PCEF Options History — April 2018 In April 2018, PCEF traded between $22.79 and $23.23. ATM implied volatility averaged 123.0%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 35.3%. IV traded above realized volatility by 115.5% (HV 20d: 7.5%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.06.
Notable Days 2018-04-17 : Highest Volume — 50 contracts2018-04-23 : Largest IV spike — 12417.4% change2018-04-18 : Highest IV Rank — 100.0%2018-04-18 : Largest Expected Move — 57.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.02 $22.79 $23.23 $22.79 $23.01 ATM IV 123.0% 0.5% 200.3% 163.0% 88.7% Expected Move 35.3% 0.1% 57.4% 0.6% 0.3% HV 20d 7.5% 5.4% 8.3% 8.1% 5.4% HV 60d 9.8% 9.6% 9.9% 9.7% 9.6% IV Rank 61.4% 0.0% 100.0% 81.6% 44.1% IV Percentile 58.7% 0.0% 100.0% 73.4% 46.0% Term Structure -13.3% -54.5% 147.4% -36.4% 147.4% Skew 25d 15.1% -82.7% 75.3% 12.6% -82.7% Skew 10d 15.1% -82.7% 75.3% 12.6% -82.7% Call IV 25d 106.1% 77.7% 181.5% 175.2% 93.0% Put IV 25d 121.2% 10.3% 197.2% 187.8% 10.3% Bid-Ask Spread % 194.08 182.25 198.03 197.83 196.48 Gamma HHI 0.91 0.72 0.96 0.89 0.96 Net GEX 501 242 1.4K 282 909 Net DEX -33.0K -53.6K -21.0K -21.5K -44.2K Net VEX -146 -209 -96 -106 -200 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.06 0.04 0.07 0.07 0.04 Total Volume 39.524 30 50 30 50 Total OI 34.571 26 46 26 46
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 2018-04-02 $22.79 $0.00 163.0% 0.0% 8.1% 81.6% 0.0% 12.6% 0.0% 282 -21.5K -106 0.07 197.83 N/A N/A 28 2 21 5 2018-04-03 $22.85 $0.00 164.6% 0.0% 8.2% 82.4% 0.0% 13.8% 0.0% 288 -21.7K -106 0.07 189.75 N/A N/A 28 2 21 5 2018-04-04 $22.95 $0.00 2.1% 0.6% 8.3% 0.7% 0.0% 15.7% 0.0% 290 -22.0K -105 0.07 197.44 N/A N/A 28 2 21 5 2018-04-05 $23.02 $0.00 168.5% 48.3% 8.3% 84.3% 0.0% 17.1% -36.4% 242 -21.9K -105 0.07 182.25 N/A N/A 28 2 21 5 2018-04-06 $22.93 $0.00 170.1% 48.8% 8.2% 85.1% 0.0% 15.7% -37.7% 337 -21.0K -105 0.07 197.24 N/A N/A 28 2 21 5 2018-04-09 $23.01 $0.00 177.0% 50.7% 7.9% 88.6% 0.0% 66.2% -41.0% 286 -22.1K -102 0.07 191.41 N/A N/A 28 2 21 5 2018-04-10 $23.11 $0.00 179.5% 51.5% 8.1% 89.9% 0.0% 67.8% -43.1% 285 -22.3K -102 0.07 196.68 N/A N/A 28 2 21 5 2018-04-11 $23.13 $0.00 181.9% 52.1% 8.0% 91.1% 0.0% 69.3% -43.8% 251 -23.7K -100 0.07 195.50 N/A N/A 28 2 21 5 2018-04-12 $23.16 $0.00 184.2% 52.8% 8.0% 92.2% 0.0% 69.7% -45.3% 251 -23.9K -99 0.07 185.16 N/A N/A 28 2 21 5 2018-04-13 $23.09 $0.00 186.7% 53.5% 8.0% 93.5% 0.0% 70.9% -46.7% 244 -23.6K -99 0.07 197.82 N/A N/A 28 2 21 5 2018-04-16 $23.18 $0.00 194.7% 55.8% 8.2% 97.5% 0.0% 71.9% -50.3% 244 -23.7K -97 0.07 188.76 N/A N/A 28 2 21 5 2018-04-17 $23.23 $0.00 198.5% 56.9% 7.1% 99.4% 0.0% 73.5% -53.8% 245 -24.0K -96 0.04 190.44 N/A N/A 48 2 21 5 2018-04-18 $23.23 $0.00 200.3% 57.4% 7.1% 100.0% 0.0% 74.2% -54.5% 616 -53.6K -207 0.04 194.63 N/A N/A 48 2 41 5 2018-04-19 $23.16 $0.00 1.5% 0.4% 7.1% 0.4% 0.0% 75.1% 145.3% 667 -51.6K -209 0.04 196.86 N/A N/A 48 2 41 5 2018-04-20 $23.08 $0.00 1.2% 0.3% 6.9% 0.2% 0.0% 75.3% 147.4% 562 -50.3K -208 0.04 197.63 N/A N/A 48 2 41 5 2018-04-23 $22.90 $0.00 151.5% 0.0% 7.2% 75.5% 0.0% -75.8% 0.0% 764 -45.8K -207 0.04 195.90 N/A N/A 48 2 41 5 2018-04-24 $22.86 $0.00 83.6% 0.0% 6.9% 41.5% 0.0% -77.9% 0.0% 806 -44.9K -206 0.04 191.71 N/A N/A 48 2 41 5 2018-04-25 $22.84 $0.00 84.4% 0.0% 6.8% 41.9% 0.0% -78.1% 0.0% 720 -45.7K -203 0.04 198.03 N/A N/A 48 2 41 5 2018-04-26 $22.95 $0.00 0.5% 0.1% 7.0% 0.0% 0.0% -78.3% 0.0% 1.4K -39.9K -205 0.04 196.28 N/A N/A 48 2 41 5 2018-04-27 $22.99 $0.00 1.2% 0.3% 6.3% 0.3% 0.0% -79.4% 0.0% 860 -44.8K -204 0.04 197.83 N/A N/A 48 2 41 5 2018-04-30 $23.01 $0.00 88.7% 0.0% 5.4% 44.1% 0.0% -82.7% 0.0% 909 -44.2K -200 0.04 196.48 N/A N/A 48 2 41 5
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