PCEF Options History — September 2017

In September 2017, PCEF traded between $23.75 and $24.04. ATM implied volatility averaged 100.8%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 32.2%. IV traded above realized volatility by 95.7% (HV 20d: 5.2%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 5.29.

Notable Days

2017-09-06: Highest Volume — 110 contracts
2017-09-27: Largest IV spike — 134.4% change
2017-09-18: Highest IV Rank — 93.2%
2017-09-18: Largest Expected Move — 53.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.88	$23.75	$24.04	$23.87	$24.04
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	100.8%	6.4%	186.1%	80.8%	14.6%
Expected Move	32.2%	1.8%	53.4%	23.2%	4.2%
HV 20d	5.2%	3.3%	9.9%	9.8%	3.6%
HV 60d	6.6%	6.2%	6.8%	6.8%	6.2%
IV Rank	50.3%	2.8%	93.2%	40.3%	7.0%
IV Percentile	59.8%	10.7%	90.9%	54.4%	26.2%
Term Structure	-5.8%	-156.5%	140.3%	71.5%	135.6%
VWIV	10.7%	10.7%	10.7%	10.7%	10.7%
Skew 25d	45.4%	-27.6%	164.4%	12.0%	164.4%
Skew 10d	45.4%	-27.6%	164.4%	12.0%	164.4%
Call IV 25d	103.9%	9.4%	185.3%	161.2%	9.5%
Put IV 25d	149.3%	15.3%	199.6%	173.2%	173.8%
Bid-Ask Spread %	190.23	174.30	197.55	174.30	196.56
Gamma HHI	0.35	0.31	0.43	0.34	0.31
Net GEX	-3.0K	-5.3K	-1.5K	-4.8K	-1.5K
Net DEX	50.2K	33.2K	59.8K	58.2K	48.6K
Net VEX	-358	-416	-331	-416	-345
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.29	2.82	15.33	2.82	5.75
Total Volume	81.2	49	110	107	54
Total OI	97.3	67	125	122	72

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
2017-09-01	$23.87	$23.00	80.8%	23.2%	9.8%	40.3%	10.7%	12.0%	71.5%	-4.8K	58.2K	-416	2.82	174.30	N/A	N/A	28	79	15	107
2017-09-05	$23.75	$0.00	97.8%	45.1%	9.9%	48.8%	0.0%	10.4%	-137.7%	-5.2K	58.0K	-394	2.82	195.00	N/A	N/A	28	79	15	107
2017-09-06	$23.75	$0.00	103.0%	45.6%	9.9%	51.4%	0.0%	10.7%	-137.5%	-4.6K	52.8K	-378	2.93	191.42	N/A	N/A	28	82	15	107
2017-09-07	$23.79	$0.00	108.5%	46.1%	9.6%	54.2%	0.0%	11.5%	-140.9%	-5.3K	56.5K	-396	2.93	185.91	N/A	N/A	28	82	15	110
2017-09-08	$23.79	$0.00	116.0%	46.7%	6.2%	58.0%	0.0%	11.6%	-140.6%	-4.6K	50.9K	-383	2.93	193.66	N/A	N/A	28	82	15	110
2017-09-11	$23.84	$0.00	152.1%	48.4%	5.3%	76.1%	0.0%	12.9%	-148.3%	-4.9K	47.9K	-367	2.93	189.86	N/A	N/A	28	82	15	110
2017-09-12	$23.87	$0.00	174.6%	49.0%	4.8%	87.5%	0.0%	13.6%	-150.2%	-4.6K	44.6K	-359	2.93	188.99	N/A	N/A	28	82	15	110
2017-09-13	$23.90	$0.00	173.1%	49.6%	4.1%	86.7%	0.0%	14.3%	-152.2%	-4.3K	40.8K	-350	2.93	193.18	N/A	N/A	28	82	15	110
2017-09-14	$23.92	$0.00	175.5%	50.3%	4.0%	87.9%	0.0%	-27.6%	-154.3%	-3.8K	36.1K	-341	2.93	187.73	N/A	N/A	28	82	15	110
2017-09-15	$23.94	$0.00	177.9%	51.0%	3.3%	89.1%	0.0%	-27.6%	-156.5%	-1.6K	33.2K	-335	2.93	197.16	N/A	N/A	28	82	15	110
2017-09-18	$23.81	$0.00	186.1%	53.4%	4.0%	93.2%	0.0%	10.1%	-49.8%	-1.6K	57.7K	-331	15.33	191.73	N/A	N/A	3	46	3	64
2017-09-19	$23.85	$0.00	100.6%	28.9%	4.0%	50.2%	0.0%	10.8%	125.1%	-1.8K	59.8K	-333	15.33	195.88	N/A	N/A	3	46	3	64
2017-09-20	$23.89	$0.00	102.3%	29.3%	3.4%	51.1%	0.0%	11.5%	126.0%	-1.8K	59.7K	-331	5.75	197.55	N/A	N/A	8	46	3	64
2017-09-21	$23.84	$0.00	104.1%	29.8%	3.6%	52.0%	0.0%	13.9%	127.1%	-1.5K	50.2K	-357	5.75	190.03	N/A	N/A	8	46	8	64
2017-09-22	$23.89	$0.00	105.8%	30.3%	3.6%	52.9%	0.0%	17.3%	128.0%	-1.5K	50.2K	-355	5.75	191.41	N/A	N/A	8	46	8	64
2017-09-25	$23.93	$0.00	14.5%	4.2%	3.6%	6.9%	0.0%	156.0%	131.1%	-1.5K	49.8K	-350	5.75	188.86	N/A	N/A	8	46	8	64
2017-09-26	$23.96	$0.00	6.4%	1.8%	3.6%	2.8%	0.0%	158.9%	140.3%	-1.5K	49.6K	-349	5.75	184.86	N/A	N/A	8	46	8	64
2017-09-27	$23.95	$0.00	14.9%	4.3%	3.6%	7.1%	0.0%	160.4%	133.3%	-1.5K	49.6K	-347	5.75	189.13	N/A	N/A	8	46	8	64
2017-09-28	$23.97	$0.00	8.0%	2.3%	3.6%	3.6%	0.0%	162.1%	134.4%	-1.5K	49.2K	-346	5.75	181.41	N/A	N/A	8	46	8	64
2017-09-29	$24.04	$0.00	14.6%	4.2%	3.6%	7.0%	0.0%	164.4%	135.6%	-1.5K	48.6K	-345	5.75	196.56	N/A	N/A	8	46	8	64