PCEF Options History — April 2017

In April 2017, PCEF traded between $23.12 and $23.51. ATM implied volatility averaged 70.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 65.7% (HV 20d: 4.7%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2017-04-19: Highest Volume — 55 contracts
2017-04-10: Largest IV spike — 6485.6% change
2017-04-13: Highest IV Rank — 91.9%
2017-04-13: Largest Expected Move — 52.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.29	$23.12	$23.51	$23.12	$23.51
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	70.4%	1.2%	183.3%	84.7%	151.1%
Expected Move	21.1%	0.7%	52.5%	25.3%	1.8%
HV 20d	4.7%	3.6%	7.3%	7.3%	4.3%
HV 60d	5.6%	5.5%	5.8%	5.5%	5.6%
IV Rank	35.1%	0.2%	91.9%	42.3%	75.7%
IV Percentile	45.0%	1.2%	90.5%	61.5%	79.0%
Term Structure	27.4%	-54.5%	156.4%	156.4%	147.1%
VWIV	35.9%	4.0%	183.4%	6.9%	6.7%
Skew 25d	-52.9%	-144.4%	179.6%	176.8%	-133.7%
Skew 10d	-54.0%	-151.2%	179.5%	176.9%	-151.2%
Call IV 25d	112.7%	5.4%	179.0%	10.5%	156.4%
Put IV 25d	59.8%	8.0%	196.7%	187.4%	22.7%
Bid-Ask Spread %	190.57	164.24	198.47	190.86	197.78
Gamma HHI	0.39	0.28	0.61	0.34	0.46
Net GEX	-121	-1.3K	1.5K	1.5K	8
Net DEX	-18.0K	-34.5K	3.2K	3.2K	-33.8K
Net VEX	-244	-309	-174	-309	-174
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.79	0.96	0.82	0.79
Total Volume	52.158	50	55	51	50
Total OI	66.737	66	68	67	66

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
2017-04-03	$23.12	$23.00	84.7%	0.0%	7.3%	42.3%	0.0%	176.8%	0.0%	1.5K	3.2K	-309	0.82	190.86	N/A	N/A	28	23	28	39
2017-04-04	$23.12	$23.00	85.6%	0.0%	7.2%	42.8%	0.0%	13.1%	156.4%	-339	-13.7K	-204	0.82	173.67	N/A	N/A	28	23	28	39
2017-04-05	$23.14	$23.00	86.6%	0.0%	6.8%	43.2%	0.0%	161.0%	0.0%	894	-9.9K	-201	0.82	198.47	N/A	N/A	28	23	28	39
2017-04-06	$23.16	$23.00	1.2%	25.3%	4.6%	0.2%	6.9%	179.6%	-38.0%	58	-31.6K	-186	0.82	187.82	N/A	N/A	28	23	28	39
2017-04-07	$23.23	$23.00	1.4%	25.6%	4.4%	0.3%	7.5%	17.7%	-37.0%	261	-30.3K	-205	0.82	183.74	N/A	N/A	28	23	28	39
2017-04-10	$23.32	$23.00	91.5%	26.2%	4.5%	45.7%	8.5%	-127.0%	-41.0%	-204	-20.0K	-256	0.82	164.24	N/A	N/A	28	23	28	39
2017-04-11	$23.33	$23.00	92.7%	26.6%	3.8%	46.3%	8.7%	0.0%	-41.9%	-129	-15.4K	-279	0.82	198.03	N/A	N/A	28	23	28	39
2017-04-12	$23.36	$23.00	178.7%	51.2%	3.6%	89.6%	181.0%	-22.9%	-43.5%	-1.3K	-23.1K	-247	0.82	193.17	N/A	N/A	28	23	28	39
2017-04-13	$23.22	$23.00	183.3%	52.5%	4.4%	91.9%	183.4%	-128.4%	-45.6%	-273	-12.8K	-287	0.82	195.22	N/A	N/A	28	23	28	39
2017-04-17	$23.34	$23.00	124.2%	35.6%	4.6%	62.2%	67.4%	-130.6%	-41.4%	-363	-19.3K	-256	0.82	194.34	N/A	N/A	28	23	28	39
2017-04-18	$23.24	$23.00	126.1%	36.2%	4.9%	63.2%	65.4%	-133.2%	-44.7%	-271	-12.2K	-284	0.93	181.84	N/A	N/A	28	26	28	40
2017-04-19	$23.23	$23.00	104.1%	29.8%	4.1%	52.1%	10.1%	-134.7%	-54.5%	-723	-9.1K	-280	0.96	188.61	N/A	N/A	28	27	28	38
2017-04-20	$23.28	$23.00	2.5%	0.7%	4.2%	0.9%	4.1%	-135.1%	143.3%	-729	-12.7K	-276	0.96	196.74	N/A	N/A	28	27	28	39
2017-04-21	$23.27	$23.00	3.3%	0.9%	4.2%	1.3%	4.0%	-136.3%	145.5%	-321	-13.4K	-273	0.96	193.29	N/A	N/A	28	27	28	39
2017-04-24	$23.35	$23.00	4.9%	1.4%	4.3%	2.1%	4.9%	-144.2%	-50.7%	-860	-34.5K	-174	0.89	191.06	N/A	N/A	28	25	28	38
2017-04-25	$23.45	$23.00	5.8%	1.7%	4.4%	2.6%	5.8%	-139.2%	0.0%	-188	-12.4K	-269	0.89	197.81	N/A	N/A	28	25	28	38
2017-04-26	$23.42	$23.00	4.5%	1.3%	4.3%	1.9%	4.5%	9.1%	140.6%	-12	-11.9K	-269	0.89	197.78	N/A	N/A	28	25	28	38
2017-04-27	$23.46	$23.00	6.2%	1.8%	4.2%	2.7%	6.2%	-144.4%	143.7%	697	-28.4K	-198	0.89	196.36	N/A	N/A	28	25	28	38
2017-04-28	$23.51	$23.00	151.1%	0.0%	4.3%	75.7%	6.7%	-133.7%	147.1%	8	-33.8K	-174	0.79	197.78	N/A	N/A	28	22	28	38