PCEF Options History — February 2016

In February 2016, PCEF traded between $19.68 and $20.60. ATM implied volatility averaged 58.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 43.7% (HV 20d: 15.0%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-02-08: Highest Volume — 103 contracts
  • 2016-02-24: Largest IV spike — 4439.7% change
  • 2016-02-02: Highest IV Rank — 95.3%
  • 2016-02-05: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.18$19.68$20.60$20.60$20.43
Max Pain$20.40$20.00$21.00$20.00$21.00
ATM IV58.7%0.7%189.6%93.8%188.4%
Expected Move8.4%0.2%56.5%10.8%15.1%
HV 20d15.0%10.0%17.6%17.3%10.0%
HV 60d12.9%12.5%13.2%12.5%13.2%
IV Rank29.2%0.0%95.3%46.9%94.7%
IV Percentile30.4%0.0%98.0%49.2%97.6%
Term Structure69.8%-83.2%182.7%1.3%164.4%
VWIV48.3%20.7%102.4%23.6%41.6%
Skew 25d51.5%-98.1%130.8%110.1%130.8%
Skew 10d64.9%-79.8%138.5%110.1%130.9%
Call IV 25d45.8%10.1%177.7%16.9%14.9%
Put IV 25d97.3%17.7%189.3%127.1%145.8%
Bid-Ask Spread %179.83152.46193.85193.85190.55
Gamma HHI0.810.620.970.810.97
Net GEX15.9K8.5K35.2K9.7K26.9K
Net DEX-338.9K-600.6K12.8K-600.6K-53.5K
Net VEX-1.2K-1.8K-391-1.8K-516
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.601.380.601.05
Total Volume86.75671036776
Total OI625.75612641612616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$20.60$20.0093.8%0.0%17.3%46.9%23.6%110.1%1.3%9.7K-600.6K-1.8K0.60193.85N/AN/A422558527
2016-02-02$20.46$20.00189.6%0.0%17.3%95.3%23.1%114.1%174.4%9.3K-592.8K-1.7K0.60179.85N/AN/A422558527
2016-02-03$20.57$20.0037.5%10.8%17.2%18.5%31.4%-4.0%-28.3%32.4K-109.7K-8100.60159.79N/AN/A422558527
2016-02-04$20.56$20.0038.8%5.4%17.2%19.1%20.7%15.2%-4.4%35.2K-165.4K-9860.88160.78N/AN/A423758527
2016-02-05$20.36$20.0012.4%56.5%17.1%5.8%102.4%115.7%-83.2%8.7K-580.2K-1.7K1.00188.55N/AN/A494958539
2016-02-08$20.08$20.0058.4%7.0%17.6%29.1%25.4%12.9%-5.8%27.5K-89.2K-9711.10182.37N/AN/A495458551
2016-02-09$19.97$20.004.6%0.5%17.5%1.9%43.3%128.8%115.8%9.7K-504.2K-1.7K1.10182.93N/AN/A495458556
2016-02-10$19.93$20.002.4%0.7%17.5%0.7%43.8%29.3%109.4%9.3K-498.9K-1.7K1.10185.73N/AN/A495458556
2016-02-11$19.71$20.0025.8%7.4%17.2%12.6%26.7%9.0%-6.1%11.9K12.8K-5461.10152.46N/AN/A495458556
2016-02-12$19.68$20.0048.1%0.0%17.2%23.8%96.0%80.7%106.3%9.3K-458.5K-1.6K1.10183.93N/AN/A495458556
2016-02-16$19.80$20.00120.2%0.0%15.5%60.3%72.1%38.8%108.4%8.8K-477.0K-1.5K1.10188.19N/AN/A495458556
2016-02-17$20.00$20.008.1%2.3%15.5%3.7%68.1%106.9%21.7%8.5K-489.9K-1.5K1.38188.81N/AN/A395458556
2016-02-18$20.06$21.001.8%0.5%14.3%0.5%52.1%127.8%117.9%9.3K-484.0K-1.5K1.32188.84N/AN/A415457756
2016-02-19$20.08$21.007.6%2.2%14.0%3.4%54.1%-40.5%111.9%12.5K-486.4K-1.4K1.32185.97N/AN/A415457756
2016-02-22$20.19$21.000.7%0.2%12.7%0.0%69.5%126.8%178.3%13.2K-497.8K-1.4K1.05167.88N/AN/A373957441
2016-02-23$20.16$21.001.2%0.3%12.4%0.2%71.0%-98.1%182.7%12.7K-491.9K-1.4K1.05182.52N/AN/A373957541
2016-02-24$20.26$21.0052.7%15.1%11.4%26.2%55.4%52.9%-28.0%28.3K-197.7K-1.0K1.05183.10N/AN/A373957541
2016-02-25$20.32$21.00180.8%0.0%11.3%90.9%22.7%-39.8%159.4%17.4K-13.3K-4171.05177.44N/AN/A373957541
2016-02-26$20.37$21.00101.1%0.0%10.8%50.7%22.6%11.6%0.9%17.5K722-3911.05173.05N/AN/A373957541
2016-02-29$20.43$21.00188.4%0.0%10.0%94.7%41.6%130.8%164.4%26.9K-53.5K-5161.05190.55N/AN/A373957541