PCEF Options History — February 2017

In February 2017, PCEF traded between $23.08 and $23.35. ATM implied volatility averaged 49.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 45.4% (HV 20d: 4.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.60.

Notable Days

2017-02-17: Highest Volume — 49 contracts
2017-02-08: Largest IV spike — 13601.4% change
2017-02-15: Highest IV Rank — 53.9%
2017-02-15: Largest Expected Move — 30.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.20	$23.08	$23.35	$23.08	$23.28
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	49.3%	0.7%	107.8%	88.7%	20.0%
Expected Move	18.0%	3.2%	30.9%	25.7%	5.7%
HV 20d	4.0%	3.1%	4.5%	4.1%	4.1%
HV 60d	5.0%	4.5%	6.0%	6.0%	4.5%
IV Rank	24.5%	0.0%	53.9%	44.3%	9.7%
IV Percentile	41.8%	0.4%	74.2%	67.1%	34.1%
Term Structure	41.7%	-12.8%	132.2%	-5.9%	131.2%
VWIV	93.4%	7.8%	178.8%	140.5%	64.6%
Skew 25d	-18.6%	-174.2%	139.5%	11.9%	139.5%
Skew 10d	-19.5%	-151.3%	139.5%	11.9%	139.5%
Call IV 25d	96.2%	11.9%	178.3%	103.1%	38.1%
Put IV 25d	77.6%	1.1%	177.6%	115.0%	177.6%
Bid-Ask Spread %	187.94	173.16	198.38	183.52	180.56
Gamma HHI	0.36	0.24	0.53	0.34	0.44
Net GEX	-1.7K	-3.7K	-367	-384	-2.7K
Net DEX	25.1K	10.8K	45.7K	17.6K	10.8K
Net VEX	-209	-329	-64	-184	-197
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.60	1.04	2.29	2.15	1.04
Total Volume	43.368	37	49	41	49
Total OI	68.263	49	84	49	84

Daily Data (19 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
2017-02-01	$23.08	$0.00	88.7%	0.0%	4.1%	44.3%	0.0%	11.9%	0.0%	-384	17.6K	-184	2.15	183.52	N/A	N/A	13	28	13	36
2017-02-02	$23.08	$24.00	89.7%	25.7%	3.9%	44.8%	140.5%	-98.6%	-5.9%	-572	23.7K	-218	2.15	186.21	N/A	N/A	13	28	13	43
2017-02-03	$23.15	$24.00	1.4%	26.0%	4.0%	0.3%	48.7%	-98.1%	0.8%	-367	23.3K	-215	2.15	192.54	N/A	N/A	13	28	13	43
2017-02-06	$23.16	$24.00	2.9%	27.7%	4.0%	1.1%	65.1%	-174.2%	-12.8%	-1.8K	29.2K	-107	1.93	184.56	N/A	N/A	14	27	13	43
2017-02-07	$23.19	$24.00	0.7%	27.7%	3.9%	0.0%	98.4%	48.4%	-4.1%	-578	21.1K	-121	1.64	194.90	N/A	N/A	14	23	13	42
2017-02-08	$23.21	$24.00	98.7%	28.3%	3.9%	49.3%	87.4%	73.7%	-9.5%	-1.1K	27.3K	-161	1.71	189.77	N/A	N/A	14	24	13	49
2017-02-09	$23.24	$24.00	98.9%	28.4%	3.8%	49.5%	178.8%	-63.1%	4.5%	-1.0K	12.3K	-64	1.71	192.36	N/A	N/A	14	24	13	51
2017-02-10	$23.30	$24.00	99.5%	28.5%	3.8%	49.7%	152.9%	-105.1%	0.7%	-555	30.7K	-243	1.71	192.78	N/A	N/A	14	24	13	51
2017-02-13	$23.32	$24.00	107.2%	30.7%	3.1%	53.6%	98.2%	-120.8%	-1.3%	-2.4K	45.7K	-207	1.71	179.42	N/A	N/A	14	24	13	51
2017-02-14	$23.35	$24.00	105.9%	30.4%	3.1%	53.0%	109.3%	-26.4%	17.6%	-580	11.4K	-126	1.93	189.05	N/A	N/A	14	27	13	51
2017-02-15	$23.18	$24.00	107.8%	30.9%	4.3%	53.9%	110.6%	-97.5%	-8.4%	-531	26.2K	-242	1.93	198.38	N/A	N/A	14	27	13	52
2017-02-16	$23.11	$24.00	17.0%	4.9%	4.5%	8.2%	71.9%	-8.8%	4.9%	-3.5K	22.3K	-103	2.29	190.80	N/A	N/A	14	32	13	52
2017-02-17	$23.09	$24.00	16.2%	4.6%	4.5%	7.8%	101.4%	-99.1%	-9.4%	-811	39.6K	-293	1.04	180.31	N/A	N/A	24	25	13	60
2017-02-21	$23.13	$24.00	11.1%	3.2%	4.2%	5.2%	7.8%	0.4%	126.7%	-3.7K	29.1K	-304	1.04	197.50	N/A	N/A	24	25	23	61
2017-02-22	$23.16	$24.00	17.1%	4.9%	4.0%	8.3%	65.9%	13.9%	127.6%	-2.5K	31.1K	-329	1.04	190.36	N/A	N/A	24	25	23	61
2017-02-23	$23.24	$24.00	16.6%	4.8%	4.1%	8.0%	64.6%	16.0%	128.3%	-2.5K	30.1K	-328	1.04	187.27	N/A	N/A	24	25	23	61
2017-02-24	$23.20	$24.00	20.2%	5.8%	4.1%	9.8%	0.0%	115.4%	127.5%	-3.2K	13.0K	-215	1.04	173.16	N/A	N/A	24	25	23	61
2017-02-27	$23.26	$24.00	18.1%	5.2%	4.2%	8.7%	0.0%	119.7%	132.2%	-2.7K	31.6K	-317	1.04	187.47	N/A	N/A	24	25	23	61
2017-02-28	$23.28	$24.00	20.0%	5.7%	4.1%	9.7%	0.0%	139.5%	131.2%	-2.7K	10.8K	-197	1.04	180.56	N/A	N/A	24	25	23	61