PCEF Options History — February 2018

In February 2018, PCEF traded between $22.82 and $23.67. ATM implied volatility averaged 64.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 51.5% (HV 20d: 12.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.19.

Notable Days

2018-02-23: Highest Volume — 70 contracts
2018-02-07: Largest IV spike — 3193.8% change
2018-02-13: Highest IV Rank — 99.3%
2018-02-13: Largest Expected Move — 56.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.17	$22.82	$23.67	$23.67	$23.12
Max Pain	$23.89	$23.00	$24.00	$24.00	$23.00
ATM IV	64.4%	0.7%	198.3%	5.8%	1.4%
Expected Move	21.1%	0.2%	56.8%	27.4%	0.4%
HV 20d	12.9%	6.4%	14.2%	6.4%	13.7%
HV 60d	8.4%	5.8%	9.0%	5.8%	8.8%
IV Rank	32.0%	0.0%	99.3%	2.6%	0.3%
IV Percentile	34.6%	0.0%	98.4%	9.1%	2.4%
Term Structure	39.2%	-93.0%	152.8%	63.2%	152.8%
VWIV	39.5%	12.7%	62.5%	33.4%	12.7%
Skew 25d	-4.6%	-181.0%	52.2%	-164.2%	17.4%
Skew 10d	-4.6%	-181.0%	52.2%	-164.2%	17.4%
Call IV 25d	125.5%	57.2%	198.4%	174.6%	162.5%
Put IV 25d	120.9%	10.4%	190.1%	10.4%	179.9%
Bid-Ask Spread %	190.43	180.24	198.42	191.14	183.38
Gamma HHI	0.41	0.34	0.48	0.42	0.45
Net GEX	1.5K	647	3.1K	1.1K	2.9K
Net DEX	-47.3K	-63.0K	-23.7K	-60.4K	-28.2K
Net VEX	-237	-275	-178	-275	-178
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.17	0.21	0.19	0.17
Total Volume	68.895	68	70	69	68
Total OI	70.737	68	75	68	71

Daily Data (19 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
2018-02-01	$23.67	$24.00	5.8%	27.4%	6.4%	2.6%	33.4%	-164.2%	63.2%	1.1K	-60.4K	-275	0.19	191.14	N/A	N/A	58	11	56	12
2018-02-02	$23.44	$24.00	86.8%	24.9%	7.0%	43.3%	35.0%	-168.9%	-70.1%	1.1K	-58.0K	-273	0.19	197.44	N/A	N/A	58	11	56	12
2018-02-05	$22.82	$24.00	10.3%	51.6%	11.4%	4.8%	53.7%	-8.3%	-87.5%	647	-62.8K	-254	0.19	196.07	N/A	N/A	58	11	56	12
2018-02-06	$23.15	$24.00	5.5%	0.3%	12.9%	2.4%	30.6%	0.0%	19.5%	2.5K	-36.8K	-226	0.19	191.73	N/A	N/A	58	11	56	12
2018-02-07	$23.27	$24.00	180.8%	51.8%	13.1%	90.5%	57.1%	-181.0%	-81.6%	743	-63.0K	-256	0.19	195.76	N/A	N/A	58	11	56	12
2018-02-08	$22.99	$24.00	184.4%	52.9%	13.6%	92.3%	60.6%	43.2%	-82.6%	1.5K	-46.8K	-249	0.19	193.83	N/A	N/A	58	11	56	12
2018-02-09	$22.94	$24.00	186.4%	53.4%	13.4%	93.3%	59.8%	41.6%	-83.3%	958	-49.8K	-259	0.19	198.22	N/A	N/A	58	11	56	15
2018-02-12	$23.10	$24.00	194.3%	55.7%	13.7%	97.3%	61.8%	47.4%	-93.0%	972	-52.6K	-254	0.19	198.42	N/A	N/A	58	11	56	15
2018-02-13	$23.14	$24.00	198.3%	56.8%	13.8%	99.3%	62.5%	42.7%	-90.8%	692	-58.5K	-247	0.19	196.09	N/A	N/A	58	11	56	15
2018-02-14	$23.20	$24.00	1.2%	0.3%	13.9%	0.2%	44.0%	43.7%	105.7%	1.0K	-51.1K	-246	0.19	195.69	N/A	N/A	58	11	56	15
2018-02-15	$23.25	$24.00	1.8%	0.5%	13.8%	0.5%	44.2%	51.2%	98.8%	1.1K	-52.5K	-247	0.19	182.40	N/A	N/A	58	11	56	15
2018-02-16	$23.29	$24.00	1.8%	0.5%	13.8%	0.5%	44.7%	52.2%	54.4%	1.1K	-52.9K	-244	0.19	180.24	N/A	N/A	58	11	56	15
2018-02-20	$23.07	$24.00	1.5%	0.4%	14.0%	0.3%	35.7%	15.6%	141.8%	1.1K	-50.3K	-234	0.19	180.75	N/A	N/A	58	11	56	15
2018-02-21	$23.08	$24.00	1.5%	0.4%	13.9%	0.3%	36.3%	15.8%	143.1%	1.0K	-46.4K	-239	0.19	180.93	N/A	N/A	58	11	56	18
2018-02-22	$23.08	$24.00	0.7%	0.2%	13.9%	0.0%	27.6%	16.2%	146.2%	896	-49.7K	-234	0.19	191.17	N/A	N/A	58	11	56	18
2018-02-23	$23.16	$24.00	7.5%	2.1%	14.0%	3.4%	25.0%	17.1%	116.9%	2.4K	-24.6K	-201	0.21	189.75	N/A	N/A	58	12	56	18
2018-02-26	$23.27	$24.00	151.1%	0.0%	14.2%	75.6%	12.9%	16.9%	140.9%	2.8K	-23.7K	-200	0.17	188.46	N/A	N/A	58	10	56	19
2018-02-27	$23.17	$23.00	2.0%	0.6%	14.1%	0.6%	13.7%	18.1%	149.6%	3.1K	-30.0K	-184	0.17	186.70	N/A	N/A	58	10	56	15
2018-02-28	$23.12	$23.00	1.4%	0.4%	13.7%	0.3%	12.7%	17.4%	152.8%	2.9K	-28.2K	-178	0.17	183.38	N/A	N/A	58	10	56	15