PCEF Options History — September 2016

In September 2016, PCEF traded between $22.38 and $23.13. ATM implied volatility averaged 66.0%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 58.2% (HV 20d: 7.8%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 10.85.

Notable Days

  • 2016-09-12: Highest Volume — 131 contracts
  • 2016-09-09: Largest IV spike — 3006.7% change
  • 2016-09-15: Highest IV Rank — 95.4%
  • 2016-09-15: Largest Expected Move — 54.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.71$22.38$23.13$22.95$22.81
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV66.0%1.8%190.1%84.5%26.3%
Expected Move21.6%2.7%54.5%25.5%7.5%
HV 20d7.8%3.7%10.2%3.8%10.2%
HV 60d7.4%6.8%8.3%7.1%7.0%
IV Rank32.9%0.6%95.4%42.2%12.9%
IV Percentile48.9%3.6%95.6%58.3%41.3%
Term Structure41.9%-70.1%135.2%6.1%135.2%
VWIV61.0%61.0%61.0%61.0%61.0%
Skew 25d37.5%-8.1%134.8%12.2%29.2%
Skew 10d39.1%-1.7%134.8%12.2%29.2%
Call IV 25d106.5%5.8%178.7%167.0%166.0%
Put IV 25d144.1%8.0%195.2%179.2%195.2%
Bid-Ask Spread %173.99109.39193.14161.91193.14
Gamma HHI0.360.270.580.290.46
Net GEX-4.3K-16.3K-1.4K-2.9K-3.5K
Net DEX100.3K78.1K161.8K95.2K78.1K
Net VEX-504-594-219-594-323
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.854.3313.5010.456.50
Total Volume101.6193213112645
Total OI149.762104176174104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$22.95$21.0084.5%0.0%3.8%42.2%61.0%12.2%6.1%-2.9K95.2K-59410.45161.91N/AN/A111155169
2016-09-02$22.97$21.0085.4%0.0%3.7%42.6%0.0%12.7%5.9%-3.2K98.3K-59210.45170.66N/AN/A111155169
2016-09-06$23.03$0.0089.0%25.5%3.8%44.5%0.0%14.2%95.8%-2.8K95.3K-57510.45181.99N/AN/A111155169
2016-09-07$23.12$0.0090.4%25.9%3.8%45.2%0.0%16.0%96.1%-3.3K87.1K-47310.45181.58N/AN/A111155169
2016-09-08$23.13$0.001.8%26.6%3.8%0.6%0.0%1.5%87.9%-2.4K88.9K-56210.45189.63N/AN/A111155169
2016-09-09$22.76$0.0055.9%4.9%7.0%27.8%0.0%1.3%-4.1%-10.6K126.9K-48610.45160.83N/AN/A111155169
2016-09-12$22.77$0.00177.1%50.8%7.0%88.8%0.0%131.6%-61.1%-2.6K95.2K-55710.91192.92N/AN/A111205171
2016-09-13$22.40$0.0019.7%53.3%9.0%9.6%0.0%132.9%-65.2%-2.7K92.0K-55010.91187.40N/AN/A111205171
2016-09-14$22.45$0.0013.1%3.8%9.0%6.2%0.0%-0.1%-3.8%-13.9K161.8K-42910.91136.24N/AN/A111205171
2016-09-15$22.42$0.00190.1%54.5%9.0%95.4%0.0%134.8%-68.4%-1.5K89.2K-54210.91190.40N/AN/A111205171
2016-09-16$22.40$0.00174.9%50.1%8.8%87.7%0.0%134.7%-70.1%-1.4K89.5K-53810.91187.40N/AN/A111205171
2016-09-19$22.38$0.00119.8%34.3%8.8%60.0%0.0%19.6%-52.6%-1.4K91.4K-52813.50189.16N/AN/A6815115
2016-09-20$22.49$0.0012.7%3.6%9.1%6.0%0.0%-8.1%-2.7%-12.5K141.1K-39313.50128.09N/AN/A6815120
2016-09-21$22.66$0.00110.0%31.5%9.5%55.0%0.0%24.4%126.7%-1.5K95.9K-54613.50188.95N/AN/A6815120
2016-09-22$22.73$0.0023.1%6.6%9.6%11.3%0.0%25.7%127.5%-1.4K94.1K-54513.50180.49N/AN/A6815120
2016-09-23$22.70$0.0023.8%6.8%9.4%11.6%0.0%25.5%128.5%-1.4K93.7K-54213.50180.82N/AN/A6815120
2016-09-26$22.60$0.0026.1%7.5%9.4%12.8%0.0%24.6%131.6%-1.4K92.3K-53012.83180.48N/AN/A6775120
2016-09-27$22.71$0.0025.6%7.3%9.6%12.5%0.0%26.6%132.3%-1.7K96.8K-53812.83182.15N/AN/A6775120
2016-09-28$22.81$0.009.3%2.7%9.7%4.3%0.0%2.2%-1.0%-16.3K108.9K-2194.33109.39N/AN/A6265120
2016-09-29$22.68$0.0027.0%7.8%9.9%13.3%0.0%26.6%134.4%-1.7K94.7K-5176.50180.12N/AN/A6395117
2016-09-30$22.81$0.0026.3%7.5%10.2%12.9%0.0%29.2%135.2%-3.5K78.1K-3236.50193.14N/AN/A639599