PCEF Options History — June 2018

In June 2018, PCEF traded between $22.71 and $23.13. ATM implied volatility averaged 152.2%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 43.4%. IV traded above realized volatility by 148.2% (HV 20d: 4.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2018-06-12: Highest Volume — 35 contracts
2018-06-25: Largest IV spike — 3797.9% change
2018-06-19: Highest IV Rank — 98.9%
2018-06-19: Largest Expected Move — 56.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.96	$22.71	$23.13	$23.04	$22.78
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	152.2%	3.9%	198.1%	157.6%	158.0%
Expected Move	43.4%	1.1%	56.8%	46.5%	1.1%
HV 20d	4.0%	3.1%	5.3%	3.7%	5.2%
HV 60d	5.2%	4.6%	5.9%	5.9%	4.6%
IV Rank	75.9%	1.7%	98.9%	78.6%	78.8%
IV Percentile	68.4%	10.7%	96.8%	68.7%	67.1%
Term Structure	-33.2%	-73.8%	146.4%	146.4%	-0.4%
VWIV	11.2%	11.2%	11.2%	11.2%	11.2%
Skew 25d	-54.7%	-163.0%	18.7%	16.7%	-157.6%
Skew 10d	-54.7%	-163.0%	18.7%	16.7%	-157.6%
Call IV 25d	134.1%	5.7%	177.3%	166.6%	169.6%
Put IV 25d	79.4%	5.3%	196.0%	183.3%	12.0%
Bid-Ask Spread %	172.76	74.74	196.29	172.41	180.09
Gamma HHI	0.71	0.49	0.95	0.81	0.51
Net GEX	1.1K	-35	2.8K	2.6K	358
Net DEX	-24.7K	-36.8K	-9.5K	-27.6K	-35.2K
Net VEX	-141	-186	-115	-152	-186
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.13	3.00	0.13	0.42
Total Volume	23.905	6	35	34	17
Total OI	41.524	26	50	49	41

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
2018-06-01	$23.04	$24.00	157.6%	0.0%	3.7%	78.6%	11.2%	16.7%	146.4%	2.6K	-27.6K	-152	0.13	172.41	N/A	N/A	30	4	43	6
2018-06-04	$23.04	$0.00	162.3%	46.5%	3.6%	81.0%	0.0%	17.2%	-55.5%	2.5K	-25.9K	-145	0.13	177.22	N/A	N/A	30	4	43	6
2018-06-05	$23.05	$0.00	164.0%	47.0%	3.6%	81.8%	0.0%	-163.0%	-56.7%	2.8K	-26.3K	-144	0.13	174.38	N/A	N/A	30	4	43	6
2018-06-06	$23.08	$0.00	165.8%	47.5%	3.6%	82.7%	0.0%	-162.8%	-57.8%	2.5K	-24.8K	-139	0.13	182.92	N/A	N/A	30	4	43	6
2018-06-07	$23.11	$0.00	168.4%	48.3%	3.6%	84.0%	0.0%	18.7%	-60.5%	2.6K	-24.6K	-139	0.13	181.79	N/A	N/A	30	4	43	6
2018-06-08	$23.09	$0.00	7.7%	1.2%	3.5%	3.6%	0.0%	0.9%	107.3%	961	-9.5K	-121	0.13	74.74	N/A	N/A	30	4	43	6
2018-06-11	$23.12	$0.00	176.8%	50.7%	3.5%	88.2%	0.0%	-4.0%	-63.1%	2.7K	-12.2K	-124	0.13	173.75	N/A	N/A	30	4	43	6
2018-06-12	$23.13	$0.00	179.1%	51.3%	3.5%	89.4%	0.0%	-0.9%	-67.7%	1.6K	-21.5K	-124	0.17	196.29	N/A	N/A	30	5	43	6
2018-06-13	$23.09	$0.00	181.3%	52.0%	3.3%	90.5%	0.0%	-0.6%	-70.6%	494	-19.6K	-126	0.17	181.99	N/A	N/A	30	5	43	7
2018-06-14	$23.09	$0.00	183.8%	52.7%	3.2%	91.8%	0.0%	-0.9%	-72.2%	287	-19.4K	-125	0.17	179.20	N/A	N/A	30	5	43	7
2018-06-15	$23.07	$0.00	186.1%	53.4%	3.1%	92.9%	0.0%	-0.6%	-73.8%	285	-19.4K	-125	0.17	181.67	N/A	N/A	30	5	43	7
2018-06-18	$22.89	$0.00	194.9%	55.9%	4.1%	97.3%	0.0%	13.2%	-52.0%	268	-26.0K	-123	2.00	178.77	N/A	N/A	2	4	22	4
2018-06-19	$22.87	$0.00	198.1%	56.8%	3.8%	98.9%	0.0%	13.0%	-54.0%	279	-26.0K	-121	2.00	180.13	N/A	N/A	2	4	22	4
2018-06-20	$22.92	$0.00	144.7%	0.0%	3.9%	72.2%	0.0%	-142.6%	-49.0%	256	-25.5K	-127	3.00	182.31	N/A	N/A	2	6	22	5
2018-06-21	$22.83	$0.00	146.3%	0.0%	4.1%	73.0%	0.0%	-145.2%	-51.6%	223	-22.8K	-143	3.00	180.71	N/A	N/A	2	6	22	8
2018-06-22	$22.93	$0.00	3.9%	1.1%	4.4%	1.7%	0.0%	1.6%	-0.4%	-35	-25.9K	-115	3.00	126.86	N/A	N/A	2	6	22	8
2018-06-25	$22.74	$0.00	152.0%	0.0%	5.3%	75.8%	0.0%	11.5%	0.0%	220	-22.9K	-140	0.50	180.77	N/A	N/A	12	6	22	8
2018-06-26	$22.80	$0.00	153.3%	0.0%	5.3%	76.5%	0.0%	-152.6%	0.0%	370	-36.8K	-182	0.50	179.95	N/A	N/A	12	6	32	8
2018-06-27	$22.72	$0.00	155.1%	0.0%	5.1%	77.4%	0.0%	-155.3%	0.0%	520	-33.2K	-184	0.50	180.17	N/A	N/A	12	6	32	8
2018-06-28	$22.71	$0.00	156.6%	0.0%	5.1%	78.1%	0.0%	-156.0%	0.0%	520	-33.1K	-183	0.42	181.94	N/A	N/A	12	5	32	8
2018-06-29	$22.78	$0.00	158.0%	0.0%	5.2%	78.8%	0.0%	-157.6%	0.0%	358	-35.2K	-186	0.42	180.09	N/A	N/A	12	5	32	9