PCEF Options History — January 2018

Name: PCEF Options Analytics - January 2018
Creator: Options Analysis Suite

In January 2018, PCEF traded between $23.55 and $24.15. ATM implied volatility averaged 77.7%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 29.0%. IV traded above realized volatility by 73.5% (HV 20d: 4.2%). Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2018-01-30: Highest Volume — 69 contracts
2018-01-05: Largest IV spike — 15947.5% change
2018-01-19: Highest IV Rank — 100.0%
2018-01-19: Largest Expected Move — 57.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.99	$23.55	$24.15	$23.98	$23.66
ATM IV	77.7%	0.9%	199.7%	2.9%	5.7%
Expected Move	29.0%	0.3%	57.2%	0.8%	1.6%
HV 20d	4.2%	3.0%	6.5%	3.0%	6.5%
HV 60d	5.4%	5.2%	5.8%	5.3%	5.8%
IV Rank	38.7%	0.1%	100.0%	1.1%	2.5%
IV Percentile	41.0%	0.4%	100.0%	3.2%	8.3%
Term Structure	-118.2%	-173.5%	7.8%	-145.5%	-1.7%
Skew 25d	-18.1%	-162.3%	138.2%	14.6%	-162.3%
Skew 10d	-60.4%	-170.0%	18.1%	14.6%	-162.3%
Call IV 25d	123.3%	16.1%	179.9%	166.8%	172.6%
Put IV 25d	105.2%	1.2%	198.1%	181.3%	10.3%
Bid-Ask Spread %	190.56	181.40	197.83	193.48	187.03
Gamma HHI	0.41	0.35	0.56	0.42	0.42
Net GEX	403	-124	1.4K	140	1.1K
Net DEX	-15.1K	-60.1K	3.2K	-8.1K	-60.1K
Net VEX	-129	-277	-65	-115	-277
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.19	0.61	0.61	0.19
Total Volume	39.238	29	69	29	69
Total OI	35.286	26	68	26	68

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
2018-01-02	$23.98	$0.00	2.9%	0.8%	3.0%	1.1%	0.0%	14.6%	0.0%	140	-8.1K	-115	0.61	193.48	N/A	N/A	18	11	15	11
2018-01-03	$24.03	$0.00	25.9%	7.4%	3.0%	12.6%	0.0%	15.6%	0.0%	139	-8.2K	-114	0.61	184.85	N/A	N/A	18	11	15	11
2018-01-04	$24.10	$0.00	1.0%	46.1%	3.1%	0.1%	0.0%	16.9%	-145.5%	120	-7.5K	-120	0.61	190.34	N/A	N/A	18	11	15	12
2018-01-05	$24.10	$0.00	162.1%	46.5%	3.1%	81.1%	0.0%	17.1%	-147.3%	121	-7.5K	-119	0.61	197.45	N/A	N/A	18	11	15	12
2018-01-08	$24.11	$0.00	22.3%	48.2%	3.1%	10.9%	0.0%	17.9%	-153.0%	126	-7.7K	-116	0.58	190.73	N/A	N/A	19	11	15	12
2018-01-09	$24.11	$0.00	1.7%	48.8%	3.1%	0.5%	0.0%	18.1%	-139.3%	297	-2.1K	-65	0.58	189.70	N/A	N/A	19	11	16	12
2018-01-10	$24.02	$0.00	172.7%	49.5%	3.4%	86.5%	0.0%	9.2%	-158.0%	117	-9.2K	-121	0.58	186.92	N/A	N/A	19	11	16	12
2018-01-11	$24.14	$0.00	175.2%	50.2%	3.8%	87.7%	0.0%	11.1%	-159.3%	119	-9.6K	-120	0.58	191.55	N/A	N/A	19	11	16	12
2018-01-12	$24.15	$0.00	177.1%	50.8%	3.8%	88.7%	0.0%	87.3%	-161.7%	972	-3.2K	-98	0.58	181.40	N/A	N/A	19	11	16	12
2018-01-16	$24.10	$0.00	189.3%	54.3%	3.9%	94.9%	0.0%	128.8%	-165.5%	471	-731	-88	0.58	195.86	N/A	N/A	19	11	16	12
2018-01-17	$24.14	$0.00	190.8%	54.7%	3.8%	95.6%	0.0%	125.7%	-168.0%	298	-2.3K	-79	0.58	196.47	N/A	N/A	19	11	16	12
2018-01-18	$23.98	$0.00	195.3%	56.0%	4.4%	97.8%	0.0%	114.0%	-164.4%	-124	-221	-73	0.58	197.83	N/A	N/A	19	11	16	12
2018-01-19	$24.03	$0.00	199.7%	57.2%	4.3%	100.0%	0.0%	-24.3%	-167.0%	141	3.2K	-85	0.58	194.65	N/A	N/A	19	11	16	12
2018-01-22	$23.90	$0.00	3.1%	0.9%	4.8%	1.2%	0.0%	138.2%	-173.5%	311	-72	-85	0.28	187.24	N/A	N/A	39	11	16	12
2018-01-23	$23.98	$0.00	3.0%	0.9%	4.9%	1.2%	0.0%	-145.8%	7.8%	426	-30.8K	-178	0.28	188.13	N/A	N/A	39	11	36	12
2018-01-24	$23.97	$0.00	4.9%	1.4%	4.8%	2.1%	0.0%	-147.4%	7.8%	1.4K	-24.8K	-174	0.28	190.23	N/A	N/A	39	11	36	12
2018-01-25	$23.98	$0.00	5.2%	1.5%	4.8%	2.3%	0.0%	-147.3%	0.0%	20	-37.0K	-173	0.28	186.99	N/A	N/A	39	11	36	12
2018-01-26	$23.97	$0.00	0.9%	0.3%	4.8%	0.1%	0.0%	-149.0%	0.0%	776	-35.3K	-176	0.28	194.33	N/A	N/A	39	11	36	12
2018-01-29	$23.78	$0.00	85.2%	0.0%	5.6%	42.5%	0.0%	-156.9%	0.0%	761	-33.8K	-171	0.28	190.66	N/A	N/A	39	11	36	12
2018-01-30	$23.55	$0.00	7.8%	2.2%	6.5%	3.6%	0.0%	-161.2%	-3.3%	760	-32.0K	-168	0.19	185.91	N/A	N/A	58	11	36	12
2018-01-31	$23.66	$0.00	5.7%	1.6%	6.5%	2.5%	0.0%	-162.3%	-1.7%	1.1K	-60.1K	-277	0.19	187.03	N/A	N/A	58	11	56	12