PCEF Options History — March 2018

In March 2018, PCEF traded between $22.68 and $23.38. ATM implied volatility averaged 137.5%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 40.8%. IV traded above realized volatility by 129.7% (HV 20d: 7.8%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2018-03-01: Highest Volume — 68 contracts
  • 2018-03-22: Largest IV spike — 18902.6% change
  • 2018-03-20: Highest IV Rank — 99.5%
  • 2018-03-20: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.05$22.68$23.38$23.01$22.99
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV137.5%0.8%198.6%2.4%2.3%
Expected Move40.8%0.2%56.9%0.7%0.7%
HV 20d7.8%6.1%13.6%13.6%7.5%
HV 60d9.1%8.8%9.6%8.8%9.6%
IV Rank68.8%0.0%99.5%0.8%0.8%
IV Percentile65.1%0.4%98.8%6.0%6.3%
Term Structure-9.6%-68.3%154.7%154.7%-47.1%
VWIV18.8%14.2%23.4%14.2%23.4%
Skew 25d25.5%9.8%59.4%16.9%15.5%
Skew 10d25.5%9.8%59.4%16.9%15.5%
Call IV 25d141.2%63.5%179.2%165.1%165.5%
Put IV 25d166.7%121.9%198.2%182.0%181.0%
Bid-Ask Spread %192.68182.10197.83195.44196.48
Gamma HHI0.700.420.920.420.92
Net GEX1.2K-1.3K3.6K2.2K336
Net DEX-22.7K-29.1K-20.2K-25.3K-21.1K
Net VEX-131-170-110-170-110
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.070.170.170.07
Total Volume51.71430686830
Total OI51.71426717126

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$23.01$23.002.4%0.7%13.6%0.8%14.2%16.9%154.7%2.2K-25.3K-1700.17195.44N/AN/A58105615
2018-03-02$23.01$23.00158.7%0.0%13.6%79.4%23.4%16.6%149.8%2.2K-21.2K-1690.17197.81N/AN/A58105615
2018-03-05$23.06$0.002.5%47.1%13.3%0.9%0.0%16.8%-53.5%2.2K-21.3K-1580.17194.61N/AN/A58105615
2018-03-06$23.13$0.00165.1%47.3%9.1%82.6%0.0%17.8%-53.9%2.3K-25.1K-1560.17190.73N/AN/A58105615
2018-03-07$23.10$0.00166.9%47.8%7.5%83.5%0.0%18.2%-55.3%1.9K-23.9K-1510.17197.06N/AN/A58105615
2018-03-08$23.21$0.00168.3%48.3%7.5%84.2%0.0%18.3%-56.9%2.6K-25.1K-1540.17191.51N/AN/A58105615
2018-03-09$23.36$0.00169.7%48.7%6.4%85.0%0.0%19.1%-58.7%3.6K-29.1K-1490.17182.13N/AN/A58105615
2018-03-12$23.38$0.00174.9%50.1%6.3%87.5%0.0%58.4%-58.2%3.3K-27.1K-1360.17190.20N/AN/A58105615
2018-03-13$23.27$0.00177.7%50.9%6.2%88.9%0.0%57.8%-62.6%1.5K-21.0K-1300.17197.83N/AN/A58105615
2018-03-14$23.30$0.00181.1%51.9%6.2%90.7%0.0%59.3%-64.6%762-23.0K-1240.17189.84N/AN/A58105615
2018-03-15$23.26$0.00183.6%52.6%6.1%91.9%0.0%59.1%-66.5%-1.3K-21.9K-1210.17182.10N/AN/A58105615
2018-03-16$23.27$0.00186.1%53.4%6.1%93.2%0.0%59.4%-68.3%252-24.1K-1180.17190.98N/AN/A58105615
2018-03-19$23.01$0.00195.0%55.9%7.3%97.7%0.0%14.6%-52.7%249-23.6K-1160.07195.53N/AN/A282215
2018-03-20$22.98$0.00198.6%56.9%6.5%99.5%0.0%14.3%-54.4%342-21.0K-1170.07197.82N/AN/A282215
2018-03-21$22.95$0.000.8%0.2%6.5%0.0%0.0%15.3%145.3%336-21.0K-1160.07192.35N/AN/A282215
2018-03-22$22.81$0.00146.3%0.0%6.8%73.2%0.0%11.8%139.7%334-20.6K-1150.07190.39N/AN/A282215
2018-03-23$22.68$0.00148.1%0.0%6.8%74.1%0.0%9.8%-47.1%331-20.2K-1140.07195.56N/AN/A282215
2018-03-26$22.82$0.00151.8%0.0%7.0%75.9%0.0%12.3%0.0%334-20.6K-1120.07197.24N/AN/A282215
2018-03-27$22.75$0.00153.4%0.0%7.0%76.8%0.0%11.3%0.0%333-20.3K-1110.07196.87N/AN/A282215
2018-03-28$22.80$0.00154.8%0.0%7.0%77.4%0.0%12.3%0.0%334-20.5K-1110.07183.76N/AN/A282215
2018-03-29$22.99$0.002.3%0.7%7.5%0.8%0.0%15.5%0.0%336-21.1K-1100.07196.48N/AN/A282215