PCEF Options History — December 2017

In December 2017, PCEF traded between $23.64 and $23.86. ATM implied volatility averaged 122.0%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 42.8%. IV traded above realized volatility by 117.1% (HV 20d: 4.9%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.11.

Notable Days

2017-12-01: Highest Volume — 76 contracts
2017-12-26: Largest IV spike — 231.5% change
2017-12-21: Highest IV Rank — 97.9%
2017-12-21: Largest Expected Move — 56.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.74	$23.64	$23.86	$23.64	$23.86
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	122.0%	41.9%	195.5%	67.9%	150.4%
Expected Move	42.8%	12.7%	56.0%	19.5%	12.7%
HV 20d	4.9%	2.5%	7.1%	7.0%	2.5%
HV 60d	5.2%	5.2%	5.3%	5.3%	5.2%
IV Rank	61.0%	20.7%	97.9%	33.8%	75.3%
IV Percentile	65.5%	37.7%	97.6%	42.5%	73.4%
Term Structure	-97.4%	-157.9%	19.7%	-136.5%	-49.4%
VWIV	79.9%	79.9%	79.9%	79.9%	79.9%
Skew 25d	-16.3%	-115.3%	26.9%	23.9%	12.1%
Skew 10d	-16.3%	-115.3%	26.9%	23.9%	12.1%
Call IV 25d	149.7%	119.5%	172.4%	160.2%	161.1%
Put IV 25d	133.4%	6.9%	199.3%	184.2%	173.2%
Bid-Ask Spread %	188.14	179.29	198.25	181.86	192.04
Gamma HHI	0.48	0.41	0.55	0.48	0.48
Net GEX	-5.2K	-15.2K	226	-10.8K	202
Net DEX	20.6K	-8.8K	58.2K	49.8K	-8.0K
Net VEX	-156	-245	-111	-242	-117
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.11	0.61	4.85	4.85	0.61
Total Volume	52.05	21	76	76	29
Total OI	71.8	25	110	110	26

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
2017-12-01	$23.64	$24.00	67.9%	19.5%	7.0%	33.8%	79.9%	23.9%	0.0%	-10.8K	49.8K	-242	4.85	181.86	N/A	N/A	13	63	18	92
2017-12-04	$23.66	$0.00	41.9%	44.6%	7.0%	20.7%	0.0%	24.9%	-136.5%	-7.4K	58.1K	-245	4.85	196.29	N/A	N/A	13	63	18	92
2017-12-05	$23.68	$0.00	43.9%	45.1%	7.0%	21.7%	0.0%	25.5%	-137.6%	-7.3K	57.6K	-238	4.85	188.76	N/A	N/A	13	63	18	92
2017-12-06	$23.73	$0.00	86.0%	45.5%	7.1%	42.9%	0.0%	26.7%	-139.3%	-12.1K	41.5K	-206	4.85	180.70	N/A	N/A	13	63	18	92
2017-12-07	$23.72	$0.00	91.0%	46.1%	7.0%	45.4%	0.0%	26.8%	-140.7%	-12.6K	41.0K	-198	4.85	183.78	N/A	N/A	13	63	18	92
2017-12-08	$23.71	$0.00	97.1%	46.6%	6.5%	48.5%	0.0%	26.9%	-143.6%	-13.1K	42.5K	-194	4.85	179.29	N/A	N/A	13	63	18	92
2017-12-11	$23.75	$0.00	68.2%	48.4%	6.5%	33.9%	0.0%	-113.5%	-148.3%	-7.3K	55.7K	-192	4.85	188.50	N/A	N/A	13	63	18	92
2017-12-12	$23.75	$0.00	78.7%	24.5%	6.1%	39.2%	0.0%	-111.9%	19.7%	-7.1K	58.2K	-183	4.85	192.57	N/A	N/A	13	63	18	92
2017-12-13	$23.78	$0.00	173.2%	49.7%	4.8%	86.7%	0.0%	-115.0%	-152.2%	-15.2K	27.0K	-142	4.85	188.80	N/A	N/A	13	63	18	92
2017-12-14	$23.76	$0.00	175.7%	50.4%	4.8%	88.0%	0.0%	-115.3%	-154.9%	-13.7K	25.1K	-126	4.85	192.58	N/A	N/A	13	63	18	92
2017-12-15	$23.82	$0.00	178.0%	51.0%	4.0%	89.1%	0.0%	-113.1%	-157.9%	212	31.8K	-119	4.85	188.99	N/A	N/A	13	63	18	92
2017-12-18	$23.73	$0.00	124.3%	35.6%	4.1%	62.2%	0.0%	8.9%	-51.0%	226	-8.3K	-116	1.10	198.25	N/A	N/A	10	11	15	10
2017-12-19	$23.69	$0.00	189.4%	54.3%	3.7%	94.9%	0.0%	6.7%	-53.4%	213	-8.4K	-115	1.10	190.10	N/A	N/A	10	11	15	10
2017-12-20	$23.73	$0.00	192.2%	55.1%	3.7%	96.3%	0.0%	9.2%	-54.9%	202	-8.6K	-116	1.10	184.70	N/A	N/A	10	11	15	10
2017-12-21	$23.71	$0.00	195.5%	56.0%	3.7%	97.9%	0.0%	9.0%	-57.0%	202	-8.6K	-116	1.10	182.97	N/A	N/A	10	11	15	10
2017-12-22	$23.78	$0.00	44.1%	12.7%	3.6%	21.8%	0.0%	10.2%	-52.4%	204	-8.7K	-115	1.10	193.15	N/A	N/A	10	11	15	10
2017-12-26	$23.77	$0.00	146.3%	0.0%	3.1%	73.2%	0.0%	10.3%	-46.9%	203	-8.7K	-113	1.10	189.04	N/A	N/A	10	11	15	10
2017-12-27	$23.80	$0.00	147.6%	0.0%	2.9%	73.9%	0.0%	10.9%	-49.4%	205	-8.8K	-112	1.10	181.49	N/A	N/A	10	11	15	10
2017-12-28	$23.82	$0.00	149.0%	0.0%	2.5%	74.6%	0.0%	11.3%	0.0%	205	-8.8K	-111	0.61	188.91	N/A	N/A	18	11	15	10
2017-12-29	$23.86	$0.00	150.4%	0.0%	2.5%	75.3%	0.0%	12.1%	0.0%	202	-8.0K	-117	0.61	192.04	N/A	N/A	18	11	15	11