PCEF Options History — August 2018

In August 2018, PCEF traded between $22.89 and $23.09. ATM implied volatility averaged 71.4%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 67.7% (HV 20d: 3.7%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-08-01: Highest Volume — 23 contracts
  • 2018-08-21: Largest IV spike — 1761.2% change
  • 2018-08-21: Highest IV Rank — 68.1%
  • 2018-08-07: Largest Expected Move — 39.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$22.89$23.09$22.91$23.00
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV71.4%5.4%136.6%129.7%5.4%
Expected Move22.5%1.6%39.5%39.1%1.6%
HV 20d3.7%3.1%4.1%3.9%3.3%
HV 60d4.2%4.1%4.3%4.3%4.2%
IV Rank35.5%2.5%68.1%64.7%2.5%
IV Percentile36.5%12.7%56.7%55.6%12.7%
Term Structure68.4%-15.6%152.4%93.1%152.4%
VWIV45.9%5.9%105.3%104.1%5.9%
Skew 25d-44.5%-187.4%86.5%-3.2%16.3%
Skew 10d-46.4%-187.4%86.5%-3.2%16.3%
Call IV 25d136.1%7.1%195.4%168.9%166.9%
Put IV 25d91.6%7.5%183.2%165.7%183.2%
Bid-Ask Spread %181.73163.13197.78197.78179.07
Gamma HHI0.540.380.690.530.53
Net GEX1.3K-8394.0K3364.0K
Net DEX-18.8K-26.9K-3.7K-26.9K-9.2K
Net VEX-176-195-134-195-134
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.670.920.920.92
Total Volume20.91320232323
Total OI49.56547514847

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$22.91$0.00129.7%0.0%3.9%64.7%0.0%-3.2%93.1%336-26.9K-1950.92197.78N/AN/A12113216
2018-08-02$22.89$0.00131.1%0.0%4.0%65.3%0.0%-3.6%0.0%336-26.6K-1930.92195.39N/AN/A12113216
2018-08-03$22.93$0.00132.3%0.0%3.9%65.9%0.0%-3.0%0.0%-240-24.6K-1790.75182.20N/AN/A1293216
2018-08-06$22.99$23.0012.6%39.1%4.0%6.0%104.1%-2.1%-14.8%454-24.7K-1950.75178.88N/AN/A1293217
2018-08-07$23.00$23.0012.3%39.5%3.9%5.9%105.3%-2.1%-15.6%329-26.3K-1930.75184.94N/AN/A1293217
2018-08-08$23.00$23.0096.7%27.7%3.9%48.2%33.4%-173.2%68.9%-839-24.8K-1590.75180.56N/AN/A1293217
2018-08-09$22.99$23.00116.0%33.3%3.8%57.8%72.0%-2.2%32.6%349-25.9K-1900.75187.96N/AN/A1293217
2018-08-10$22.91$23.00117.6%33.7%4.0%58.6%73.4%-3.7%32.1%348-25.6K-1880.75187.96N/AN/A1293217
2018-08-13$22.89$23.0016.8%25.9%4.0%8.1%18.3%-7.5%-1.1%72-16.7K-1720.67166.66N/AN/A1283217
2018-08-14$22.96$23.00123.5%35.4%3.9%61.6%64.0%-187.4%30.3%416-23.6K-1900.67182.70N/AN/A1283218
2018-08-15$22.92$23.0092.8%26.6%3.9%46.2%19.4%41.8%-0.7%3.3K-3.7K-1600.67163.13N/AN/A1283218
2018-08-16$23.00$23.00126.8%36.4%4.1%63.2%65.4%86.1%29.3%466-23.3K-1870.67192.14N/AN/A1283218
2018-08-17$23.02$23.00128.6%36.9%4.1%64.1%66.2%86.5%28.7%470-23.5K-1850.67177.01N/AN/A1283218
2018-08-20$22.95$23.007.3%2.1%3.5%3.4%7.0%-0.1%136.5%1.9K-9.0K-1820.67167.92N/AN/A1283219
2018-08-21$22.94$23.00136.6%39.2%3.4%68.1%69.9%14.2%68.6%571-21.8K-1850.67178.72N/AN/A1283219
2018-08-22$22.99$23.0076.4%21.9%3.5%38.0%60.7%-142.5%68.6%657-21.1K-1840.67186.77N/AN/A1283219
2018-08-23$22.97$23.0077.9%22.3%3.5%38.7%62.0%14.9%68.6%547-20.4K-1840.67178.49N/AN/A1283219
2018-08-24$23.04$23.0019.0%5.4%3.6%9.2%16.5%-144.4%128.1%660-21.6K-1800.67178.49N/AN/A1283219
2018-08-27$23.05$23.0020.0%5.7%3.4%9.7%17.8%-149.6%131.1%3.8K-7.9K-1630.67180.79N/AN/A1283219
2018-08-28$23.04$23.0020.5%5.9%3.1%10.0%18.2%-151.2%132.1%3.8K-6.9K-1630.67181.57N/AN/A1283219
2018-08-29$23.09$23.0020.3%5.8%3.2%9.9%18.7%-152.0%133.2%4.0K-8.6K-1590.92181.72N/AN/A12113219
2018-08-30$23.02$23.0021.6%6.2%3.4%10.6%20.0%-154.5%134.3%3.9K-10.1K-1360.92188.94N/AN/A12113215
2018-08-31$23.00$23.005.4%1.6%3.3%2.5%5.9%16.3%152.4%4.0K-9.2K-1340.92179.07N/AN/A12113215