PCEF Options History — April 2016

Name: PCEF Options Analytics - April 2016
Creator: Options Analysis Suite

In April 2016, PCEF traded between $21.33 and $21.88. ATM implied volatility averaged 86.8%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 79.6% (HV 20d: 7.2%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.17.

Notable Days

2016-04-05: Highest Volume — 52 contracts
2016-04-05: Largest IV spike — 3311.4% change
2016-04-14: Highest IV Rank — 97.9%
2016-04-14: Largest Expected Move — 55.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.64	$21.33	$21.88	$21.56	$21.86
ATM IV	86.8%	5.3%	194.7%	5.7%	165.4%
Expected Move	26.6%	1.6%	55.8%	1.6%	1.8%
HV 20d	7.2%	6.2%	8.2%	7.5%	6.2%
HV 60d	10.3%	8.2%	12.5%	12.4%	8.2%
IV Rank	43.4%	2.3%	97.9%	2.5%	83.1%
IV Percentile	49.3%	6.7%	98.8%	6.7%	90.1%
Term Structure	-30.3%	-173.2%	170.5%	170.5%	157.3%
Skew 25d	71.2%	-78.8%	180.5%	161.7%	126.8%
Skew 10d	89.0%	-1.7%	180.5%	161.7%	126.8%
Call IV 25d	26.0%	4.7%	140.6%	14.5%	5.3%
Put IV 25d	97.2%	10.5%	195.9%	176.2%	132.1%
Bid-Ask Spread %	166.64	33.20	197.64	187.27	187.78
Gamma HHI	0.55	0.38	0.86	0.53	0.40
Net GEX	-1.8K	-3.4K	-535	-857	-666
Net DEX	30.9K	20.7K	41.3K	22.5K	36.3K
Net VEX	-182	-237	-115	-161	-237
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.17	1.24	3.50	1.24	3.20
Total Volume	44.238	38	52	38	42
Total OI	49.857	37	60	37	60

Daily Data (21 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
2016-04-01	$21.56	$0.00	5.7%	1.6%	7.5%	2.5%	0.0%	161.7%	170.5%	-857	22.5K	-161	1.24	187.27	N/A	N/A	17	21	5	32
2016-04-04	$21.42	$0.00	5.3%	51.2%	7.7%	2.3%	0.0%	-20.1%	-168.1%	-702	20.7K	-144	1.24	181.84	N/A	N/A	17	21	5	32
2016-04-05	$21.33	$0.00	180.1%	51.6%	8.0%	90.5%	0.0%	159.5%	-164.4%	-1.8K	21.8K	-154	2.06	193.22	N/A	N/A	17	35	5	32
2016-04-06	$21.43	$0.00	181.7%	52.1%	8.1%	91.3%	0.0%	165.8%	-169.0%	-2.3K	37.9K	-207	3.50	197.44	N/A	N/A	10	35	5	46
2016-04-07	$21.37	$0.00	40.9%	29.0%	8.1%	20.3%	0.0%	140.5%	-173.2%	-2.4K	37.2K	-205	3.50	197.64	N/A	N/A	10	35	5	46
2016-04-08	$21.44	$0.00	31.6%	5.0%	8.2%	15.6%	0.0%	18.9%	-16.3%	-3.4K	41.3K	-193	3.50	161.39	N/A	N/A	10	35	5	46
2016-04-11	$21.53	$0.00	26.0%	2.9%	7.7%	12.8%	0.0%	4.0%	16.8%	-2.3K	38.2K	-183	3.50	116.34	N/A	N/A	10	35	5	46
2016-04-12	$21.61	$0.00	11.6%	54.3%	7.8%	5.5%	0.0%	176.3%	-46.3%	-1.7K	31.0K	-201	3.50	189.10	N/A	N/A	10	35	5	46
2016-04-13	$21.70	$0.00	192.0%	55.1%	6.9%	96.5%	0.0%	180.2%	-47.5%	-1.7K	30.5K	-200	3.50	188.64	N/A	N/A	10	35	5	46
2016-04-14	$21.70	$0.00	194.7%	55.8%	6.5%	97.9%	0.0%	10.1%	-45.4%	-766	32.5K	-203	3.50	182.08	N/A	N/A	10	35	5	46
2016-04-15	$21.53	$0.00	190.2%	54.5%	7.2%	95.6%	0.0%	180.5%	-43.6%	-554	30.0K	-200	3.50	190.53	N/A	N/A	10	35	5	46
2016-04-18	$21.61	$0.00	18.9%	5.4%	7.2%	9.2%	0.0%	10.9%	-1.6%	-3.1K	37.2K	-171	3.50	154.84	N/A	N/A	10	35	5	46
2016-04-19	$21.73	$0.00	154.8%	0.0%	7.4%	77.7%	0.0%	64.5%	-50.5%	-988	28.4K	-194	3.50	192.83	N/A	N/A	10	35	5	46
2016-04-20	$21.78	$0.00	152.2%	0.0%	7.4%	76.4%	0.0%	15.5%	-37.7%	-535	29.4K	-194	3.50	196.33	N/A	N/A	10	35	5	46
2016-04-21	$21.78	$0.00	153.6%	0.0%	7.3%	77.1%	0.0%	121.5%	-39.7%	-542	29.4K	-193	3.50	193.10	N/A	N/A	10	35	5	46
2016-04-22	$21.78	$0.00	10.1%	2.9%	6.6%	4.8%	0.0%	93.9%	153.6%	-1.1K	34.4K	-195	3.50	157.55	N/A	N/A	10	35	5	46
2016-04-25	$21.74	$0.00	73.2%	21.0%	6.6%	36.6%	0.0%	-37.7%	-123.4%	-3.2K	22.4K	-119	3.50	129.57	N/A	N/A	10	35	5	46
2016-04-26	$21.85	$0.00	13.1%	3.7%	6.5%	6.2%	0.0%	0.0%	-2.1%	-3.1K	21.1K	-115	3.50	135.72	N/A	N/A	10	35	5	46
2016-04-27	$21.88	$0.00	15.7%	4.5%	6.2%	7.6%	0.0%	-78.8%	-4.8%	-2.5K	34.3K	-176	3.20	132.99	N/A	N/A	10	32	5	46
2016-04-28	$21.83	$0.00	6.3%	1.8%	6.2%	2.8%	0.0%	0.5%	-0.5%	-3.1K	31.4K	-179	3.20	33.20	N/A	N/A	10	32	5	55
2016-04-29	$21.86	$0.00	165.4%	0.0%	6.2%	83.1%	0.0%	126.8%	157.3%	-666	36.3K	-237	3.20	187.78	N/A	N/A	10	32	5	55