PCEF Options History — July 2017

Name: PCEF Options Analytics - July 2017
Creator: Options Analysis Suite

In July 2017, PCEF traded between $23.62 and $24.00. ATM implied volatility averaged 100.2%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 43.7%. IV traded above realized volatility by 94.9% (HV 20d: 5.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2017-07-28: Highest Volume — 72 contracts
2017-07-12: Largest IV spike — 2118.3% change
2017-07-21: Highest IV Rank — 98.0%
2017-07-21: Largest Expected Move — 56.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.83	$23.62	$24.00	$23.77	$24.00
ATM IV	100.2%	7.3%	195.4%	155.2%	28.7%
Expected Move	43.7%	2.3%	56.0%	2.3%	56.0%
HV 20d	5.4%	3.8%	6.1%	5.7%	3.8%
HV 60d	4.6%	4.4%	4.8%	4.8%	4.5%
IV Rank	50.1%	3.3%	98.0%	77.8%	14.1%
IV Percentile	59.3%	11.1%	98.0%	76.2%	43.7%
Term Structure	-87.1%	-179.6%	155.8%	155.8%	38.6%
Skew 25d	15.3%	-176.3%	178.8%	8.5%	63.3%
Skew 10d	20.0%	-176.3%	178.8%	8.5%	157.5%
Call IV 25d	115.8%	8.2%	186.9%	168.2%	8.6%
Put IV 25d	131.1%	8.4%	197.6%	176.7%	71.9%
Bid-Ask Spread %	190.93	168.20	197.63	197.63	176.68
Gamma HHI	0.46	0.42	0.53	0.44	0.53
Net GEX	-1.0K	-2.4K	-544	-564	-2.4K
Net DEX	22.6K	13.7K	31.8K	14.4K	14.9K
Net VEX	-428	-446	-411	-441	-411
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	1.43	1.57	1.46	1.57
Total Volume	69.45	68	72	69	72
Total OI	101.6	100	108	100	108

Daily Data (20 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
2017-07-03	$23.77	$0.00	155.2%	0.0%	5.7%	77.8%	0.0%	8.5%	0.0%	-564	14.4K	-441	1.46	197.63	N/A	N/A	28	41	28	72
2017-07-05	$23.69	$0.00	8.1%	2.3%	5.8%	3.7%	0.0%	-164.5%	155.8%	-562	13.7K	-436	1.46	196.79	N/A	N/A	28	41	28	72
2017-07-06	$23.62	$0.00	8.9%	46.2%	5.9%	4.1%	0.0%	-167.6%	-153.9%	-544	14.6K	-431	1.46	185.63	N/A	N/A	28	41	28	72
2017-07-07	$23.66	$0.00	7.3%	46.7%	5.9%	3.3%	0.0%	-168.9%	-155.5%	-556	14.6K	-430	1.46	186.18	N/A	N/A	28	41	28	72
2017-07-10	$23.72	$0.00	7.6%	48.4%	6.0%	3.5%	0.0%	8.3%	-161.1%	-570	15.4K	-422	1.46	195.87	N/A	N/A	28	41	28	72
2017-07-11	$23.74	$0.00	7.8%	49.0%	6.0%	3.6%	0.0%	-176.3%	-163.2%	-1.6K	31.8K	-443	1.46	195.58	N/A	N/A	28	41	28	72
2017-07-12	$23.84	$0.00	173.0%	49.6%	6.1%	86.8%	0.0%	10.7%	-164.7%	-786	23.2K	-438	1.46	192.35	N/A	N/A	28	41	28	72
2017-07-13	$23.86	$0.00	174.9%	50.1%	6.1%	87.7%	0.0%	26.3%	-165.9%	-696	20.8K	-433	1.46	177.86	N/A	N/A	28	41	28	72
2017-07-14	$23.79	$0.00	95.3%	27.3%	5.4%	47.6%	0.0%	25.5%	-168.9%	-1.1K	25.0K	-433	1.50	168.20	N/A	N/A	28	42	28	72
2017-07-17	$23.79	$0.00	93.2%	26.7%	5.4%	46.6%	0.0%	1.3%	-1.1%	-1.3K	24.1K	-424	1.50	194.77	N/A	N/A	28	42	28	72
2017-07-18	$23.82	$0.00	188.6%	54.1%	5.3%	94.6%	0.0%	26.8%	-179.6%	-795	23.6K	-422	1.50	197.29	N/A	N/A	28	42	28	72
2017-07-19	$23.91	$0.00	192.5%	55.2%	5.2%	96.6%	0.0%	28.4%	-153.5%	-1.2K	28.6K	-426	1.43	188.97	N/A	N/A	28	40	28	72
2017-07-20	$23.88	$0.00	194.8%	55.8%	5.3%	97.7%	0.0%	28.2%	-156.7%	-794	23.8K	-422	1.43	196.94	N/A	N/A	28	40	28	73
2017-07-21	$23.84	$0.00	195.4%	56.0%	5.1%	98.0%	0.0%	27.8%	-153.5%	-783	24.0K	-419	1.46	187.36	N/A	N/A	28	41	28	73
2017-07-24	$23.90	$0.00	92.5%	0.0%	5.1%	46.2%	0.0%	170.6%	34.4%	-1.2K	26.3K	-421	1.46	193.76	N/A	N/A	28	41	28	75
2017-07-25	$23.93	$0.00	93.3%	0.0%	5.1%	46.6%	0.0%	173.4%	34.5%	-1.5K	30.9K	-425	1.46	196.34	N/A	N/A	28	41	28	75
2017-07-26	$23.98	$0.00	94.1%	0.0%	5.0%	47.0%	0.0%	175.5%	0.0%	-1.3K	26.5K	-415	1.50	197.37	N/A	N/A	28	42	28	75
2017-07-27	$23.91	$0.00	96.1%	0.0%	5.0%	48.0%	0.0%	30.5%	33.2%	-969	26.8K	-424	1.50	197.04	N/A	N/A	28	42	28	77
2017-07-28	$23.96	$0.00	97.3%	0.0%	4.4%	48.6%	0.0%	178.8%	0.0%	-1.1K	28.4K	-446	1.57	196.10	N/A	N/A	28	44	28	80
2017-07-31	$24.00	$0.00	28.7%	0.0%	3.8%	14.1%	0.0%	63.3%	38.6%	-2.4K	14.9K	-411	1.57	176.68	N/A	N/A	28	44	28	80