PCEF Options History — March 2017 In March 2017, PCEF traded between $22.73 and $23.40. ATM implied volatility averaged 82.9%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 37.3%. IV traded above realized volatility by 76.1% (HV 20d: 6.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.31.
Notable Days 2017-03-13 : Highest Volume — 57 contracts2017-03-15 : Largest IV spike — 306.9% change2017-03-21 : Highest IV Rank — 97.6%2017-03-21 : Largest Expected Move — 55.8%Monthly Statistics Metric Avg Min Max Open Close Price $23.00 $22.73 $23.40 $23.40 $23.09 Max Pain $23.21 $23.00 $24.00 $24.00 $23.00 ATM IV 82.9% 17.2% 194.6% 17.2% 82.1% Expected Move 37.3% 4.9% 55.8% 4.9% 15.6% HV 20d 6.9% 4.3% 7.9% 4.3% 7.3% HV 60d 5.3% 4.4% 5.7% 4.4% 5.5% IV Rank 41.4% 8.3% 97.6% 8.3% 41.0% IV Percentile 61.3% 28.6% 98.0% 28.6% 58.7% Term Structure -16.1% -174.4% 145.9% 134.3% 137.5% VWIV 152.8% 25.3% 197.9% 25.3% 197.9% Skew 25d 32.4% -111.4% 168.3% 156.0% 141.5% Skew 10d 31.3% -111.4% 171.0% 156.0% 171.0% Call IV 25d 76.6% 8.6% 184.2% 23.2% 39.9% Put IV 25d 109.1% 7.3% 195.0% 179.2% 181.3% Bid-Ask Spread % 181.33 122.79 198.03 171.42 134.65 Gamma HHI 0.46 0.30 0.92 0.40 0.30 Net GEX -1.8K -4.6K 1.6K -2.2K 285 Net DEX 18.7K -13.0K 37.6K 16.2K -13.0K Net VEX -210 -307 -100 -211 -206 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.82 1.79 1.17 0.82 Total Volume 48.087 37 57 52 51 Total OI 69.304 50 85 84 66
Daily Data (23 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 2017-03-01 $23.40 $24.00 17.2% 4.9% 4.3% 8.3% 0.0% 156.0% 134.3% -2.2K 16.2K -211 1.17 171.42 N/A N/A 24 28 23 61 2017-03-02 $23.25 $24.00 19.9% 5.7% 4.9% 9.7% 0.0% 168.3% 134.9% -2.8K 15.6K -191 1.17 179.32 N/A N/A 24 28 23 57 2017-03-03 $23.30 $24.00 19.9% 5.7% 4.9% 9.7% 25.3% 17.6% 136.0% -2.4K 10.7K -177 1.17 179.05 N/A N/A 24 28 23 58 2017-03-06 $23.24 $0.00 26.7% 29.9% 4.9% 13.1% 0.0% 2.0% -85.9% -2.8K 19.7K -125 1.17 192.09 N/A N/A 24 28 23 58 2017-03-07 $23.19 $0.00 29.7% 47.2% 5.0% 14.6% 0.0% 16.4% -158.2% -2.5K 13.6K -170 1.17 190.93 N/A N/A 24 28 23 58 2017-03-08 $23.03 $0.00 42.7% 48.0% 5.5% 21.1% 0.0% 14.6% -146.7% -2.7K 22.2K -187 1.17 182.55 N/A N/A 24 28 23 58 2017-03-09 $22.73 $0.00 36.7% 48.4% 7.1% 18.1% 0.0% 8.5% -159.6% -4.1K 33.1K -259 1.17 198.03 N/A N/A 24 28 23 58 2017-03-10 $22.85 $0.00 37.1% 48.8% 7.4% 18.3% 0.0% 10.7% -160.6% -3.1K 29.7K -168 1.17 164.90 N/A N/A 24 28 23 57 2017-03-13 $22.88 $0.00 48.5% 50.7% 7.4% 24.0% 0.0% -98.2% -166.7% -4.6K 26.4K -237 1.38 192.84 N/A N/A 24 33 23 57 2017-03-14 $22.75 $0.00 44.8% 28.1% 7.5% 22.2% 0.0% -2.1% -6.9% -3.5K 37.6K -271 1.13 193.82 N/A N/A 24 27 23 62 2017-03-15 $22.84 $0.00 182.4% 52.3% 7.7% 91.5% 0.0% 8.7% -170.4% -3.3K 3.9K -100 1.13 195.32 N/A N/A 24 27 23 56 2017-03-16 $22.86 $0.00 183.5% 52.6% 7.4% 92.0% 180.6% -111.4% -172.7% -3.3K 23.0K -223 1.17 186.40 N/A N/A 24 28 23 58 2017-03-17 $22.95 $23.00 185.7% 53.2% 7.5% 93.2% 183.7% -108.1% -174.4% -1.2K 18.2K -227 1.29 187.19 N/A N/A 24 31 23 55 2017-03-20 $23.00 $23.00 133.9% 38.4% 7.5% 67.1% 134.5% 35.9% 10.6% -593 19.3K -234 1.64 196.87 N/A N/A 14 23 13 37 2017-03-21 $22.85 $23.00 194.6% 55.8% 7.8% 97.6% 194.6% 9.2% 98.3% -1.4K 16.3K -222 1.79 190.30 N/A N/A 14 25 13 37 2017-03-22 $22.86 $23.00 170.8% 49.0% 7.8% 85.6% 197.9% 15.6% -43.8% -1.4K 18.0K -232 1.79 170.50 N/A N/A 14 25 13 39 2017-03-23 $22.90 $23.00 76.2% 0.0% 7.7% 38.0% 0.0% -1.7% 139.6% 4 26.9K -228 1.79 193.15 N/A N/A 14 25 13 39 2017-03-24 $22.92 $23.00 54.4% 15.6% 7.7% 27.0% 0.0% -25.1% 25.8% -1.2K 22.0K -199 1.79 122.79 N/A N/A 14 25 13 39 2017-03-27 $22.91 $23.00 79.1% 0.0% 7.6% 39.5% 0.0% -0.0% 0.0% -41 26.3K -208 1.71 183.05 N/A N/A 14 24 13 39 2017-03-28 $23.02 $23.00 79.8% 0.0% 7.9% 39.8% 0.0% 167.2% 144.9% -217 19.0K -229 1.71 193.15 N/A N/A 14 24 13 38 2017-03-29 $23.07 $23.00 80.5% 0.0% 7.6% 40.2% 0.0% 167.5% 145.9% 30 23.4K -222 0.86 187.56 N/A N/A 28 24 13 38 2017-03-30 $23.08 $23.00 81.3% 0.0% 7.3% 40.6% 0.0% 153.5% 0.0% 1.6K 2.2K -307 0.86 184.70 N/A N/A 28 24 28 38 2017-03-31 $23.09 $23.00 82.1% 0.0% 7.3% 41.0% 0.0% 141.5% 137.5% 285 -13.0K -206 0.82 134.65 N/A N/A 28 23 28 38
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