PCEF Options History — November 2017

In November 2017, PCEF traded between $23.36 and $24.01. ATM implied volatility averaged 70.1%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 63.7% (HV 20d: 6.4%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.66.

Notable Days

2017-11-30: Highest Volume — 76 contracts
2017-11-07: Largest IV spike — 5955.9% change
2017-11-15: Highest IV Rank — 68.8%
2017-11-15: Largest Expected Move — 39.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.70	$23.36	$24.01	$24.01	$23.61
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	70.1%	1.8%	137.5%	99.5%	35.8%
Expected Move	21.2%	8.1%	39.4%	28.9%	10.3%
HV 20d	6.4%	5.1%	7.7%	5.1%	7.0%
HV 60d	5.1%	4.2%	6.6%	6.6%	5.3%
IV Rank	34.9%	0.5%	68.8%	49.7%	17.6%
IV Percentile	48.9%	2.4%	70.2%	61.1%	37.7%
Term Structure	-26.4%	-176.2%	150.7%	150.7%	148.3%
VWIV	35.8%	19.9%	89.8%	22.9%	34.9%
Skew 25d	-12.9%	-99.2%	23.5%	4.4%	23.1%
Skew 10d	-14.0%	-170.2%	23.5%	4.4%	23.1%
Call IV 25d	90.4%	7.7%	191.1%	7.7%	159.0%
Put IV 25d	77.5%	9.0%	182.2%	12.1%	182.2%
Bid-Ask Spread %	181.20	162.07	196.42	188.01	174.15
Gamma HHI	0.34	0.27	0.50	0.28	0.41
Net GEX	-4.3K	-11.8K	-1.4K	-1.6K	-7.1K
Net DEX	58.1K	42.5K	77.9K	55.6K	63.2K
Net VEX	-322	-395	-195	-395	-283
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.66	4.46	4.85	4.46	4.85
Total Volume	73.619	71	76	71	76
Total OI	103.143	92	113	99	113

Daily Data (21 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
2017-11-01	$24.01	$0.00	99.5%	0.0%	5.1%	49.7%	0.0%	4.4%	150.7%	-1.6K	55.6K	-395	4.46	188.01	N/A	N/A	13	58	18	81
2017-11-02	$23.93	$24.00	100.9%	28.9%	5.2%	50.4%	22.9%	3.9%	-68.4%	-1.6K	52.3K	-393	4.46	182.71	N/A	N/A	13	58	18	81
2017-11-03	$23.94	$24.00	102.0%	29.3%	5.2%	51.0%	24.7%	-20.8%	-142.6%	-1.5K	51.2K	-386	4.46	174.87	N/A	N/A	13	58	18	81
2017-11-06	$23.97	$24.00	1.8%	30.3%	5.3%	0.5%	26.7%	-19.6%	-147.8%	-1.6K	51.3K	-376	4.77	184.63	N/A	N/A	13	62	18	81
2017-11-07	$23.98	$24.00	107.2%	30.7%	5.2%	53.5%	25.3%	1.4%	-149.9%	-1.5K	46.4K	-346	4.54	184.88	N/A	N/A	13	59	18	76
2017-11-08	$23.92	$24.00	108.8%	31.2%	5.2%	54.4%	26.6%	-14.9%	-154.3%	-1.5K	42.5K	-332	4.54	174.57	N/A	N/A	13	59	18	74
2017-11-09	$23.74	$24.00	110.8%	31.8%	5.8%	55.4%	27.1%	-30.7%	-157.8%	-1.4K	45.2K	-331	4.54	182.94	N/A	N/A	13	59	18	74
2017-11-10	$23.75	$24.00	112.4%	32.2%	5.7%	56.2%	27.5%	-31.0%	-159.9%	-1.4K	45.2K	-327	4.54	189.91	N/A	N/A	13	59	18	74
2017-11-13	$23.61	$24.00	118.0%	33.8%	5.9%	59.0%	24.4%	3.1%	-170.1%	-1.5K	46.1K	-316	4.54	184.34	N/A	N/A	13	59	18	74
2017-11-14	$23.38	$24.00	101.4%	29.1%	6.6%	50.6%	19.9%	-49.1%	-93.9%	-11.8K	70.8K	-195	4.54	166.68	N/A	N/A	13	59	18	74
2017-11-15	$23.36	$24.00	137.5%	39.4%	6.6%	68.8%	89.8%	-99.2%	-78.0%	-2.3K	42.6K	-225	4.77	166.59	N/A	N/A	13	62	18	74
2017-11-16	$23.56	$24.00	45.4%	13.0%	7.6%	22.5%	54.2%	-99.2%	-173.4%	-2.2K	77.9K	-353	4.77	187.03	N/A	N/A	13	62	18	94
2017-11-17	$23.65	$24.00	47.0%	13.5%	7.7%	23.3%	55.9%	-96.7%	-176.2%	-2.2K	75.8K	-354	4.77	185.51	N/A	N/A	13	62	18	94
2017-11-20	$23.54	$24.00	28.2%	8.1%	7.7%	13.8%	27.8%	20.1%	135.3%	-6.5K	73.7K	-326	4.77	196.42	N/A	N/A	13	62	18	94
2017-11-21	$23.58	$24.00	28.8%	8.3%	7.7%	14.1%	28.1%	21.0%	136.2%	-6.4K	73.1K	-320	4.77	180.84	N/A	N/A	13	62	18	94
2017-11-22	$23.61	$24.00	29.5%	8.5%	6.9%	14.5%	29.0%	21.6%	137.2%	-7.2K	60.8K	-317	4.77	189.23	N/A	N/A	13	62	18	94
2017-11-24	$23.70	$24.00	56.0%	16.1%	7.0%	27.8%	31.8%	23.3%	0.0%	-8.6K	54.4K	-293	4.77	181.06	N/A	N/A	13	62	18	94
2017-11-27	$23.58	$24.00	32.6%	9.3%	7.0%	16.0%	31.6%	22.0%	144.5%	-7.2K	63.7K	-299	4.77	162.07	N/A	N/A	13	62	18	95
2017-11-28	$23.66	$24.00	33.7%	9.7%	7.1%	16.6%	33.5%	23.5%	145.5%	-7.1K	65.0K	-297	4.77	184.42	N/A	N/A	13	62	18	95
2017-11-29	$23.58	$24.00	34.6%	9.9%	7.1%	17.0%	74.6%	22.4%	147.1%	-7.6K	63.0K	-289	4.77	184.46	N/A	N/A	13	62	18	95
2017-11-30	$23.61	$24.00	35.8%	10.3%	7.0%	17.6%	34.9%	23.1%	148.3%	-7.1K	63.2K	-283	4.85	174.15	N/A	N/A	13	63	18	95