PCEF Options History — January 2016

In January 2016, PCEF traded between $19.53 and $21.35. ATM implied volatility averaged 62.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 48.8% (HV 20d: 13.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2016-01-22: Highest Volume — 75 contracts
2016-01-11: Largest IV spike — 6854.7% change
2016-01-13: Highest IV Rank — 100.0%
2016-01-14: Largest Expected Move — 57.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.46	$19.53	$21.35	$21.19	$20.59
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	62.2%	1.9%	198.9%	179.0%	90.6%
Expected Move	22.1%	0.5%	57.0%	51.3%	9.7%
HV 20d	13.4%	11.3%	17.3%	11.8%	17.3%
HV 60d	10.2%	8.4%	12.5%	8.5%	12.5%
IV Rank	31.3%	0.5%	100.0%	91.7%	45.3%
IV Percentile	29.0%	1.6%	100.0%	98.0%	44.4%
Term Structure	-13.7%	-176.9%	179.9%	-156.0%	1.8%
VWIV	17.0%	4.2%	30.7%	21.9%	30.7%
Skew 25d	-2.1%	-81.0%	110.4%	-1.8%	110.4%
Skew 10d	18.6%	-81.0%	133.7%	-1.8%	110.4%
Call IV 25d	84.5%	15.7%	194.7%	134.0%	15.9%
Put IV 25d	82.4%	2.6%	180.7%	132.2%	126.3%
Bid-Ask Spread %	179.84	147.20	200.00	198.81	200.00
Gamma HHI	0.87	0.58	0.98	0.97	0.82
Net GEX	20.4K	4.7K	45.2K	32.3K	9.1K
Net DEX	-335.3K	-661.1K	-15.5K	-238.8K	-608.9K
Net VEX	-1.4K	-2.0K	-419	-1.5K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.45	0.96	0.45	0.60
Total Volume	44.316	0	75	29	0
Total OI	587.263	571	615	571	608

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$21.19	$0.00	179.0%	51.3%	11.8%	91.7%	0.0%	-1.8%	-156.0%	32.3K	-238.8K	-1.5K	0.45	198.81	N/A	N/A	20	9	560	11
2016-01-05	$21.35	$0.00	21.4%	5.7%	12.1%	10.6%	0.0%	-8.4%	-6.2%	36.5K	-412.1K	-2.0K	0.45	168.89	N/A	N/A	20	9	560	11
2016-01-06	$21.26	$0.00	7.7%	52.5%	11.7%	3.5%	0.0%	-81.0%	-158.4%	10.6K	-538.3K	-1.9K	0.45	197.05	N/A	N/A	20	9	560	11
2016-01-07	$21.03	$0.00	51.5%	4.2%	12.3%	26.1%	0.0%	-81.0%	0.3%	45.2K	-240.7K	-1.6K	0.95	174.29	N/A	N/A	20	19	560	11
2016-01-08	$20.97	$0.00	2.7%	54.4%	12.3%	1.0%	0.0%	10.7%	-167.9%	25.4K	-292.3K	-1.7K	0.95	198.22	N/A	N/A	20	19	560	21
2016-01-11	$20.78	$0.00	190.6%	54.6%	12.7%	97.6%	0.0%	-18.7%	-176.9%	4.7K	-618.9K	-2.0K	0.95	187.06	N/A	N/A	20	19	560	21
2016-01-12	$20.80	$0.00	44.3%	4.4%	11.3%	22.4%	0.0%	-4.0%	-3.5%	40.0K	-153.6K	-1.2K	0.83	147.20	N/A	N/A	23	19	560	21
2016-01-13	$20.51	$0.00	196.1%	56.2%	11.6%	100.0%	21.9%	36.6%	-167.0%	21.1K	-266.1K	-1.5K	0.96	195.96	N/A	N/A	23	22	563	21
2016-01-14	$20.51	$20.00	198.9%	57.0%	11.4%	100.0%	15.6%	-3.8%	-6.0%	24.8K	-41.2K	-663	0.96	181.12	N/A	N/A	23	22	563	24
2016-01-15	$20.04	$20.00	9.8%	2.8%	12.3%	4.5%	14.5%	-18.2%	160.4%	4.9K	-656.7K	-1.8K	0.96	184.46	N/A	N/A	23	22	563	24
2016-01-19	$19.83	$20.00	20.5%	5.9%	12.5%	9.9%	4.2%	-14.0%	138.4%	6.5K	-603.9K	-1.8K	0.55	188.55	N/A	N/A	22	12	562	14
2016-01-20	$19.53	$20.00	46.0%	13.2%	13.0%	22.8%	21.8%	-27.9%	-17.1%	18.1K	-41.6K	-551	0.82	179.61	N/A	N/A	22	18	562	14
2016-01-21	$19.71	$20.00	21.7%	6.2%	13.8%	10.5%	13.9%	-5.9%	-3.2%	11.7K	-15.5K	-419	0.82	158.72	N/A	N/A	22	18	562	20
2016-01-22	$20.06	$20.00	26.0%	7.5%	15.5%	12.7%	25.1%	-25.8%	-6.0%	26.5K	-107.5K	-901	0.50	167.27	N/A	N/A	50	25	562	20
2016-01-25	$19.92	$20.00	37.5%	10.7%	15.1%	18.5%	23.4%	-0.1%	-33.2%	27.6K	-90.6K	-772	0.50	149.11	N/A	N/A	50	25	584	27
2016-01-26	$20.22	$20.00	1.9%	0.5%	16.3%	0.5%	6.3%	-3.2%	172.0%	5.8K	-644.8K	-1.8K	0.66	188.63	N/A	N/A	38	25	584	27
2016-01-27	$20.15	$20.00	2.6%	0.7%	16.1%	0.9%	9.1%	107.4%	179.9%	5.8K	-661.1K	-1.8K	0.60	186.53	N/A	N/A	42	25	588	27
2016-01-28	$20.35	$20.00	33.9%	9.7%	16.5%	16.7%	30.7%	-11.4%	-11.1%	30.6K	-137.8K	-1.1K	0.60	165.42	N/A	N/A	42	25	585	27
2016-01-29	$20.59	$20.00	90.6%	0.0%	17.3%	45.3%	0.0%	110.4%	1.8%	9.1K	-608.9K	-1.8K	0.00	200.00	N/A	N/A	0	0	582	26