PCEF Options History — January 2017

Name: PCEF Options Analytics - January 2017
Creator: Options Analysis Suite

In January 2017, PCEF traded between $22.53 and $22.98. ATM implied volatility averaged 124.4%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 42.8%. IV traded above realized volatility by 120.1% (HV 20d: 4.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2017-01-26: Highest Volume — 33 contracts
2017-01-24: Largest IV spike — 534.3% change
2017-01-19: Highest IV Rank — 100.0%
2017-01-19: Largest Expected Move — 57.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.75	$22.53	$22.98	$22.53	$22.98
ATM IV	124.4%	12.9%	199.3%	165.4%	87.8%
Expected Move	42.8%	3.7%	57.1%	9.9%	54.5%
HV 20d	4.3%	3.5%	5.1%	5.0%	4.2%
HV 60d	6.8%	6.1%	7.4%	7.4%	6.1%
IV Rank	62.3%	6.1%	100.0%	82.9%	43.8%
IV Percentile	74.6%	20.6%	99.6%	83.7%	66.3%
Term Structure	-109.0%	-182.5%	4.0%	-43.8%	3.6%
Skew 25d	15.1%	-0.9%	26.8%	13.6%	-0.9%
Skew 10d	15.9%	0.9%	26.8%	13.6%	10.6%
Call IV 25d	119.7%	8.2%	168.6%	143.9%	30.5%
Put IV 25d	134.8%	10.5%	195.4%	157.6%	29.6%
Bid-Ask Spread %	186.02	155.59	197.44	186.54	187.07
Gamma HHI	0.38	0.25	0.53	0.41	0.36
Net GEX	-617	-1.8K	-292	-362	-1.1K
Net DEX	19.8K	4.2K	28.9K	4.2K	28.1K
Net VEX	-193	-240	-148	-161	-178
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.92	1.54	0.92	1.54
Total Volume	30.55	25	33	25	33
Total OI	49	44	54	54	49

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$22.53	$0.00	165.4%	0.0%	5.0%	82.9%	0.0%	13.6%	0.0%	-362	4.2K	-161	0.92	186.54	N/A	N/A	13	12	13	41
2017-01-04	$22.63	$0.00	166.9%	0.0%	5.1%	83.7%	0.0%	13.8%	0.0%	-372	18.9K	-240	1.31	191.44	N/A	N/A	13	17	13	41
2017-01-05	$22.64	$0.00	27.2%	9.9%	5.0%	13.4%	0.0%	5.0%	-43.8%	-292	14.4K	-183	1.31	159.16	N/A	N/A	13	17	13	31
2017-01-06	$22.69	$0.00	39.6%	48.9%	4.4%	19.6%	0.0%	12.8%	-167.7%	-460	16.2K	-196	1.23	189.70	N/A	N/A	13	16	13	33
2017-01-09	$22.68	$0.00	177.3%	50.8%	4.4%	88.9%	0.0%	16.9%	-168.8%	-406	19.7K	-207	1.23	175.49	N/A	N/A	13	16	13	36
2017-01-10	$22.72	$0.00	179.5%	51.5%	4.4%	90.0%	0.0%	17.7%	-178.3%	-531	22.6K	-207	1.23	188.89	N/A	N/A	13	16	13	36
2017-01-11	$22.79	$0.00	181.6%	52.1%	4.4%	91.1%	0.0%	18.9%	-172.5%	-426	19.6K	-205	1.23	196.47	N/A	N/A	13	16	13	36
2017-01-12	$22.77	$0.00	183.7%	52.7%	4.5%	92.1%	0.0%	20.8%	-181.5%	-602	18.7K	-209	1.31	181.92	N/A	N/A	13	17	13	36
2017-01-13	$22.66	$0.00	186.7%	53.5%	4.7%	93.7%	0.0%	19.1%	-177.5%	-1.3K	28.9K	-216	1.31	179.33	N/A	N/A	13	17	13	38
2017-01-17	$22.67	$0.00	79.4%	22.8%	3.6%	39.6%	0.0%	11.0%	-126.7%	-735	28.3K	-210	1.38	197.02	N/A	N/A	13	18	13	38
2017-01-18	$22.66	$0.00	196.2%	56.3%	3.5%	98.5%	0.0%	19.9%	-1.0%	-960	27.1K	-192	1.38	155.59	N/A	N/A	13	18	13	35
2017-01-19	$22.62	$0.00	199.3%	57.1%	3.7%	100.0%	0.0%	19.3%	-182.5%	-320	15.6K	-190	1.38	195.37	N/A	N/A	13	18	13	35
2017-01-20	$22.61	$0.00	78.8%	0.0%	3.7%	39.3%	0.0%	19.4%	-178.3%	-320	15.6K	-189	1.38	197.44	N/A	N/A	13	18	13	35
2017-01-23	$22.73	$0.00	12.9%	3.7%	4.0%	6.1%	0.0%	2.3%	-1.0%	-1.8K	27.7K	-148	1.38	194.66	N/A	N/A	13	18	13	35
2017-01-24	$22.83	$0.00	81.7%	0.0%	4.2%	40.8%	0.0%	23.8%	4.0%	-323	15.2K	-185	1.38	189.97	N/A	N/A	13	18	13	35
2017-01-25	$22.88	$0.00	190.0%	54.5%	4.2%	95.3%	0.0%	5.0%	-175.6%	-859	24.6K	-183	1.46	190.62	N/A	N/A	13	19	13	35
2017-01-26	$22.95	$0.00	83.2%	0.0%	4.2%	41.6%	0.0%	26.3%	3.7%	-397	17.3K	-190	1.54	184.43	N/A	N/A	13	20	13	36
2017-01-27	$22.97	$0.00	84.1%	0.0%	4.2%	42.0%	0.0%	26.8%	3.6%	-339	15.7K	-190	1.54	185.30	N/A	N/A	13	20	13	36
2017-01-30	$22.93	$0.00	86.8%	0.0%	4.3%	43.4%	0.0%	10.6%	0.0%	-470	18.2K	-186	1.54	194.06	N/A	N/A	13	20	13	36
2017-01-31	$22.98	$0.00	87.8%	0.0%	4.2%	43.8%	0.0%	-0.9%	0.0%	-1.1K	28.1K	-178	1.54	187.07	N/A	N/A	13	20	13	36