PCEF Options History — June 2017

In June 2017, PCEF traded between $23.53 and $23.82. ATM implied volatility averaged 91.4%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 34.2%. IV traded above realized volatility by 87.2% (HV 20d: 4.2%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2017-06-08: Highest Volume — 88 contracts
  • 2017-06-12: Largest IV spike — 1777.9% change
  • 2017-06-23: Highest IV Rank — 97.4%
  • 2017-06-23: Largest Expected Move — 55.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.71$23.53$23.82$23.76$23.69
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV91.4%7.0%194.1%9.1%7.0%
Expected Move34.2%2.0%55.6%2.6%2.0%
HV 20d4.2%3.9%5.5%4.1%5.5%
HV 60d4.3%4.0%5.4%5.4%4.7%
IV Rank45.7%3.2%97.4%4.2%3.2%
IV Percentile52.4%10.7%97.2%14.7%10.7%
Term Structure-51.7%-188.8%148.2%143.8%148.2%
VWIV14.7%14.7%14.7%14.7%14.7%
Skew 25d-107.2%-171.1%6.8%-142.4%-154.6%
Skew 10d-97.2%-171.1%8.1%-142.4%-154.6%
Call IV 25d119.5%9.0%187.7%157.4%163.9%
Put IV 25d12.3%6.7%16.6%15.0%9.4%
Bid-Ask Spread %192.90166.15198.89194.50183.22
Gamma HHI0.440.380.580.410.43
Net GEX-1.2K-4.1K-485-922-548
Net DEX6.8K-20.1K24.9K-13.7K14.7K
Net VEX-399-459-231-285-445
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.651.392.141.501.46
Total Volume7567887069
Total OI105.9559313193100

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$23.76$23.009.1%2.6%4.1%4.2%14.7%-142.4%143.8%-922-13.7K-2851.50194.50N/AN/A28422865
2017-06-02$23.80$23.00150.4%0.0%4.0%75.4%14.7%-7.4%137.6%-951-14.2K-2821.50196.91N/AN/A28422865
2017-06-05$23.80$0.00155.3%44.5%4.0%77.8%0.0%6.8%-148.7%-964-14.1K-2771.79197.13N/AN/A28502865
2017-06-06$23.80$0.009.0%45.0%4.0%4.2%0.0%-149.5%-150.4%-1.1K-9.5K-3261.79197.03N/AN/A28502874
2017-06-07$23.80$0.009.5%45.5%4.0%4.4%0.0%5.5%-152.2%-2.6K-7.1K-3241.71197.08N/AN/A28482874
2017-06-08$23.77$0.008.4%46.1%4.0%3.9%0.0%5.3%-152.8%-1.2K-20.1K-2312.14166.15N/AN/A28602882
2017-06-09$23.77$0.009.0%46.6%4.0%4.2%0.0%5.4%-156.2%-1.4K11.7K-4462.14198.30N/AN/A28602899
2017-06-12$23.73$0.00169.0%48.5%4.1%84.8%0.0%-163.5%-162.7%-1.5K13.4K-4402.14197.81N/AN/A28602899
2017-06-13$23.78$0.00171.1%49.0%3.9%85.8%0.0%-164.8%-164.6%-4.1K21.8K-4251.93197.59N/AN/A28542899
2017-06-14$23.82$0.00172.8%49.5%3.9%86.6%0.0%-164.1%-165.4%-2.0K15.0K-4441.93197.41N/AN/A285428100
2017-06-15$23.63$0.00175.9%50.4%4.1%88.2%0.0%-169.6%-172.1%-1.6K14.1K-4371.74198.68N/AN/A315428100
2017-06-16$23.68$0.00178.2%51.1%4.2%89.4%0.0%-171.1%-174.2%-5035.7K-4511.74198.24N/AN/A315431100
2017-06-19$23.76$0.0097.4%27.9%3.9%48.7%0.0%-54.8%-50.3%-4919.3K-4421.39189.97N/AN/A28392867
2017-06-20$23.67$0.00189.4%54.3%4.2%95.0%0.0%-60.6%-52.5%-4889.4K-4391.39188.75N/AN/A28392867
2017-06-21$23.67$0.00101.1%29.0%4.0%50.6%0.0%-81.4%-54.5%-4919.9K-4401.39180.23N/AN/A28392867
2017-06-22$23.58$0.0099.6%28.5%4.2%49.8%0.0%-144.8%136.2%-4859.6K-4341.39198.76N/AN/A28392867
2017-06-23$23.64$0.00194.1%55.6%4.3%97.4%0.0%-145.2%-188.8%-4888.9K-4331.39195.35N/AN/A28392867
2017-06-26$23.64$0.009.0%2.6%4.2%4.2%0.0%-149.3%140.7%-3.3K24.9K-4011.46186.53N/AN/A28412867
2017-06-27$23.59$0.0076.4%0.0%4.2%38.1%0.0%-151.6%-187.8%-56214.3K-4541.46198.89N/AN/A28412872
2017-06-28$23.68$0.0010.2%2.9%4.5%4.8%0.0%-151.6%142.0%-65721.1K-4591.46187.55N/AN/A28412872
2017-06-29$23.53$0.009.3%2.7%4.9%4.3%0.0%-155.5%146.2%-64423.9K-4571.46197.63N/AN/A28412872
2017-06-30$23.69$0.007.0%2.0%5.5%3.2%0.0%-154.6%148.2%-54814.7K-4451.46183.22N/AN/A28412872