PCEF Options History — December 2016

In December 2016, PCEF traded between $21.86 and $22.40. ATM implied volatility averaged 102.4%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 28.5%. IV traded above realized volatility by 95.8% (HV 20d: 6.6%). 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 5 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2016-12-16: Highest Volume — 66 contracts
  • 2016-12-22: Largest IV spike — 6896.3% change
  • 2016-12-15: Highest IV Rank — 97.1%
  • 2016-12-15: Largest Expected Move — 55.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.19$21.86$22.40$21.86$22.40
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV102.4%1.4%193.6%163.9%163.2%
Expected Move28.5%0.4%55.5%4.7%0.8%
HV 20d6.6%4.8%8.5%8.5%4.8%
HV 60d7.7%7.3%8.8%8.7%7.3%
IV Rank51.2%0.4%97.1%82.2%81.8%
IV Percentile56.7%1.6%97.6%85.3%82.9%
Term Structure-37.8%-167.6%159.2%-2.9%158.5%
VWIV33.9%16.8%51.0%51.0%16.8%
Skew 25d32.3%-28.5%118.4%9.3%21.7%
Skew 10d4.3%-36.4%21.7%9.3%21.7%
Call IV 25d109.8%10.6%184.8%178.0%171.2%
Put IV 25d142.1%13.8%198.8%187.4%192.9%
Bid-Ask Spread %180.00123.45197.67197.65183.24
Gamma HHI0.510.320.900.320.43
Net GEX-7.9K-18.3K-342-12.4K-342
Net DEX83.1K17.5K144.2K129.7K17.5K
Net VEX-230-311-179-311-244
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.855.565.220.92
Total Volume42.47624665625
Total OI1135216115754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$21.86$23.00163.9%0.0%8.5%82.2%51.0%9.3%0.0%-12.4K129.7K-3115.22197.65N/AN/A9478149
2016-12-02$21.94$23.0016.5%4.7%8.3%8.0%16.8%2.6%-2.9%-14.9K144.2K-2655.22123.45N/AN/A9478149
2016-12-05$21.99$0.00170.4%48.9%8.2%85.5%0.0%12.2%-155.9%-13.3K128.7K-2974.78182.02N/AN/A9438150
2016-12-06$22.08$0.00172.0%49.3%7.6%86.3%0.0%14.0%-153.2%-12.3K125.1K-3024.78190.91N/AN/A9438152
2016-12-07$22.25$0.00173.7%49.8%8.0%87.1%0.0%96.7%-155.3%-13.5K118.1K-2945.11181.72N/AN/A9468152
2016-12-08$22.22$0.00176.1%50.5%8.0%88.3%0.0%4.9%-167.6%-12.5K114.3K-2595.11182.23N/AN/A9468148
2016-12-09$22.26$0.00177.5%50.9%7.5%89.1%0.0%90.2%-136.8%-13.6K122.6K-2225.11188.72N/AN/A9468148
2016-12-12$22.27$0.006.9%53.4%7.0%3.1%0.0%96.0%-143.1%-12.8K117.9K-1915.56181.55N/AN/A9508148
2016-12-13$22.30$0.00186.8%53.6%5.8%93.7%0.0%-28.5%-153.5%-13.1K115.3K-2025.22190.85N/AN/A9478152
2016-12-14$22.22$0.00190.8%54.7%5.7%95.7%0.0%118.4%-162.4%-13.5K112.4K-1965.22182.50N/AN/A9478153
2016-12-15$22.06$0.00193.6%55.5%6.3%97.1%0.0%117.2%-164.5%-18.3K118.7K-1945.22183.00N/AN/A9478153
2016-12-16$22.14$0.0012.8%3.7%6.4%6.1%0.0%-7.9%-5.3%-3.7K91.1K-1912.47139.61N/AN/A19478153
2016-12-19$22.18$0.001.4%0.4%6.4%0.4%0.0%16.1%147.5%-1.6K41.3K-1960.85191.05N/AN/A13111339
2016-12-20$22.19$0.0022.1%6.3%6.1%10.8%0.0%1.7%-3.7%-2.5K41.4K-2080.85160.83N/AN/A13111339
2016-12-21$22.21$0.002.2%0.6%5.8%0.7%0.0%18.7%149.8%-2.1K50.7K-1790.85190.05N/AN/A13111339
2016-12-22$22.24$0.00151.8%0.0%5.7%76.1%0.0%17.6%-44.9%-48222.7K-2460.85197.67N/AN/A13111339
2016-12-23$22.25$0.002.8%0.8%5.5%1.0%0.0%18.5%152.9%-1.7K41.7K-1870.85182.72N/AN/A13111339
2016-12-27$22.30$0.00159.3%0.0%5.5%79.9%0.0%18.9%0.0%-53127.7K-2280.85193.34N/AN/A13111339
2016-12-28$22.32$0.003.1%0.9%5.4%1.2%0.0%20.8%159.2%-1.7K40.6K-1880.85188.15N/AN/A13111339
2016-12-29$22.40$0.002.9%0.8%5.4%1.1%0.0%20.0%158.5%-82623.5K-2380.92168.68N/AN/A13121339
2016-12-30$22.40$0.00163.2%0.0%4.8%81.8%0.0%21.7%0.0%-34217.5K-2440.92183.24N/AN/A13121341