PCEF Options History — July 2016

In July 2016, PCEF traded between $22.17 and $22.77. ATM implied volatility averaged 103.2%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 35.6%. IV traded above realized volatility by 93.9% (HV 20d: 9.3%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 4.78.

Notable Days

2016-07-08: Highest Volume — 81 contracts
2016-07-21: Largest IV spike — 1528.1% change
2016-07-21: Highest IV Rank — 100.0%
2016-07-21: Largest Expected Move — 57.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.50	$22.17	$22.77	$22.24	$22.77
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	103.2%	12.2%	199.3%	32.5%	85.4%
Expected Move	35.6%	3.5%	57.1%	9.3%	6.9%
HV 20d	9.3%	5.1%	10.7%	10.6%	5.1%
HV 60d	7.3%	7.1%	7.4%	7.3%	7.2%
IV Rank	51.7%	5.8%	100.0%	16.1%	42.6%
IV Percentile	60.4%	16.3%	100.0%	35.3%	52.8%
Term Structure	-22.8%	-50.4%	131.7%	131.7%	-7.1%
VWIV	106.1%	12.4%	197.2%	32.5%	26.4%
Skew 25d	22.2%	-147.5%	107.1%	19.0%	3.7%
Skew 10d	23.3%	-147.5%	111.3%	19.0%	3.7%
Call IV 25d	89.1%	3.4%	173.5%	173.5%	14.2%
Put IV 25d	111.3%	13.5%	199.7%	192.4%	17.9%
Bid-Ask Spread %	179.60	135.26	197.64	178.15	192.91
Gamma HHI	0.33	0.18	0.73	0.28	0.27
Net GEX	-2.2K	-6.0K	85	-1.9K	-2.7K
Net DEX	47.9K	19.3K	67.6K	45.4K	66.4K
Net VEX	-318	-416	-117	-367	-374
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.78	3.81	5.33	5.00	5.33
Total Volume	76.05	72	81	78	76
Total OI	103.4	101	110	102	103

Daily Data (20 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
2016-07-01	$22.24	$22.00	32.5%	9.3%	10.6%	16.1%	32.5%	19.0%	131.7%	-1.9K	45.4K	-367	5.00	178.15	N/A	N/A	13	65	12	90
2016-07-05	$22.17	$0.00	172.1%	49.3%	10.4%	86.5%	0.0%	46.1%	-36.9%	85	51.9K	-401	5.00	188.64	N/A	N/A	13	65	12	90
2016-07-06	$22.28	$0.00	174.2%	49.9%	10.5%	87.5%	0.0%	47.8%	-38.0%	-468	54.7K	-413	5.00	191.24	N/A	N/A	13	65	12	90
2016-07-07	$22.32	$0.00	176.9%	50.7%	10.5%	88.9%	0.0%	48.1%	-38.3%	79	47.5K	-401	5.00	187.51	N/A	N/A	13	65	12	90
2016-07-08	$22.45	$0.00	23.0%	10.7%	10.7%	11.3%	42.8%	3.7%	-29.4%	-2.1K	36.0K	-215	4.40	147.44	N/A	N/A	15	66	12	90
2016-07-11	$22.46	$22.00	40.2%	52.5%	10.5%	19.9%	181.1%	50.1%	-41.8%	-611	35.7K	-221	4.20	197.64	N/A	N/A	15	63	14	91
2016-07-12	$22.51	$22.00	12.7%	51.7%	10.3%	6.1%	182.7%	49.9%	-43.5%	-2.3K	51.9K	-369	3.81	188.39	N/A	N/A	16	61	14	95
2016-07-13	$22.49	$22.00	188.1%	53.9%	10.1%	94.6%	184.3%	46.4%	-42.1%	-2.1K	43.8K	-373	3.81	193.63	N/A	N/A	16	61	10	96
2016-07-14	$22.56	$22.00	185.6%	53.2%	9.8%	93.3%	185.8%	47.9%	-44.9%	-4.2K	54.6K	-298	3.81	183.37	N/A	N/A	16	61	10	96
2016-07-15	$22.40	$22.00	192.9%	55.3%	10.2%	97.0%	190.0%	48.8%	-47.2%	-996	43.9K	-416	3.81	192.52	N/A	N/A	16	61	14	96
2016-07-18	$22.49	$22.00	197.2%	56.5%	10.2%	99.1%	197.2%	105.8%	-50.4%	-2.3K	66.0K	-409	5.00	183.73	N/A	N/A	12	60	7	94
2016-07-19	$22.49	$22.00	148.2%	0.0%	10.1%	74.4%	0.0%	105.3%	-47.0%	-821	59.4K	-413	5.00	189.67	N/A	N/A	12	60	7	95
2016-07-20	$22.61	$22.00	12.2%	3.5%	10.3%	5.8%	12.4%	2.6%	-2.4%	-3.4K	34.9K	-210	5.00	135.26	N/A	N/A	12	60	7	95
2016-07-21	$22.59	$22.00	199.3%	57.1%	10.3%	100.0%	0.0%	107.1%	-46.0%	-2.2K	60.7K	-402	5.00	192.81	N/A	N/A	12	60	7	95
2016-07-22	$22.65	$22.00	20.4%	5.8%	10.1%	9.9%	21.7%	1.6%	-1.0%	-6.0K	24.4K	-117	5.25	163.94	N/A	N/A	12	63	7	95
2016-07-25	$22.59	$22.00	12.8%	3.7%	8.9%	6.1%	16.1%	1.4%	-3.1%	-2.7K	19.3K	-122	5.25	136.87	N/A	N/A	12	63	7	95
2016-07-26	$22.63	$22.00	83.0%	0.0%	6.6%	41.4%	0.0%	-146.5%	0.0%	-3.6K	51.5K	-208	5.33	190.37	N/A	N/A	12	64	7	95
2016-07-27	$22.65	$22.00	83.8%	0.0%	5.8%	41.8%	0.0%	-147.5%	0.0%	-2.7K	67.6K	-379	5.33	195.97	N/A	N/A	12	64	7	96
2016-07-28	$22.69	$22.00	24.2%	6.9%	5.2%	11.8%	26.4%	1.9%	-7.1%	-4.1K	41.6K	-249	5.33	161.85	N/A	N/A	12	64	7	96
2016-07-29	$22.77	$22.00	85.4%	0.0%	5.1%	42.6%	0.0%	3.7%	0.0%	-2.7K	66.4K	-374	5.33	192.91	N/A	N/A	12	64	7	96