PCEF Options History — May 2016

In May 2016, PCEF traded between $21.55 and $21.96. ATM implied volatility averaged 79.9%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 74.6% (HV 20d: 5.3%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.38.

Notable Days

  • 2016-05-31: Highest Volume — 117 contracts
  • 2016-05-06: Largest IV spike — 1763.3% change
  • 2016-05-11: Highest IV Rank — 96.3%
  • 2016-05-11: Largest Expected Move — 54.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.77$21.55$21.96$21.89$21.96
Max Pain$21.20$21.00$22.00$22.00$22.00
ATM IV79.9%8.7%191.6%170.7%22.1%
Expected Move18.2%2.5%54.9%11.7%6.3%
HV 20d5.3%4.6%5.7%5.6%5.3%
HV 60d6.9%6.2%8.2%8.2%6.2%
IV Rank39.9%4.0%96.3%85.8%10.8%
IV Percentile48.2%9.9%98.0%91.7%22.6%
Term Structure9.2%-175.1%158.3%-14.2%4.5%
VWIV80.6%13.1%172.9%41.9%23.0%
Skew 25d42.0%-49.0%131.2%127.9%28.8%
Skew 10d57.7%2.7%132.8%127.9%7.8%
Call IV 25d24.1%4.7%176.4%8.4%6.1%
Put IV 25d66.0%9.8%192.6%136.3%34.9%
Bid-Ask Spread %159.6984.04192.42192.42178.62
Gamma HHI0.420.260.750.420.42
Net GEX-2.4K-7.3K211-701-7.3K
Net DEX36.8K19.3K60.2K38.5K50.1K
Net VEX-232-331-111-232-179
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.382.555.602.802.55
Total Volume70.6195711757117
Total OI86.7146011960119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$21.89$0.00170.7%0.0%5.6%85.8%0.0%127.9%0.0%-70138.5K-2322.80192.42N/AN/A1542555
2016-05-03$21.78$22.0040.9%11.7%5.7%20.3%41.9%5.0%-14.2%-2.6K36.2K-2333.40179.10N/AN/A15511065
2016-05-04$21.73$22.0020.0%5.7%5.6%9.7%20.3%0.0%-7.0%-2.7K25.4K-1503.40147.69N/AN/A15511074
2016-05-05$21.74$21.009.6%2.8%5.5%4.5%172.4%129.3%-4.8%-8744.8K-3213.40154.33N/AN/A15511074
2016-05-06$21.76$21.00179.3%51.4%5.4%90.1%172.9%127.1%-78.1%4344.8K-3173.40187.29N/AN/A15511074
2016-05-09$21.72$21.0043.4%26.6%5.3%21.6%36.4%26.1%94.9%-1.2K28.5K-2063.27152.38N/AN/A15491074
2016-05-10$21.83$21.0027.3%4.6%5.5%13.4%17.9%6.4%-4.9%-2.9K30.2K-1902.88135.20N/AN/A17491075
2016-05-11$21.78$21.00191.6%54.9%5.4%96.3%161.1%127.4%-86.8%-59445.8K-3242.88182.40N/AN/A17491275
2016-05-12$21.80$21.0015.8%4.5%5.4%7.6%19.0%8.6%-4.8%-3.1K26.6K-2122.88130.75N/AN/A17491275
2016-05-13$21.67$21.00190.9%54.7%5.0%96.0%165.2%131.2%-86.5%21144.8K-3222.88178.49N/AN/A17491275
2016-05-16$21.74$21.00105.3%0.0%5.0%52.8%159.3%-4.2%100.3%-46932.5K-2312.88187.96N/AN/A17491275
2016-05-17$21.74$21.0012.3%3.5%4.6%5.8%14.5%3.0%-4.1%-2.8K22.8K-1832.88118.81N/AN/A17491275
2016-05-18$21.64$21.00107.2%0.0%4.8%53.7%149.0%9.4%100.2%-73836.7K-2582.88180.55N/AN/A17491275
2016-05-19$21.55$21.00106.9%0.0%5.0%53.6%150.8%-49.0%102.6%-1.7K36.2K-2112.88172.27N/AN/A17491275
2016-05-20$21.63$21.00107.1%0.0%5.2%53.7%154.1%124.0%104.4%-1.9K45.1K-2632.88177.76N/AN/A17491275
2016-05-23$21.69$21.0025.9%7.4%5.3%12.7%29.0%26.7%-7.3%-3.7K29.8K-1694.25154.20N/AN/A1251775
2016-05-24$21.79$21.00101.8%29.2%5.2%51.0%22.6%12.0%-175.1%-3.8K37.2K-1994.25131.51N/AN/A1251777
2016-05-25$21.86$21.008.7%2.5%5.3%4.0%13.1%2.9%-2.0%-4.2K19.3K-1113.8084.04N/AN/A1557777
2016-05-26$21.89$21.0024.8%7.1%5.3%12.2%28.6%22.2%-6.4%-3.8K36.8K-2265.00146.60N/AN/A15751081
2016-05-27$21.95$22.00165.4%0.0%5.3%83.1%59.8%16.2%158.3%-5.9K60.2K-3315.60181.11N/AN/A15841099
2016-05-31$21.96$22.0022.1%6.3%5.3%10.8%23.0%28.8%4.5%-7.3K50.1K-1792.55178.62N/AN/A338410109