
Net GEX21.4K5.6K52.7K10.5K29.9K
Net DEX-486.7K-761.2K-10.0K-656.6K-299.7K
Net VEX-2.1K-2.8K-1.0K-2.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.100.450.100.45
Total Volume116.8180197029
Total OI696.909571773765571

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$21.56$23.0011.7%3.4%6.8%5.3%0.0%-2.3%167.9%10.5K-656.6K-2.5K0.00200.00N/AN/A0071154
2015-12-02$21.51$23.0058.1%16.7%6.8%29.2%16.6%-1.8%167.1%13.4K-761.2K-2.7K0.10176.12N/AN/A1741771455
2015-12-03$21.38$0.0019.5%4.0%7.0%9.3%0.0%2.8%110.0%21.8K-499.8K-2.7K0.10131.96N/AN/A1741771455
2015-12-04$21.43$0.00185.7%53.2%7.1%95.1%0.0%-1.9%-62.5%14.7K-710.8K-2.8K0.10198.23N/AN/A1741771455
2015-12-07$21.23$0.0022.7%6.5%7.7%11.0%0.0%-6.5%97.8%15.2K-631.1K-2.5K0.00200.00N/AN/A0071154
2015-12-08$21.21$0.0031.4%5.4%6.9%15.4%0.0%3.3%-6.2%52.2K-68.3K-1.4K0.13115.96N/AN/A1742271455
2015-12-09$21.18$0.000.9%0.3%6.9%0.0%0.0%-5.8%127.2%12.1K-726.3K-2.6K0.13196.47N/AN/A1742271459
2015-12-10$21.11$0.000.9%0.2%7.0%0.0%0.0%-6.1%128.0%12.8K-699.9K-2.6K0.13198.41N/AN/A1742271459
2015-12-11$20.77$0.003.3%0.9%8.3%1.2%0.0%-12.8%127.5%11.9K-666.9K-2.5K0.13192.77N/AN/A1742271459
2015-12-14$20.52$0.00126.8%0.0%8.8%64.8%0.0%-13.4%0.0%5.6K-587.2K-2.3K0.13196.67N/AN/A1742271459
2015-12-15$20.64$0.0071.0%0.0%9.1%36.1%0.0%-8.9%0.0%23.1K-181.0K-1.9K0.13191.98N/AN/A1742271459
2015-12-16$20.98$0.0018.4%5.3%11.1%9.0%0.0%-43.0%0.0%52.7K-288.6K-1.9K0.13185.27N/AN/A1742271455
2015-12-17$21.05$0.001.6%0.4%11.0%0.4%0.0%-13.6%0.0%6.1K-606.0K-2.3K0.13197.25N/AN/A1742271448
2015-12-18$21.09$0.0010.6%3.0%11.0%5.0%0.0%2.4%0.4%41.0K-10.0K-1.0K0.13145.34N/AN/A1752271448
2015-12-21$21.09$21.00156.6%0.0%11.0%80.2%0.0%16.2%138.9%26.3K-214.8K-1.3K0.45183.69N/AN/A20956011
2015-12-22$21.18$21.007.3%2.1%11.2%3.3%12.3%19.3%145.9%35.0K-209.7K-1.5K0.45189.64N/AN/A20956011
2015-12-23$21.34$21.00158.8%0.0%11.5%81.3%0.0%20.3%133.0%6.5K-690.1K-2.2K0.45193.65N/AN/A20956011
2015-12-24$21.41$21.00160.4%0.0%11.6%82.1%0.0%22.4%137.3%9.1K-615.1K-2.2K0.45197.67N/AN/A20956011
2015-12-28$21.22$21.0034.7%9.9%12.0%17.4%50.5%1.1%-35.8%52.6K-333.9K-1.9K0.45153.44N/AN/A20956011
2015-12-29$21.32$21.00167.3%0.0%12.1%85.7%0.0%33.9%0.0%8.7K-655.7K-2.2K0.45199.00N/AN/A20956011
2015-12-30$21.31$21.00169.0%0.0%11.8%86.6%0.0%39.0%79.1%9.4K-594.4K-2.1K0.45195.83N/AN/A20956011
2015-12-31$21.30$21.00173.8%0.0%11.8%89.0%0.0%133.2%163.9%29.9K-299.7K-1.6K0.45197.59N/AN/A20956011