PCEF Options History — October 2018

In October 2018, PCEF traded between $21.27 and $22.82. ATM implied volatility averaged 147.7%, placing in the 73.7% IV rank vs the trailing year. The 30-day expected move averaged 42.1%. IV traded above realized volatility by 140.2% (HV 20d: 7.5%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 12.66.

Notable Days

  • 2018-10-31: Highest Volume — 27 contracts
  • 2018-10-03: Largest IV spike — 1821.4% change
  • 2018-10-12: Highest IV Rank — 98.0%
  • 2018-10-12: Largest Expected Move — 56.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.99$21.27$22.82$22.82$21.38
ATM IV147.7%8.7%196.3%162.9%13.4%
Expected Move42.1%2.5%56.3%2.5%3.8%
HV 20d7.5%3.8%9.4%3.8%9.4%
HV 60d5.4%3.6%6.5%3.7%6.5%
IV Rank73.7%4.1%98.0%81.3%6.4%
IV Percentile64.9%17.5%96.4%69.0%21.8%
Term Structure70.2%-57.1%154.1%154.1%104.2%
VWIV62.0%62.0%62.0%62.0%62.0%
Skew 25d-21.8%-174.3%136.0%-163.3%136.0%
Skew 10d-21.8%-174.3%136.0%-163.3%136.0%
Call IV 25d66.6%11.1%189.6%174.6%50.9%
Put IV 25d44.8%2.4%194.4%11.3%186.9%
Bid-Ask Spread %183.09165.96190.49182.23165.96
Gamma HHI0.470.390.600.450.39
Net GEX-390-930-188-353-569
Net DEX16.9K11.2K33.4K12.4K33.3K
Net VEX-78-143-60-66-143
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.669.0025.009.0012.50
Total Volume13.435927927
Total OI17.56513341334

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$22.82$0.00162.9%0.0%3.8%81.3%0.0%-163.3%154.1%-35312.4K-660.00182.23N/AN/A09013
2018-10-02$22.81$0.008.7%2.5%3.8%4.1%0.0%-1.1%-2.0%-93012.4K-610.00185.31N/AN/A09013
2018-10-03$22.78$0.00166.8%0.0%3.8%83.2%0.0%13.0%0.0%-35012.4K-650.00182.23N/AN/A09013
2018-10-04$22.52$0.00169.7%48.7%5.4%84.7%0.0%-174.3%-44.2%-29212.4K-640.00184.09N/AN/A09013
2018-10-05$22.33$0.00177.1%50.8%6.1%88.4%0.0%4.7%-42.0%-33311.6K-639.00183.12N/AN/A19013
2018-10-08$22.31$0.00183.9%52.7%6.0%91.8%0.0%-33.0%-48.8%-34612.7K-639.00182.62N/AN/A19013
2018-10-09$22.28$0.00186.5%53.5%5.9%93.1%0.0%-33.4%-50.3%-36412.9K-629.00190.49N/AN/A19013
2018-10-10$21.97$0.00191.4%54.9%7.2%95.5%0.0%-36.4%-53.4%-18811.2K-609.00185.41N/AN/A19013
2018-10-11$21.79$0.00194.0%55.6%7.3%96.8%0.0%-38.3%-55.8%-25912.9K-669.00180.51N/AN/A19014
2018-10-12$21.89$0.00196.3%56.3%7.8%98.0%0.0%-37.6%-57.1%-25912.8K-669.00180.69N/AN/A19014
2018-10-15$21.94$0.00142.0%0.0%8.0%70.8%0.0%-38.1%132.5%-36114.4K-669.00185.96N/AN/A19014
2018-10-16$22.16$0.00143.1%0.0%9.0%71.4%0.0%-36.4%132.3%-31413.7K-659.00189.16N/AN/A19014
2018-10-17$22.14$0.00143.5%0.0%9.0%71.6%0.0%-36.8%133.3%-36714.1K-659.00189.15N/AN/A19014
2018-10-18$22.00$0.00145.1%0.0%9.0%72.4%0.0%-38.4%135.0%-36614.3K-659.00182.11N/AN/A19014
2018-10-19$21.99$0.00146.3%0.0%9.0%73.0%0.0%-38.8%136.0%-36514.3K-659.00189.88N/AN/A19014
2018-10-22$21.83$0.00150.1%0.0%9.0%74.9%0.0%-40.1%140.6%-35414.2K-649.00187.58N/AN/A19014
2018-10-23$21.72$0.00151.8%0.0%9.0%75.7%0.0%-41.5%140.7%-25412.8K-6215.00181.13N/AN/A115014
2018-10-24$21.61$0.00153.5%0.0%9.0%76.6%0.0%-43.0%142.4%-44623.1K-9615.00181.13N/AN/A115024
2018-10-25$21.56$0.00155.0%0.0%9.0%77.3%0.0%-43.8%143.8%-43423.0K-9515.00180.19N/AN/A115024
2018-10-26$21.38$0.0080.5%0.0%9.0%40.0%0.0%-46.1%141.2%-46323.7K-9425.00180.15N/AN/A125024
2018-10-29$21.27$0.00167.5%0.0%8.9%83.6%0.0%132.2%132.1%-44530.4K-14125.00179.52N/AN/A125034
2018-10-30$21.27$0.00168.1%0.0%8.9%83.9%0.0%133.5%130.7%-56533.4K-14225.00182.48N/AN/A125034
2018-10-31$21.38$0.0013.4%3.8%9.4%6.4%62.0%136.0%104.2%-56933.3K-14312.50165.96N/AN/A225034