PCEF Options History — May 2017

In May 2017, PCEF traded between $23.38 and $23.72. ATM implied volatility averaged 95.5%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 32.5%. IV traded above realized volatility by 91.3% (HV 20d: 4.2%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2017-05-11: Highest Volume — 72 contracts
  • 2017-05-10: Largest IV spike — 2785.9% change
  • 2017-05-18: Highest IV Rank — 99.7%
  • 2017-05-18: Largest Expected Move — 57.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.59$23.38$23.72$23.60$23.72
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV95.5%4.7%198.7%155.7%7.8%
Expected Move32.5%1.3%57.0%46.3%2.2%
HV 20d4.2%3.1%4.6%4.4%4.1%
HV 60d5.6%5.4%5.7%5.7%5.4%
IV Rank47.8%2.0%99.7%78.1%3.6%
IV Percentile53.5%9.5%99.2%80.2%12.7%
Term Structure-39.4%-190.6%152.5%150.8%144.1%
VWIV69.7%6.5%194.0%6.5%14.7%
Skew 25d-25.3%-181.7%117.2%-147.0%-141.6%
Skew 10d-25.5%-181.7%117.2%-145.7%-141.6%
Call IV 25d74.6%5.6%198.3%161.6%156.2%
Put IV 25d49.3%0.7%172.5%14.6%14.7%
Bid-Ask Spread %190.62172.69198.76198.76195.56
Gamma HHI0.320.230.430.390.40
Net GEX-880-1.9K365-475-933
Net DEX1.7K-21.1K31.9K-12.0K-13.3K
Net VEX-306-385-180-264-287
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.791.570.791.50
Total Volume64.77350725070
Total OI84.81866956693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$23.60$23.00155.7%0.0%4.4%78.1%6.5%-147.0%150.8%-475-12.0K-2640.79198.76N/AN/A28222838
2017-05-02$23.57$23.00157.5%0.0%4.5%79.0%6.5%-152.4%152.5%41-10.2K-2650.79193.31N/AN/A28222838
2017-05-03$23.58$23.00159.3%0.0%4.5%79.9%6.7%7.2%0.0%365-21.1K-1800.93196.80N/AN/A28262838
2017-05-04$23.53$23.008.2%46.3%4.6%3.8%48.3%-156.6%-153.1%-1604.3K-2691.00180.08N/AN/A28282843
2017-05-05$23.58$23.008.1%46.8%4.6%3.7%111.1%-14.8%-155.0%-46811.5K-2931.00197.04N/AN/A28282848
2017-05-08$23.58$23.009.2%48.5%4.6%4.3%115.3%-10.1%-164.3%-4827.4K-3001.00194.77N/AN/A28282848
2017-05-09$23.58$23.006.0%26.1%4.4%2.7%89.2%4.2%-165.0%-9604.3K-2941.00193.32N/AN/A28282848
2017-05-10$23.59$23.00173.4%49.7%4.4%87.0%147.9%2.9%-171.8%-725-5.8K-2961.00197.83N/AN/A28282848
2017-05-11$23.61$23.00176.2%50.5%4.4%88.4%150.6%-0.5%-175.6%-3522.7K-3051.57184.02N/AN/A28442848
2017-05-12$23.61$23.00178.2%51.1%3.7%89.4%142.3%-0.8%-176.1%-1.0K12.9K-3851.57196.39N/AN/A28442865
2017-05-15$23.53$23.00186.7%53.5%3.6%93.7%149.3%-181.7%-184.7%-96716.3K-3781.46198.02N/AN/A28412865
2017-05-16$23.55$23.00100.3%28.8%3.1%50.1%98.6%0.7%-190.6%-1.7K5.5K-3591.57181.69N/AN/A28442867
2017-05-17$23.38$23.00195.4%56.0%4.2%98.1%194.0%0.4%-180.6%-1.7K17.0K-3841.57196.72N/AN/A28442867
2017-05-18$23.39$23.00198.7%57.0%4.1%99.7%101.4%82.7%-169.5%-1.9K31.9K-3261.57197.17N/AN/A28442867
2017-05-19$23.51$23.00192.9%55.3%4.5%96.8%61.9%104.9%-179.8%-1.1K17.4K-3721.57198.56N/AN/A28442867
2017-05-22$23.57$23.0020.6%5.9%4.4%10.0%26.9%0.5%121.4%-1.7K2.9K-3271.50190.95N/AN/A28422865
2017-05-23$23.64$23.004.7%1.3%4.3%2.0%11.5%21.9%127.1%-1.2K7.1K-2631.50172.69N/AN/A28422865
2017-05-24$23.68$23.006.1%1.8%4.3%2.7%11.0%22.7%134.8%-925-13.2K-2971.50184.23N/AN/A28422865
2017-05-25$23.71$23.00139.6%0.0%4.2%69.9%12.7%117.2%129.2%-1.0K-6.0K-3021.50175.27N/AN/A28422865
2017-05-26$23.67$23.008.4%2.4%4.3%3.9%13.3%22.9%137.0%-949-12.5K-2961.50177.77N/AN/A28422865
2017-05-30$23.71$23.009.0%2.6%4.1%4.2%13.3%-140.3%141.5%-1.1K-9.3K-2941.50192.64N/AN/A28422865
2017-05-31$23.72$23.007.8%2.2%4.1%3.6%14.7%-141.6%144.1%-933-13.3K-2871.50195.56N/AN/A28422865