PCEF Options History — June 2016

In June 2016, PCEF traded between $21.62 and $22.38. ATM implied volatility averaged 50.3%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 44.0% (HV 20d: 6.3%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.62.

Notable Days

2016-06-15: Highest Volume — 138 contracts
2016-06-23: Largest IV spike — 7975.7% change
2016-06-03: Highest IV Rank — 90.3%
2016-06-03: Largest Expected Move — 51.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.07	$21.62	$22.38	$22.01	$22.15
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	50.3%	1.1%	179.7%	1.7%	162.7%
Expected Move	9.9%	0.3%	51.5%	0.5%	6.6%
HV 20d	6.3%	4.9%	10.5%	5.0%	10.5%
HV 60d	6.2%	5.7%	7.3%	6.2%	7.3%
IV Rank	25.0%	0.2%	90.3%	0.5%	81.7%
IV Percentile	34.3%	1.2%	92.9%	2.4%	87.3%
Term Structure	44.9%	-71.3%	165.8%	165.8%	153.3%
VWIV	34.5%	1.1%	179.3%	3.0%	21.9%
Skew 25d	17.8%	-102.2%	157.5%	-38.5%	17.0%
Skew 10d	23.0%	-102.2%	157.5%	67.3%	17.0%
Call IV 25d	72.5%	4.7%	173.4%	86.2%	172.9%
Put IV 25d	90.3%	8.0%	189.9%	47.8%	189.9%
Bid-Ask Spread %	170.66	117.94	195.87	188.90	182.15
Gamma HHI	0.45	0.26	0.71	0.71	0.26
Net GEX	-2.5K	-5.9K	-144	-4.0K	-297
Net DEX	47.9K	25.3K	76.0K	39.0K	54.3K
Net VEX	-373	-472	-255	-320	-426
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.62	2.08	5.73	2.55	5.00
Total Volume	107.818	72	138	117	78
Total OI	134.227	101	170	137	102

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
2016-06-01	$22.01	$22.00	1.7%	0.5%	5.0%	0.5%	3.0%	-38.5%	165.8%	-4.0K	39.0K	-320	2.55	188.90	N/A	N/A	33	84	28	109
2016-06-02	$22.03	$22.00	21.7%	9.2%	4.9%	10.6%	33.8%	11.8%	-17.0%	-4.4K	51.7K	-314	2.08	139.83	N/A	N/A	38	79	28	109
2016-06-03	$22.08	$22.00	179.7%	51.5%	4.9%	90.3%	179.3%	88.1%	-64.5%	-3.7K	31.9K	-359	2.08	195.72	N/A	N/A	38	79	33	110
2016-06-06	$22.22	$22.00	16.2%	5.3%	5.3%	7.8%	18.1%	-0.8%	-6.8%	-3.7K	30.3K	-347	2.47	122.89	N/A	N/A	38	94	33	112
2016-06-07	$22.26	$22.00	102.2%	29.3%	5.2%	51.2%	65.4%	34.7%	101.2%	-2.1K	46.6K	-472	2.47	177.83	N/A	N/A	38	94	33	127
2016-06-08	$22.35	$22.00	7.4%	2.1%	5.1%	3.4%	7.6%	1.4%	-0.2%	-1.8K	38.6K	-462	2.47	117.94	N/A	N/A	38	94	33	127
2016-06-09	$22.38	$22.00	17.9%	5.1%	4.9%	8.7%	20.1%	1.2%	-7.3%	-3.4K	25.3K	-281	2.47	171.04	N/A	N/A	38	94	33	127
2016-06-10	$22.28	$22.00	117.4%	33.7%	5.4%	58.9%	148.3%	41.1%	-70.2%	-2.0K	43.7K	-453	2.50	190.09	N/A	N/A	38	95	33	127
2016-06-13	$22.16	$22.00	22.8%	6.5%	5.3%	11.2%	22.8%	0.7%	-7.8%	-3.8K	34.6K	-279	2.53	156.98	N/A	N/A	38	96	33	130
2016-06-14	$22.05	$22.00	13.2%	3.8%	5.6%	6.3%	18.0%	33.4%	99.9%	-2.0K	61.2K	-453	2.53	185.89	N/A	N/A	38	96	33	133
2016-06-15	$21.92	$22.00	1.1%	0.3%	6.1%	0.2%	1.1%	-102.2%	-71.3%	-1.7K	59.8K	-443	2.63	186.36	N/A	N/A	38	100	33	133
2016-06-16	$21.87	$22.00	26.8%	7.7%	5.9%	13.2%	26.3%	2.6%	-11.6%	-5.9K	58.3K	-285	2.63	172.66	N/A	N/A	38	100	33	137
2016-06-17	$21.96	$22.00	10.1%	2.9%	5.7%	4.7%	8.8%	9.3%	5.6%	-3.7K	76.0K	-257	2.78	125.54	N/A	N/A	36	100	33	137
2016-06-20	$22.04	$22.00	148.8%	0.0%	5.7%	74.7%	0.0%	157.5%	142.0%	-146	51.2K	-440	5.73	195.07	N/A	N/A	11	63	13	89
2016-06-21	$22.06	$22.00	18.3%	5.2%	5.7%	8.9%	18.4%	10.4%	-3.6%	-3.2K	35.8K	-255	5.73	143.62	N/A	N/A	11	63	12	89
2016-06-22	$22.09	$22.00	1.9%	0.5%	5.5%	0.6%	1.9%	17.9%	143.4%	-271	50.4K	-432	5.55	179.74	N/A	N/A	11	61	12	89
2016-06-23	$22.22	$22.00	152.6%	0.0%	5.8%	76.7%	0.0%	17.4%	144.2%	-281	49.2K	-436	5.64	183.77	N/A	N/A	11	62	12	90
2016-06-24	$21.94	$22.00	2.7%	0.8%	7.5%	1.0%	2.7%	12.5%	154.7%	-187	53.6K	-435	4.92	195.87	N/A	N/A	13	64	12	90
2016-06-27	$21.62	$22.00	30.1%	8.6%	9.1%	14.9%	28.9%	36.1%	2.3%	-4.0K	61.5K	-370	4.92	181.26	N/A	N/A	13	64	12	90
2016-06-28	$21.85	$22.00	28.3%	8.1%	9.9%	14.0%	28.3%	11.4%	136.2%	-144	56.8K	-423	4.92	189.11	N/A	N/A	13	64	12	90
2016-06-29	$22.04	$22.00	23.1%	6.6%	10.4%	11.3%	21.9%	28.8%	-0.9%	-3.3K	44.8K	-261	5.00	172.32	N/A	N/A	13	65	12	90
2016-06-30	$22.15	$22.00	162.7%	0.0%	10.5%	81.7%	0.0%	17.0%	153.3%	-297	54.3K	-426	5.00	182.15	N/A	N/A	13	65	12	90