PCEF Options History — August 2016

In August 2016, PCEF traded between $22.55 and $22.99. ATM implied volatility averaged 56.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 51.1% (HV 20d: 4.9%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 6.33.

Notable Days

  • 2016-08-26: Highest Volume — 131 contracts
  • 2016-08-05: Largest IV spike — 577.9% change
  • 2016-08-17: Highest IV Rank — 54.6%
  • 2016-08-17: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.84$22.55$22.99$22.71$22.99
Max Pain$21.13$21.00$22.00$22.00$21.00
ATM IV56.0%13.6%109.1%88.2%83.6%
Expected Move15.3%3.4%31.3%4.0%4.5%
HV 20d4.9%3.8%5.7%5.2%3.8%
HV 60d7.2%7.1%7.4%7.3%7.1%
IV Rank27.8%6.5%54.6%44.1%41.8%
IV Percentile43.0%19.0%69.4%54.0%57.5%
Term Structure59.6%-16.8%125.9%-5.1%6.2%
VWIV103.3%15.8%198.7%20.2%59.4%
Skew 25d-40.5%-174.4%118.5%-154.4%12.8%
Skew 10d-35.8%-172.0%118.5%-154.4%12.8%
Call IV 25d111.1%4.3%194.3%172.8%164.9%
Put IV 25d70.5%8.2%177.6%18.3%177.6%
Bid-Ask Spread %166.51112.59200.00187.55161.91
Gamma HHI0.350.220.830.270.29
Net GEX-3.9K-12.7K-1.5K-2.6K-3.1K
Net DEX70.5K19.3K106.6K66.7K98.5K
Net VEX-388-603-134-367-600
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.334.6210.916.4210.64
Total Volume74.957013189128
Total OI128.087103174103174

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$22.71$22.0088.2%0.0%5.2%44.1%0.0%-154.4%0.0%-2.6K66.7K-3676.42187.55N/AN/A1277796
2016-08-02$22.55$22.0014.0%4.0%5.7%6.7%20.2%1.1%-5.1%-7.2K42.8K-1885.17134.61N/AN/A12627110
2016-08-03$22.59$22.0086.6%0.0%5.6%43.3%0.0%-159.8%0.0%-2.0K90.4K-5075.25185.91N/AN/A12637115
2016-08-04$22.66$21.0013.6%26.2%5.6%6.5%77.0%-163.3%81.5%-4.4K62.7K-2905.25161.18N/AN/A12637115
2016-08-05$22.73$21.0092.3%26.5%5.4%46.1%178.1%-161.4%81.6%-2.1K65.4K-2895.25175.32N/AN/A12637115
2016-08-08$22.75$21.0019.5%3.4%5.4%9.5%15.8%2.4%2.3%-2.0K25.7K-1345.17112.59N/AN/A12627115
2016-08-09$22.83$21.0097.0%27.8%5.4%48.5%164.8%-168.0%82.2%-1.5K62.1K-2875.17169.97N/AN/A12627116
2016-08-10$22.83$21.0098.3%28.2%5.4%49.2%167.0%-170.3%82.4%-2.8K76.5K-3685.17174.73N/AN/A12627116
2016-08-11$22.88$21.0021.3%6.1%5.4%10.4%39.4%2.7%-7.2%-5.3K52.4K-3054.62154.33N/AN/A13607116
2016-08-12$22.92$21.00102.5%29.4%4.5%51.2%169.0%-174.4%82.8%-2.9K75.2K-3854.62167.34N/AN/A13607117
2016-08-15$22.83$21.00105.7%30.3%4.7%52.9%177.2%-6.0%82.4%-5.2K74.0K-3845.46177.13N/AN/A13717117
2016-08-16$22.83$21.00107.4%30.8%4.7%53.7%62.3%6.1%-10.3%-5.7K70.3K-4345.08168.61N/AN/A13667115
2016-08-17$22.88$21.00109.1%31.3%4.4%54.6%0.0%118.5%83.2%-1.8K77.8K-4690.00200.00N/AN/A007115
2016-08-18$22.95$21.0020.0%5.7%4.5%9.7%0.0%19.4%83.4%-2.7K69.5K-4500.00200.00N/AN/A017115
2016-08-19$22.90$21.0015.6%4.5%4.5%7.5%24.9%-4.5%-16.8%-6.9K19.3K-1564.62121.09N/AN/A13607115
2016-08-22$22.92$21.0021.8%6.3%4.4%10.6%198.7%10.7%122.8%-3.0K78.2K-4475.45166.74N/AN/A11605117
2016-08-23$22.96$21.0021.9%6.3%4.4%10.7%161.8%11.4%123.5%-2.5K74.0K-4375.45172.82N/AN/A11605117
2016-08-24$22.99$21.0022.0%6.3%4.4%10.7%0.0%11.9%124.3%-4.2K78.9K-4470.00200.00N/AN/A005117
2016-08-25$22.86$21.0024.0%6.9%4.9%11.7%0.0%9.9%125.1%-3.1K80.0K-4415.45166.19N/AN/A11605117
2016-08-26$22.93$21.0023.7%6.8%4.9%11.6%0.0%11.2%125.9%-2.5K78.3K-43510.91180.02N/AN/A111205118
2016-08-29$22.96$21.0015.8%4.5%4.8%7.6%33.2%-0.6%-4.6%-12.7K106.6K-50010.91129.68N/AN/A111205169
2016-08-30$22.97$21.0082.8%0.0%3.8%41.4%0.0%12.2%6.4%-3.2K97.2K-60310.64161.91N/AN/A111175169
2016-08-31$22.99$21.0083.6%0.0%3.8%41.8%59.4%12.8%6.2%-3.1K98.5K-60010.64161.91N/AN/A111175169