PCEF Options History — March 2016 In March 2016, PCEF traded between $20.66 and $21.56. ATM implied volatility averaged 34.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 26.9% (HV 20d: 8.0%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.04.
Notable Days 2016-03-01 : Highest Volume — 76 contracts2016-03-30 : Largest IV spike — 2019.9% change2016-03-23 : Highest IV Rank — 80.7%2016-03-07 : Largest Expected Move — 55.9%Monthly Statistics Metric Avg Min Max Open Close Price $21.19 $20.66 $21.56 $20.66 $21.56 Max Pain $21.00 $21.00 $21.00 $21.00 $21.00 ATM IV 34.9% 1.7% 160.7% 20.1% 20.8% Expected Move 10.7% 0.5% 55.9% 5.7% 6.0% HV 20d 8.0% 5.6% 10.8% 10.8% 7.7% HV 60d 12.9% 12.4% 13.4% 13.4% 12.5% IV Rank 17.2% 0.5% 80.7% 9.8% 10.1% IV Percentile 21.7% 2.4% 91.7% 11.9% 16.3% Term Structure 25.9% -187.8% 177.3% 174.9% 12.3% VWIV 20.2% 19.8% 20.7% 20.7% 19.8% Skew 25d 49.2% -55.0% 175.6% 130.5% 36.5% Skew 10d 53.0% -111.6% 175.6% 130.5% 50.2% Call IV 25d 41.0% 5.4% 176.6% 14.9% 5.6% Put IV 25d 90.3% 9.8% 197.8% 145.4% 42.0% Bid-Ask Spread % 169.88 117.28 198.72 183.48 154.38 Gamma HHI 0.76 0.35 0.98 0.98 0.58 Net GEX 23.5K -2.4K 83.6K 28.6K -1.4K Net DEX -27.6K -172.6K 28.5K -42.7K 15.4K Net VEX -297 -716 -81 -463 -97 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.84 1.24 1.05 1.24 Total Volume 59.364 38 76 76 38 Total OI 405.364 37 619 616 37
Daily Data (22 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 2016-03-01 $20.66 $21.00 20.1% 5.7% 10.8% 9.8% 20.7% 130.5% 174.9% 28.6K -42.7K -463 1.05 183.48 N/A N/A 37 39 575 41 2016-03-02 $20.73 $21.00 19.8% 5.7% 10.5% 9.6% 19.8% 131.4% 177.3% 31.0K -43.6K -500 1.05 189.50 N/A N/A 37 39 574 41 2016-03-03 $20.86 $0.00 18.8% 53.4% 10.6% 9.1% 0.0% -55.0% -182.6% 38.0K -59.8K -537 1.05 185.23 N/A N/A 37 39 574 41 2016-03-04 $21.01 $0.00 22.7% 5.8% 10.8% 11.1% 0.0% 15.5% -10.5% 52.2K -142.3K -716 0.84 170.15 N/A N/A 37 31 574 41 2016-03-07 $21.02 $0.00 19.4% 55.9% 10.0% 9.4% 0.0% -54.6% -187.8% 44.9K -67.7K -499 0.86 189.75 N/A N/A 37 32 574 44 2016-03-08 $21.02 $0.00 26.9% 6.2% 8.2% 13.2% 0.0% 17.2% -0.6% 51.4K -129.4K -567 0.86 185.13 N/A N/A 37 32 574 45 2016-03-09 $21.09 $0.00 20.9% 6.0% 7.7% 10.2% 0.0% -8.6% -19.2% 4.8K 23.4K -213 0.86 121.58 N/A N/A 37 32 574 45 2016-03-10 $21.10 $0.00 3.2% 0.9% 7.5% 1.3% 0.0% 92.5% 14.3% 40.7K -41.0K -390 0.86 185.60 N/A N/A 37 32 574 45 2016-03-11 $21.29 $0.00 21.4% 6.1% 5.8% 10.4% 0.0% 19.4% -3.3% 71.8K -172.6K -528 0.86 165.43 N/A N/A 37 32 574 45 2016-03-14 $21.29 $0.00 2.0% 0.6% 5.6% 0.7% 0.0% 139.4% 7.9% 39.8K -25.4K -289 0.86 178.43 N/A N/A 37 32 574 45 2016-03-15 $21.09 $0.00 1.9% 0.6% 7.3% 0.6% 0.0% 33.6% 17.7% 18.3K 2.2K -192 0.97 186.83 N/A N/A 37 36 570 45 2016-03-16 $21.24 $0.00 29.5% 0.0% 7.0% 14.5% 0.0% 137.4% 10.3% 23.6K 14.9K -200 0.97 178.58 N/A N/A 37 36 564 47 2016-03-17 $21.30 $0.00 34.6% 9.9% 7.0% 17.1% 0.0% 3.6% -12.6% 83.6K -97.6K -292 0.97 198.72 N/A N/A 37 36 564 47 2016-03-18 $21.40 $0.00 19.4% 5.6% 7.0% 9.4% 0.0% 22.1% -1.6% -1.2K 19.7K -87 0.97 117.28 N/A N/A 37 36 564 47 2016-03-21 $21.45 $0.00 81.1% 0.0% 6.9% 40.5% 0.0% 167.8% 148.9% -760 15.4K -81 1.24 138.72 N/A N/A 17 21 5 32 2016-03-22 $21.44 $0.00 157.7% 0.0% 6.8% 79.2% 0.0% 21.7% 150.6% -328 19.6K -168 1.24 177.03 N/A N/A 17 21 5 32 2016-03-23 $21.39 $0.00 160.7% 0.0% 7.1% 80.7% 0.0% 175.6% 154.9% -313 18.2K -167 1.24 175.41 N/A N/A 17 21 5 32 2016-03-24 $21.23 $0.00 28.1% 8.1% 7.9% 13.8% 0.0% 8.4% -23.2% -1.8K 18.5K -107 1.24 153.37 N/A N/A 17 21 5 32 2016-03-28 $21.20 $0.00 19.9% 5.7% 8.0% 9.7% 0.0% -6.6% -5.7% -2.4K 28.5K -159 1.24 158.61 N/A N/A 17 21 5 32 2016-03-29 $21.33 $0.00 1.7% 0.5% 8.2% 0.5% 0.0% 21.2% 161.3% -1.4K 21.2K -161 1.24 187.21 N/A N/A 17 21 5 32 2016-03-30 $21.47 $0.00 36.3% 10.4% 7.6% 17.9% 0.0% 33.7% -13.2% -2.1K 17.3K -120 1.24 157.02 N/A N/A 17 21 5 32 2016-03-31 $21.56 $0.00 20.8% 6.0% 7.7% 10.1% 0.0% 36.5% 12.3% -1.4K 15.4K -97 1.24 154.38 N/A N/A 17 21 5 32
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