PCEF Options History — October 2017

In October 2017, PCEF traded between $23.76 and $24.22. ATM implied volatility averaged 84.6%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 39.3%. IV traded above realized volatility by 81.3% (HV 20d: 3.3%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 5.41.

Notable Days

  • 2017-10-30: Highest Volume — 71 contracts
  • 2017-10-31: Largest IV spike — 4570.6% change
  • 2017-10-20: Highest IV Rank — 99.5%
  • 2017-10-20: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.06$23.76$24.22$24.06$23.94
ATM IV84.6%2.1%198.6%15.6%98.6%
Expected Move39.3%0.6%56.9%4.5%0.6%
HV 20d3.3%2.1%5.0%3.5%5.0%
HV 60d6.2%6.0%6.6%6.2%6.6%
IV Rank42.2%0.7%99.5%7.5%49.2%
IV Percentile54.6%2.4%98.8%27.4%59.9%
Term Structure-51.0%-169.2%149.6%139.2%149.6%
Skew 25d45.1%-46.8%187.5%169.7%3.9%
Skew 10d45.5%-45.7%187.5%169.7%3.9%
Call IV 25d21.2%5.5%55.3%9.7%7.9%
Put IV 25d66.3%7.9%197.9%179.5%11.8%
Bid-Ask Spread %187.43173.55197.29188.21179.96
Gamma HHI0.320.290.410.310.29
Net GEX-2.5K-5.3K-843-1.7K-1.6K
Net DEX50.1K41.5K70.6K49.1K50.6K
Net VEX-317-394-243-339-394
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.414.387.135.384.46
Total Volume54.95551715171
Total OI75.09171997299

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$24.06$0.0015.6%4.5%3.5%7.5%0.0%169.7%139.2%-1.7K49.1K-3395.38188.21N/AN/A843864
2017-10-03$24.11$0.0015.4%4.4%2.9%7.4%0.0%172.1%140.6%-2.4K47.0K-3265.38191.97N/AN/A843863
2017-10-04$24.06$0.0016.5%4.7%3.1%8.0%0.0%173.6%141.8%-1.7K48.0K-3305.38187.78N/AN/A843863
2017-10-05$24.07$0.0016.9%45.8%3.0%8.2%0.0%175.7%-135.5%-1.7K48.5K-3285.38195.53N/AN/A843863
2017-10-06$24.07$0.0017.6%46.4%3.0%8.5%0.0%177.8%-137.3%-84344.0K-3255.38186.44N/AN/A843863
2017-10-09$24.07$0.0019.8%48.1%3.0%9.6%0.0%184.5%-142.9%-1.7K48.6K-3215.38186.20N/AN/A843863
2017-10-10$24.13$0.0019.8%48.8%3.1%9.6%0.0%187.5%-144.5%-1.7K48.3K-3195.38194.87N/AN/A843863
2017-10-11$24.15$0.00172.0%49.3%3.1%86.1%0.0%-42.3%-143.0%-3.0K49.5K-3125.38197.29N/AN/A843863
2017-10-12$24.16$0.00174.4%50.0%3.0%87.3%0.0%-42.8%-145.0%-2.9K48.4K-3065.38190.34N/AN/A843863
2017-10-13$24.19$0.00177.1%50.8%3.1%88.7%0.0%-44.2%-149.0%-3.2K47.9K-3005.38173.55N/AN/A843863
2017-10-16$24.21$0.00184.8%53.0%2.1%92.6%0.0%-45.4%-155.7%-3.3K48.9K-2965.38183.97N/AN/A843863
2017-10-17$24.22$0.00188.5%54.0%2.1%94.4%0.0%-45.4%-159.0%-3.1K47.5K-2935.38177.42N/AN/A843863
2017-10-18$24.16$0.00191.8%55.0%2.3%96.1%0.0%-1.4%-162.9%-3.1K48.1K-2915.38186.42N/AN/A843863
2017-10-19$24.14$0.00194.8%55.9%2.2%97.6%0.0%-1.8%-165.9%-3.2K51.9K-2895.38188.54N/AN/A843863
2017-10-20$24.16$0.00198.6%56.9%2.1%99.5%0.0%-46.8%-169.2%-2.8K49.2K-2885.38187.53N/AN/A843863
2017-10-23$24.03$0.0030.5%0.0%3.0%15.0%0.0%3.3%18.0%-1.9K48.0K-2965.38179.56N/AN/A843863
2017-10-24$24.06$0.0030.8%0.0%3.0%15.1%0.0%4.4%18.0%-1.9K47.8K-2955.38188.88N/AN/A843863
2017-10-25$23.81$0.0031.2%0.0%4.8%15.3%0.0%-2.3%18.4%-5.3K41.5K-2437.13190.60N/AN/A857863
2017-10-26$23.76$0.0031.6%0.0%4.8%15.5%0.0%2.4%18.9%-2.5K65.2K-3437.13190.50N/AN/A857880
2017-10-27$23.87$0.0031.8%0.0%5.0%15.6%0.0%5.6%18.8%-2.7K70.6K-3444.38190.34N/AN/A1357880
2017-10-30$23.89$0.002.1%0.6%5.0%0.7%0.0%3.5%25.2%-2.3K53.9K-3924.46187.56N/AN/A13581880
2017-10-31$23.94$0.0098.6%0.0%5.0%49.2%0.0%3.9%149.6%-1.6K50.6K-3944.46179.96N/AN/A13581881