PCEF Options History — November 2018 In November 2018, PCEF traded between $20.94 and $21.87. ATM implied volatility averaged 90.4%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 33.5%. IV traded above realized volatility by 81.5% (HV 20d: 8.9%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 19.98.
Notable Days 2018-11-13 : Highest Volume — 31 contracts2018-11-21 : Largest IV spike — 13231.7% change2018-11-14 : Highest IV Rank — 96.2%2018-11-14 : Largest Expected Move — 55.3%Monthly Statistics Metric Avg Min Max Open Close Price $21.39 $20.94 $21.87 $21.53 $21.29 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 90.4% 1.2% 192.7% 34.4% 172.5% Expected Move 33.5% 0.3% 55.3% 9.9% 0.3% HV 20d 8.9% 7.9% 9.5% 9.5% 8.8% HV 60d 7.4% 6.7% 8.1% 6.7% 8.1% IV Rank 45.0% 0.3% 96.2% 17.0% 86.1% IV Percentile 45.0% 2.4% 92.5% 27.8% 75.4% Term Structure 37.9% -85.9% 160.6% 136.4% 160.6% VWIV 109.0% 34.4% 193.5% 34.4% 53.5% Skew 25d -62.6% -175.0% 140.3% 139.1% -175.0% Skew 10d -62.6% -175.0% 140.3% 139.1% -175.0% Call IV 25d 120.0% 50.4% 185.7% 50.4% 185.7% Put IV 25d 57.5% 7.8% 191.3% 189.5% 10.8% Bid-Ask Spread % 178.31 171.30 184.16 184.16 171.30 Gamma HHI 0.40 0.39 0.41 0.40 0.40 Net GEX -705 -1.5K -508 -509 -700 Net DEX 36.8K 31.5K 46.6K 31.8K 37.6K Net VEX -146 -165 -130 -141 -143 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 19.98 12.50 29.00 12.50 29.00 Total Volume 29.095 27 31 27 30 Total OI 37.19 34 40 34 39
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 2018-11-01 $21.53 $0.00 34.4% 9.9% 9.5% 17.0% 34.4% 139.1% 136.4% -509 31.8K -141 12.50 184.16 N/A N/A 2 25 0 34 2018-11-02 $21.52 $0.00 35.8% 10.3% 9.3% 17.6% 35.8% 140.3% 137.0% -508 31.5K -140 12.50 179.85 N/A N/A 2 25 0 34 2018-11-05 $21.59 $23.00 39.3% 49.5% 9.4% 19.4% 122.1% -44.4% -69.1% -575 32.6K -138 12.50 183.78 N/A N/A 2 25 0 34 2018-11-06 $21.63 $23.00 40.6% 50.0% 9.5% 20.0% 123.5% -44.5% -70.0% -577 32.7K -137 12.50 178.10 N/A N/A 2 25 0 34 2018-11-07 $21.86 $23.00 38.6% 50.2% 9.2% 19.1% 125.6% -42.6% -68.0% -588 33.0K -137 12.50 176.59 N/A N/A 2 25 0 34 2018-11-08 $21.87 $23.00 40.9% 50.8% 8.7% 20.2% 127.1% -43.0% -72.9% -656 33.8K -138 12.50 179.03 N/A N/A 2 25 0 34 2018-11-09 $21.74 $23.00 46.4% 51.6% 8.8% 22.9% 143.3% -44.9% -75.4% -649 34.0K -136 12.50 181.62 N/A N/A 2 25 0 34 2018-11-12 $21.60 $23.00 65.1% 53.7% 9.0% 32.3% 45.1% -48.3% -82.0% -765 36.2K -132 13.00 173.76 N/A N/A 2 26 0 34 2018-11-13 $21.58 $23.00 75.6% 54.5% 8.1% 37.6% 45.5% -1.4% -82.8% -636 35.5K -146 14.50 178.94 N/A N/A 2 29 0 37 2018-11-14 $21.55 $23.00 192.7% 55.3% 8.1% 96.2% 134.9% -0.9% -85.9% -701 38.7K -165 14.50 181.78 N/A N/A 2 29 0 40 2018-11-15 $21.50 $23.00 102.6% 29.4% 7.9% 51.1% 135.9% -2.3% -85.0% -752 39.4K -162 14.50 176.80 N/A N/A 2 29 0 40 2018-11-16 $21.43 $23.00 8.5% 2.4% 7.9% 4.0% 137.3% -1.2% -82.7% -753 39.3K -161 14.50 181.38 N/A N/A 2 29 0 40 2018-11-19 $21.14 $23.00 4.6% 1.3% 8.8% 2.0% 61.9% -0.1% 158.9% -728 38.7K -157 29.00 172.88 N/A N/A 1 29 0 40 2018-11-20 $20.94 $23.00 1.2% 0.3% 9.2% 0.3% 183.9% -125.8% 159.6% -712 38.3K -153 29.00 181.08 N/A N/A 1 29 0 39 2018-11-21 $20.94 $23.00 160.0% 0.0% 9.1% 79.8% 186.9% -163.4% 93.2% -693 38.1K -151 29.00 179.79 N/A N/A 1 29 0 39 2018-11-23 $20.97 $23.00 162.6% 0.0% 9.2% 81.1% 193.5% -165.7% 93.5% -718 38.9K -150 29.00 175.54 N/A N/A 1 29 0 39 2018-11-26 $21.06 $23.00 166.9% 0.0% 9.0% 83.3% 0.0% -170.5% 155.0% -704 38.1K -147 29.00 178.13 N/A N/A 1 29 0 39 2018-11-27 $21.03 $23.00 168.6% 0.0% 8.8% 84.1% 88.6% -172.8% 158.0% -724 39.0K -147 29.00 172.23 N/A N/A 1 29 0 39 2018-11-28 $21.19 $23.00 170.6% 0.0% 9.3% 85.1% 92.3% -172.4% 158.3% -696 38.0K -145 29.00 177.40 N/A N/A 1 29 0 39 2018-11-29 $21.25 $23.00 171.5% 0.0% 9.2% 85.6% 0.0% -174.2% 159.6% -1.5K 46.6K -130 29.00 180.45 N/A N/A 1 29 0 39 2018-11-30 $21.29 $23.00 172.5% 0.0% 8.8% 86.1% 53.5% -175.0% 160.6% -700 37.6K -143 29.00 171.30 N/A N/A 1 29 0 39
« Oct 2018 | All History | Dec 2018 » Home PCEF History November 2018