PCEF Options History — May 2018

In May 2018, PCEF traded between $22.88 and $23.14. ATM implied volatility averaged 129.6%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 36.7%. IV traded above realized volatility by 125.3% (HV 20d: 4.2%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2018-05-04: Highest Volume — 51 contracts
  • 2018-05-22: Largest IV spike — 18065.8% change
  • 2018-05-15: Highest IV Rank — 99.1%
  • 2018-05-15: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.01$22.88$23.14$23.02$23.00
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV129.6%0.8%198.5%164.0%155.7%
Expected Move36.7%0.2%56.9%26.1%1.5%
HV 20d4.2%3.1%5.4%5.4%3.7%
HV 60d6.4%5.9%9.4%9.4%5.9%
IV Rank64.6%0.1%99.1%81.8%77.7%
IV Percentile61.2%1.2%97.6%69.8%68.7%
Term Structure42.5%-101.8%143.5%78.8%143.5%
VWIV42.0%3.8%177.6%25.7%13.0%
Skew 25d-58.9%-153.9%83.7%-83.3%-153.9%
Skew 10d-59.8%-153.9%83.7%-83.3%-153.9%
Call IV 25d112.8%7.4%165.4%93.8%165.4%
Put IV 25d53.9%5.9%180.4%10.5%11.5%
Bid-Ask Spread %187.84134.02198.03196.48175.47
Gamma HHI0.900.690.980.950.95
Net GEX1.1K5712.7K8642.7K
Net DEX-42.3K-51.6K-8.6K-45.0K-28.7K
Net VEX-190-215-125-199-156
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.040.130.040.13
Total Volume36.95534515034
Total OI48.86446504649

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$23.02$0.00164.0%0.0%5.4%81.8%0.0%-83.3%0.0%864-45.0K-1990.04196.48N/AN/A482415
2018-05-02$22.98$0.0092.1%0.0%5.2%45.8%0.0%-19.6%0.0%1.9K-26.2K-1710.04198.03N/AN/A482415
2018-05-03$22.96$24.0091.0%26.1%5.1%45.3%25.7%83.7%78.8%860-44.6K-1960.04197.64N/AN/A482415
2018-05-04$23.02$24.0092.8%26.6%5.0%46.2%25.7%-87.4%79.0%687-48.6K-1930.06187.27N/AN/A483415
2018-05-07$23.01$24.0095.5%27.4%4.8%47.6%26.7%-89.9%80.5%1.6K-36.2K-2020.13188.74N/AN/A304417
2018-05-08$23.02$24.00178.5%51.2%4.5%89.1%177.6%-90.9%-83.8%1.0K-43.4K-2150.13189.26N/AN/A304437
2018-05-09$23.05$24.00180.8%51.8%4.5%90.3%72.4%-92.8%-84.6%746-47.7K-2100.13187.96N/AN/A304437
2018-05-10$23.10$24.00183.4%52.6%4.6%91.6%72.7%-93.2%-87.2%708-49.4K-2100.13195.64N/AN/A304437
2018-05-11$23.14$24.00185.9%53.3%4.5%92.8%73.5%-95.2%-88.7%573-51.6K-2060.13189.32N/AN/A304437
2018-05-14$23.12$24.00195.1%55.9%4.3%97.4%77.4%-99.9%-97.6%571-51.6K-2010.13188.23N/AN/A304437
2018-05-15$23.04$24.00198.5%56.9%4.4%99.1%79.3%-102.6%-101.8%701-49.3K-2020.13187.46N/AN/A304437
2018-05-16$23.10$24.0098.2%0.0%4.5%48.9%34.5%-97.9%71.2%929-45.2K-2020.13194.41N/AN/A304437
2018-05-17$23.05$24.0098.8%0.0%4.4%49.2%35.5%-98.6%71.0%926-45.0K-2000.13191.98N/AN/A304437
2018-05-18$23.07$24.0099.3%0.0%4.3%49.4%36.0%-99.5%72.0%781-47.2K-1960.13187.71N/AN/A304437
2018-05-21$22.96$24.000.8%0.2%3.6%0.1%29.6%14.1%113.5%889-45.3K-1930.13192.43N/AN/A304437
2018-05-22$22.94$24.00143.5%0.0%3.6%71.6%10.6%13.9%134.0%781-48.3K-1870.13190.04N/AN/A304436
2018-05-23$22.97$24.00144.6%0.0%3.6%72.1%10.6%14.4%134.9%860-47.0K-1880.13197.16N/AN/A304436
2018-05-24$22.96$24.00145.9%0.0%3.1%72.8%10.9%14.4%136.0%860-46.9K-1860.13196.81N/AN/A304436
2018-05-25$22.95$24.00147.3%0.0%3.1%73.5%11.3%-146.1%137.1%861-46.8K-1840.13194.52N/AN/A304436
2018-05-29$22.88$24.00153.1%0.0%3.2%76.4%13.1%13.6%141.8%2.5K-28.1K-1550.13171.85N/AN/A304436
2018-05-30$22.99$24.005.2%1.5%3.7%2.3%3.8%1.5%-0.3%1.3K-8.6K-1250.13134.02N/AN/A304436
2018-05-31$23.00$24.00155.7%0.0%3.7%77.7%13.0%-153.9%143.5%2.7K-28.7K-1560.13175.47N/AN/A304436