PCEF Options History — September 2018 In September 2018, PCEF traded between $22.76 and $23.02. ATM implied volatility averaged 87.1%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 83.7% (HV 20d: 3.4%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.92.
Notable Days 2018-09-04 : Highest Volume — 23 contracts2018-09-24 : Largest IV spike — 1974.6% change2018-09-19 : Highest IV Rank — 99.7%2018-09-19 : Largest Expected Move — 57.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.91 $22.76 $23.02 $22.95 $22.80 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 87.1% 7.3% 199.8% 25.6% 157.9% Expected Move 24.4% 2.1% 57.3% 7.3% 2.1% HV 20d 3.4% 2.9% 3.9% 3.3% 3.8% HV 60d 3.9% 3.3% 4.3% 4.2% 3.7% IV Rank 43.3% 3.4% 99.7% 12.5% 78.8% IV Percentile 46.8% 15.1% 99.6% 25.8% 67.5% Term Structure -23.8% -171.3% 139.7% 139.7% -1.3% VWIV 16.3% 8.6% 24.0% 24.0% 8.6% Skew 25d -11.8% -169.0% 16.2% 16.2% 12.8% Skew 10d -12.4% -169.0% 16.2% 16.2% 12.8% Call IV 25d 74.3% 6.5% 179.6% 174.7% 169.4% Put IV 25d 62.6% 5.6% 190.9% 190.9% 182.2% Bid-Ask Spread % 175.22 127.06 196.87 187.16 185.80 Gamma HHI 0.53 0.44 0.86 0.52 0.45 Net GEX 2.6K -698 4.6K 3.7K -353 Net DEX 3.3K -7.6K 12.9K -4.6K 12.4K Net VEX -80 -125 -46 -125 -67 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.92 0.92 0.92 0.92 Total Volume 19.316 9 23 23 9 Total OI 38 13 47 46 13
Daily Data (19 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 2018-09-04 $22.95 $23.00 25.6% 7.3% 3.3% 12.5% 24.0% 16.2% 139.7% 3.7K -4.6K -125 0.92 187.16 N/A N/A 12 11 30 16 2018-09-05 $22.95 $23.00 8.3% 2.4% 3.3% 3.9% 8.6% 0.7% -2.6% 3.8K -7.6K -115 0.92 185.80 N/A N/A 12 11 32 15 2018-09-06 $22.89 $0.00 9.3% 48.2% 3.4% 4.4% 0.0% -169.0% -60.4% 3.9K -4.5K -115 0.92 183.11 N/A N/A 12 11 32 15 2018-09-07 $22.86 $0.00 8.9% 24.8% 3.4% 4.2% 0.0% -0.7% -0.6% 3.7K 6.6K -82 0.92 167.74 N/A N/A 12 11 32 15 2018-09-10 $22.88 $0.00 13.3% 2.8% 3.2% 6.4% 0.0% -1.3% -2.1% 3.6K -1.0K -74 0.92 133.74 N/A N/A 12 11 32 15 2018-09-11 $22.94 $0.00 11.5% 26.1% 3.4% 5.5% 0.0% -0.1% -0.5% 3.0K 4.3K -85 0.92 164.62 N/A N/A 12 11 32 15 2018-09-12 $23.00 $0.00 10.2% 2.9% 3.3% 4.9% 0.0% -1.1% -2.5% 4.6K -3.4K -73 0.92 136.72 N/A N/A 12 11 32 15 2018-09-13 $23.02 $0.00 183.4% 52.6% 3.3% 91.6% 0.0% -23.8% -71.7% 4.5K -3.6K -99 0.92 184.76 N/A N/A 12 11 32 15 2018-09-14 $22.98 $0.00 186.2% 53.4% 3.1% 93.0% 0.0% -24.2% -74.0% 4.3K -2.0K -93 0.92 184.67 N/A N/A 12 11 32 15 2018-09-17 $22.94 $0.00 195.0% 55.9% 3.1% 97.3% 0.0% -24.9% -171.3% 3.8K 1.7K -82 0.92 196.56 N/A N/A 12 11 32 15 2018-09-18 $22.96 $0.00 10.7% 3.1% 2.9% 5.1% 0.0% -0.1% -2.9% 4.3K -788 -53 0.92 127.06 N/A N/A 12 11 32 15 2018-09-19 $22.94 $0.00 199.8% 57.3% 3.0% 99.7% 0.0% -25.2% -79.7% 4.3K 2.9K -77 0.92 196.87 N/A N/A 12 11 32 15 2018-09-20 $22.99 $0.00 10.6% 3.0% 3.0% 5.0% 0.0% -30.1% -3.1% 4.6K -570 -46 0.92 144.28 N/A N/A 12 11 32 15 2018-09-21 $22.98 $0.00 7.3% 2.1% 2.9% 3.4% 0.0% -2.0% -1.3% -698 12.9K -68 0.92 195.41 N/A N/A 12 11 32 15 2018-09-24 $22.80 $0.00 151.9% 0.0% 3.9% 75.7% 0.0% 12.4% 0.0% -347 12.4K -68 0.00 189.74 N/A N/A 0 9 0 13 2018-09-25 $22.78 $0.00 153.4% 0.0% 3.8% 76.5% 0.0% 12.1% 0.0% -351 12.4K -68 0.00 185.78 N/A N/A 0 9 0 13 2018-09-26 $22.81 $0.00 154.8% 0.0% 3.9% 77.2% 0.0% 12.7% 0.0% -353 12.4K -67 0.00 193.64 N/A N/A 0 9 0 13 2018-09-27 $22.76 $0.00 156.5% 0.0% 3.8% 78.1% 0.0% 12.0% 0.0% -352 12.4K -67 0.00 185.80 N/A N/A 0 9 0 13 2018-09-28 $22.80 $0.00 157.9% 0.0% 3.8% 78.8% 0.0% 12.8% 0.0% -353 12.4K -67 0.00 185.80 N/A N/A 0 9 0 13
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