PCEF Options History — October 2016

In October 2016, PCEF traded between $22.04 and $22.78. ATM implied volatility averaged 33.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 25.3% (HV 20d: 8.0%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 6.88.

Notable Days

  • 2016-10-04: Highest Volume — 68 contracts
  • 2016-10-21: Largest IV spike — 361.4% change
  • 2016-10-13: Highest IV Rank — 95.9%
  • 2016-10-13: Largest Expected Move — 54.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.42$22.04$22.78$22.78$22.24
ATM IV33.4%1.1%191.2%28.7%10.0%
Expected Move11.8%0.3%54.8%8.2%2.9%
HV 20d8.0%6.6%10.3%10.2%7.1%
HV 60d7.2%6.8%7.5%6.9%7.4%
IV Rank16.4%0.2%95.9%14.1%4.7%
IV Percentile31.3%1.6%96.8%44.8%15.5%
Term Structure80.3%-46.1%168.3%-17.8%168.3%
Skew 25d-26.7%-147.5%29.1%21.5%-147.5%
Skew 10d-26.7%-147.5%29.1%21.5%-147.5%
Call IV 25d115.3%7.7%178.4%136.3%178.4%
Put IV 25d88.6%13.5%187.5%157.8%30.9%
Bid-Ask Spread %177.21113.75196.56181.00185.82
Gamma HHI0.320.280.570.280.29
Net GEX-3.1K-11.8K-1.4K-1.9K-1.5K
Net DEX94.7K82.4K101.6K89.4K95.8K
Net VEX-447-529-228-480-449
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.884.6710.336.505.33
Total Volume47.28634684538
Total OI133.238114137114137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$22.78$0.0028.7%8.2%10.2%14.1%0.0%21.5%-17.8%-1.9K89.4K-4806.50181.00N/AN/A6395109
2016-10-04$22.65$0.0011.7%3.4%10.3%5.5%0.0%-0.6%-3.4%-9.7K101.2K-26810.33129.08N/AN/A6625109
2016-10-05$22.66$0.0013.1%3.8%10.1%6.2%0.0%17.8%-3.6%-1.4K98.4K-5228.00182.09N/AN/A6485130
2016-10-06$22.63$0.0013.9%24.8%10.1%6.6%0.0%18.0%128.6%-1.5K95.7K-5298.00186.66N/AN/A6485130
2016-10-07$22.60$0.0014.7%25.1%8.4%7.0%0.0%18.1%129.3%-1.5K95.8K-5247.83186.24N/AN/A6475130
2016-10-10$22.69$0.0029.4%26.0%8.5%14.4%0.0%29.1%18.6%-1.9K101.6K-5247.83186.24N/AN/A6475130
2016-10-11$22.53$0.0056.5%3.1%6.6%28.1%0.0%17.5%7.1%-11.8K82.4K-2287.83123.33N/AN/A6475130
2016-10-12$22.47$0.00188.1%53.9%6.7%94.4%0.0%20.3%-44.6%-1.5K94.5K-5097.83187.15N/AN/A6475130
2016-10-13$22.38$0.00191.2%54.8%6.8%95.9%0.0%-115.5%-46.1%-1.5K95.1K-5037.83195.73N/AN/A6475130
2016-10-14$22.27$0.0044.0%12.6%7.0%21.8%0.0%12.4%-7.9%-8.5K97.0K-3617.83171.86N/AN/A6475130
2016-10-17$22.04$0.002.9%0.8%7.9%1.1%0.0%15.3%150.8%-1.4K92.0K-4827.83187.31N/AN/A6475130
2016-10-18$22.13$0.001.8%0.5%7.8%0.5%0.0%18.6%149.6%-1.4K93.8K-4807.83186.50N/AN/A6475130
2016-10-19$22.31$0.001.1%0.3%7.9%0.2%0.0%17.1%140.5%-1.5K95.2K-4817.83187.92N/AN/A6475130
2016-10-20$22.28$0.003.1%0.9%7.7%1.2%0.0%27.7%151.2%-1.5K93.4K-4774.67180.01N/AN/A6285130
2016-10-21$22.35$0.0014.1%4.0%7.9%6.8%0.0%8.8%-2.4%-8.7K88.2K-2704.67113.75N/AN/A6285130
2016-10-24$22.40$0.0016.9%4.8%7.8%8.1%0.0%-135.0%148.0%-2.6K93.5K-4635.17195.85N/AN/A6315130
2016-10-25$22.45$0.0016.6%4.7%7.6%8.0%0.0%19.4%151.1%-1.5K97.1K-4615.33192.99N/AN/A6325130
2016-10-26$22.46$0.0017.0%4.9%7.4%8.2%0.0%-139.7%152.6%-1.5K97.7K-4635.33196.56N/AN/A6325131
2016-10-27$22.32$0.0016.0%4.6%7.5%7.7%0.0%-141.1%153.2%-1.5K96.0K-4595.33186.44N/AN/A6325131
2016-10-28$22.26$0.009.9%2.8%7.1%4.6%0.0%-142.8%163.0%-1.5K94.7K-4555.33178.92N/AN/A6325131
2016-10-31$22.24$0.0010.0%2.9%7.1%4.7%0.0%-147.5%168.3%-1.5K95.8K-4495.33185.82N/AN/A6325132