PCEF Options History — August 2017

In August 2017, PCEF traded between $23.35 and $24.03. ATM implied volatility averaged 74.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 67.1% (HV 20d: 7.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.92.

Notable Days

  • 2017-08-17: Highest Volume — 91 contracts
  • 2017-08-04: Largest IV spike — 1116.1% change
  • 2017-08-18: Highest IV Rank — 100.0%
  • 2017-08-18: Largest Expected Move — 57.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$23.35$24.03$24.02$23.80
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV74.6%2.5%199.6%28.0%79.0%
Expected Move23.1%1.8%57.2%8.4%22.7%
HV 20d7.5%3.0%9.7%3.7%9.7%
HV 60d6.0%4.5%6.7%4.5%6.7%
IV Rank37.2%0.9%100.0%13.7%39.4%
IV Percentile51.1%4.0%100.0%42.9%52.4%
Term Structure9.3%-100.4%130.4%-8.8%72.5%
VWIV91.9%7.2%194.7%153.9%9.8%
Skew 25d-16.2%-142.7%139.5%66.6%10.8%
Skew 10d-11.7%-142.7%192.7%190.5%10.8%
Call IV 25d81.9%5.2%160.3%5.2%160.3%
Put IV 25d65.7%7.9%171.1%71.8%171.1%
Bid-Ask Spread %186.42170.62198.89198.89196.55
Gamma HHI0.360.290.490.490.34
Net GEX-2.7K-4.9K-970-2.1K-4.9K
Net DEX58.5K26.5K82.9K28.5K60.9K
Net VEX-423-499-329-434-420
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.921.572.251.572.25
Total Volume81.78372917291
Total OI110.69695122108122

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$24.02$0.0028.0%0.0%3.7%13.7%0.0%66.6%-8.8%-2.1K28.5K-4341.57198.89N/AN/A28442880
2017-08-02$24.02$0.0028.3%0.0%3.4%13.9%0.0%66.8%2.6%-2.4K48.4K-3871.57189.81N/AN/A28441580
2017-08-03$24.03$23.002.5%8.4%3.1%0.9%153.9%139.5%-20.0%-4.0K30.5K-3501.57179.07N/AN/A28441583
2017-08-04$24.03$23.0030.2%8.6%3.1%14.8%158.6%3.4%-20.4%-2.9K54.3K-4041.57178.34N/AN/A28441583
2017-08-07$24.03$23.007.3%2.6%3.0%3.3%76.4%2.7%0.3%-3.8K26.5K-3291.57181.44N/AN/A28441583
2017-08-08$23.99$23.008.2%2.4%3.1%3.8%94.7%3.2%-1.1%-3.8K54.1K-3901.57183.79N/AN/A28441583
2017-08-09$23.81$23.0030.9%8.9%4.0%15.2%100.0%2.0%-25.8%-1.9K55.3K-3921.57186.36N/AN/A28441583
2017-08-10$23.35$23.00182.1%52.2%7.9%91.3%179.0%-91.2%-82.4%-1.4K59.1K-3881.57177.01N/AN/A28441583
2017-08-11$23.58$23.00122.5%35.1%8.8%61.3%180.3%-96.1%-26.0%-97055.2K-4081.71193.89N/AN/A28481589
2017-08-14$23.73$23.00128.6%36.9%9.1%64.4%187.0%-92.0%-27.7%-1.0K57.8K-4301.71182.89N/AN/A28481593
2017-08-15$23.57$23.00104.2%29.9%9.4%52.1%114.7%8.1%-1.0%-1.2K63.8K-4321.71185.79N/AN/A28481593
2017-08-16$23.56$23.00127.8%36.6%9.2%64.0%187.3%-92.8%-31.0%-1.4K64.7K-4301.71180.13N/AN/A28481593
2017-08-17$23.43$23.00196.9%56.4%9.4%98.8%192.0%-87.2%-97.7%-2.1K71.8K-4282.25193.46N/AN/A28631592
2017-08-18$23.48$23.00199.6%57.2%9.5%100.0%194.7%-36.2%-100.4%-2.4K82.9K-4992.25174.83N/AN/A286315107
2017-08-21$23.48$23.009.3%2.7%9.4%4.3%19.0%5.2%130.4%-1.6K75.4K-4782.25187.62N/AN/A286315107
2017-08-22$23.63$23.0064.3%18.4%9.7%32.0%20.1%7.5%76.9%-1.5K73.9K-4752.25191.94N/AN/A286315107
2017-08-23$23.65$23.0065.5%18.8%9.7%32.6%19.5%-77.1%76.7%-1.5K74.7K-4712.25191.54N/AN/A286315107
2017-08-24$23.64$23.006.2%1.8%9.6%2.8%7.2%-142.7%-2.7%-4.0K63.3K-4512.25170.62N/AN/A286315107
2017-08-25$23.68$23.0068.2%19.5%9.6%33.9%9.1%-0.9%76.3%-4.1K62.5K-4442.25188.07N/AN/A286315107
2017-08-28$23.70$23.0073.5%21.1%9.6%36.6%9.9%8.9%74.9%-4.2K60.4K-4312.25187.66N/AN/A286315107
2017-08-29$23.70$23.0075.5%21.7%9.6%37.6%8.6%9.1%74.2%-4.5K62.8K-4302.25195.58N/AN/A286315107
2017-08-30$23.74$23.0077.3%22.2%9.6%38.5%9.1%9.8%73.4%-4.3K58.6K-4252.25192.34N/AN/A286315107
2017-08-31$23.80$23.0079.0%22.7%9.7%39.4%9.8%10.8%72.5%-4.9K60.9K-4202.25196.55N/AN/A286315107