PCEF Options History — November 2016

In November 2016, PCEF traded between $21.43 and $22.12. ATM implied volatility averaged 47.0%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 38.5% (HV 20d: 8.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.55.

Notable Days

  • 2016-11-14: Highest Volume — 60 contracts
  • 2016-11-23: Largest IV spike — 8808.8% change
  • 2016-11-10: Highest IV Rank — 97.2%
  • 2016-11-10: Largest Expected Move — 55.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.86$21.43$22.12$22.08$21.98
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV47.0%1.7%193.7%9.8%26.6%
Expected Move11.7%0.5%55.5%2.8%7.6%
HV 20d8.5%7.2%9.1%7.2%8.8%
HV 60d8.3%7.6%8.7%7.6%8.7%
IV Rank23.3%0.5%97.2%4.6%13.0%
IV Percentile45.2%2.8%98.0%15.1%49.6%
Term Structure-6.1%-189.7%171.5%169.4%-9.8%
VWIV65.7%18.0%155.4%35.1%35.2%
Skew 25d-12.2%-153.8%110.3%-150.3%1.2%
Skew 10d-18.0%-153.8%26.5%-150.3%10.2%
Call IV 25d74.2%12.1%185.5%181.7%32.1%
Put IV 25d62.0%14.0%179.2%31.4%33.3%
Bid-Ask Spread %173.09126.51195.25189.54160.62
Gamma HHI0.320.280.380.290.32
Net GEX-9.1K-13.5K-1.4K-1.5K-13.0K
Net DEX125.9K93.4K159.5K94.5K126.2K
Net VEX-384-462-262-441-327
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.552.675.675.335.22
Total Volume48.09533603856
Total OI147.952137159137157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$22.08$0.009.8%2.8%7.2%4.6%0.0%-150.3%169.4%-1.5K94.5K-4415.33189.54N/AN/A6325132
2016-11-02$21.89$0.009.1%2.6%7.7%4.2%0.0%-153.8%171.5%-1.4K93.4K-4335.50186.49N/AN/A6335132
2016-11-03$21.77$23.0097.5%20.7%7.8%48.8%35.1%-3.0%-73.8%-6.2K134.1K-4473.67168.57N/AN/A9335134
2016-11-04$21.71$23.0023.4%4.3%7.8%11.4%24.8%1.7%-8.6%-9.5K142.5K-4003.67167.24N/AN/A9338134
2016-11-07$21.93$23.0016.5%27.7%8.7%7.9%155.4%-0.1%-93.7%-2.5K98.8K-4532.78179.08N/AN/A9258135
2016-11-08$21.94$23.0018.8%13.1%8.4%9.1%23.4%-1.9%-29.9%-11.2K136.2K-3872.78145.09N/AN/A9258136
2016-11-09$21.90$23.0086.3%24.7%8.4%43.1%33.3%2.7%-5.3%-9.1K140.3K-4112.67163.68N/AN/A9248136
2016-11-10$21.76$23.00193.7%55.5%8.6%97.2%141.3%-4.4%-189.7%-3.0K109.5K-4622.67182.04N/AN/A9248138
2016-11-11$21.62$23.0013.5%3.9%8.7%6.5%118.1%5.8%-184.8%-4.7K125.6K-4552.89179.20N/AN/A9268137
2016-11-14$21.43$23.0037.8%10.8%8.5%18.7%46.3%1.6%-15.0%-8.8K159.5K-3935.67162.59N/AN/A9518138
2016-11-15$21.60$23.0057.0%0.0%8.9%28.4%41.5%1.4%0.0%-11.5K145.1K-3995.67182.01N/AN/A9518150
2016-11-16$21.70$23.0028.1%8.0%8.5%13.8%110.7%110.3%-16.2%-13.3K148.6K-4025.44183.85N/AN/A9498151
2016-11-17$21.75$23.0028.1%8.0%8.6%13.8%121.7%-78.1%72.6%-10.7K125.9K-3845.67187.38N/AN/A9518145
2016-11-18$21.75$23.00118.6%0.0%8.5%59.4%133.9%-34.4%0.0%-10.8K122.2K-3605.67195.25N/AN/A9518143
2016-11-21$21.89$23.0018.4%5.3%8.8%8.9%24.0%2.1%134.7%-13.4K140.0K-3175.00150.18N/AN/A9458143
2016-11-22$22.02$23.001.7%0.5%9.1%0.5%74.7%13.6%0.0%-11.6K119.2K-3485.00186.56N/AN/A9458143
2016-11-23$22.01$23.00151.4%0.0%9.1%75.9%42.3%13.5%0.0%-11.7K121.5K-3395.00181.36N/AN/A9458143
2016-11-25$22.12$23.003.3%1.0%9.1%1.3%32.0%15.7%0.0%-11.7K115.1K-3275.00185.34N/AN/A9458143
2016-11-28$22.07$23.0020.0%5.7%9.1%9.7%18.0%-3.4%-8.5%-13.5K117.9K-2625.00126.51N/AN/A9458143
2016-11-29$22.04$23.0027.6%7.9%9.1%13.5%37.2%4.3%-10.8%-11.8K127.9K-3145.22172.30N/AN/A9478143
2016-11-30$21.98$23.0026.6%7.6%8.8%13.0%35.2%1.2%-9.8%-13.0K126.2K-3275.22160.62N/AN/A9478149