PCEF Options History — July 2018

Name: PCEF Options Analytics - July 2018
Creator: Options Analysis Suite

In July 2018, PCEF traded between $22.76 and $22.97. ATM implied volatility averaged 115.3%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 31.4%. IV traded above realized volatility by 110.6% (HV 20d: 4.7%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.48.

Notable Days

2018-07-30: Highest Volume — 23 contracts
2018-07-09: Largest IV spike — 3190.1% change
2018-07-17: Highest IV Rank — 98.0%
2018-07-17: Largest Expected Move — 56.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.87	$22.76	$22.97	$22.76	$22.91
ATM IV	115.3%	5.1%	196.3%	163.2%	128.4%
Expected Move	31.4%	1.4%	56.3%	48.3%	2.2%
HV 20d	4.7%	3.6%	5.4%	5.2%	3.9%
HV 60d	4.3%	4.1%	4.6%	4.6%	4.3%
IV Rank	57.5%	2.3%	98.0%	81.4%	64.0%
IV Percentile	54.4%	11.5%	96.0%	68.7%	55.2%
Term Structure	-19.1%	-104.2%	96.5%	-83.7%	96.5%
Skew 25d	-42.1%	-181.8%	13.0%	-163.0%	-3.2%
Skew 10d	-47.7%	-181.8%	13.0%	-163.0%	-3.2%
Call IV 25d	115.7%	4.6%	194.5%	175.3%	167.3%
Put IV 25d	73.6%	6.7%	189.9%	12.4%	164.1%
Bid-Ask Spread %	177.44	54.78	197.53	178.41	182.63
Gamma HHI	0.52	0.44	0.69	0.52	0.53
Net GEX	861	327	3.4K	508	327
Net DEX	-29.7K	-35.4K	-14.6K	-32.5K	-26.8K
Net VEX	-167	-196	-127	-185	-196
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.42	0.92	0.42	0.92
Total Volume	17.714	17	23	17	23
Total OI	41.476	41	48	41	48

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
2018-07-02	$22.76	$0.00	163.2%	0.0%	5.2%	81.4%	0.0%	-163.0%	0.0%	508	-32.5K	-185	0.42	178.41	N/A	N/A	12	5	32	9
2018-07-03	$22.78	$0.00	164.8%	0.0%	5.2%	82.2%	0.0%	13.0%	0.0%	509	-32.6K	-184	0.42	180.57	N/A	N/A	12	5	32	9
2018-07-05	$22.80	$0.00	168.6%	48.3%	5.2%	84.1%	0.0%	-167.9%	-83.7%	356	-35.4K	-180	0.42	178.80	N/A	N/A	12	5	32	9
2018-07-06	$22.86	$0.00	5.4%	1.4%	5.3%	2.4%	0.0%	2.2%	-0.7%	3.0K	-14.6K	-127	0.42	54.78	N/A	N/A	12	5	32	9
2018-07-09	$22.90	$0.00	176.7%	50.7%	5.3%	88.2%	0.0%	-174.6%	-89.4%	510	-33.0K	-178	0.42	181.63	N/A	N/A	12	5	32	9
2018-07-10	$22.87	$0.00	6.7%	26.0%	5.3%	3.1%	0.0%	0.9%	-0.1%	788	-29.3K	-179	0.42	191.83	N/A	N/A	12	5	32	9
2018-07-11	$22.84	$0.00	181.7%	52.1%	5.3%	90.7%	0.0%	-181.8%	-93.3%	444	-32.0K	-177	0.42	190.19	N/A	N/A	12	5	32	9
2018-07-12	$22.89	$0.00	184.0%	52.7%	5.4%	91.8%	0.0%	-4.3%	-95.0%	501	-33.0K	-175	0.42	184.60	N/A	N/A	12	5	32	9
2018-07-13	$22.87	$0.00	186.7%	53.5%	5.4%	93.2%	0.0%	-4.6%	-97.1%	496	-32.9K	-174	0.42	184.94	N/A	N/A	12	5	32	9
2018-07-16	$22.83	$0.00	11.4%	3.3%	5.4%	5.4%	0.0%	-2.0%	84.7%	2.5K	-18.9K	-132	0.42	147.42	N/A	N/A	12	5	32	9
2018-07-17	$22.91	$0.00	196.3%	56.3%	4.8%	98.0%	0.0%	-4.3%	-99.4%	493	-33.2K	-170	0.42	184.43	N/A	N/A	12	5	32	9
2018-07-18	$22.96	$0.00	102.4%	29.4%	4.9%	51.0%	0.0%	2.8%	-0.5%	544	-31.4K	-144	0.42	182.14	N/A	N/A	12	5	32	9
2018-07-19	$22.96	$0.00	115.9%	0.0%	4.8%	57.7%	0.0%	-3.7%	-104.2%	495	-33.4K	-167	0.42	184.60	N/A	N/A	12	5	32	9
2018-07-20	$22.97	$0.00	5.1%	1.5%	4.6%	2.3%	0.0%	-5.1%	-0.6%	773	-28.6K	-170	0.42	195.41	N/A	N/A	12	5	32	9
2018-07-23	$22.82	$0.00	7.7%	2.2%	4.9%	3.6%	0.0%	-5.5%	-1.8%	752	-28.3K	-166	0.42	174.79	N/A	N/A	12	5	32	9
2018-07-24	$22.88	$0.00	120.6%	0.0%	4.0%	60.1%	0.0%	-3.3%	86.7%	419	-33.1K	-163	0.42	197.53	N/A	N/A	12	5	32	9
2018-07-25	$22.88	$0.00	122.1%	0.0%	3.9%	60.9%	0.0%	-20.9%	0.0%	3.4K	-18.7K	-152	0.50	185.77	N/A	N/A	12	6	32	9
2018-07-26	$22.87	$0.00	122.8%	0.0%	3.6%	61.2%	0.0%	-150.7%	0.0%	495	-31.1K	-165	0.50	193.44	N/A	N/A	12	6	32	10
2018-07-27	$22.88	$0.00	123.8%	0.0%	3.6%	61.7%	0.0%	-3.5%	0.0%	412	-32.3K	-163	0.50	192.71	N/A	N/A	12	6	32	10
2018-07-30	$22.81	$0.00	127.5%	0.0%	3.7%	63.5%	0.0%	-4.7%	92.1%	403	-31.9K	-159	0.92	179.69	N/A	N/A	12	11	32	10
2018-07-31	$22.91	$0.00	128.4%	0.0%	3.9%	64.0%	0.0%	-3.2%	96.5%	327	-26.8K	-196	0.92	182.63	N/A	N/A	12	11	32	16