PCEF Options History — December 2018 In December 2018, PCEF traded between $19.45 and $21.47. ATM implied volatility averaged 119.1%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 29.1%. IV traded above realized volatility by 107.8% (HV 20d: 11.4%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days.
Notable Days 2018-12-21 : Highest Volume — 19 contracts2018-12-13 : Largest IV spike — 1569.3% change2018-12-13 : Highest IV Rank — 99.8%2018-12-13 : Largest Expected Move — 57.3%Monthly Statistics Metric Avg Min Max Open Close Price $20.53 $19.45 $21.47 $21.47 $20.23 Max Pain $20.75 $20.00 $23.00 $23.00 $20.00 ATM IV 119.1% 9.7% 199.8% 67.6% 189.3% Expected Move 29.1% 3.4% 57.3% 19.4% 14.0% HV 20d 11.4% 8.9% 16.6% 9.4% 16.6% HV 60d 9.6% 8.3% 12.2% 8.3% 12.0% IV Rank 59.4% 4.6% 99.8% 33.6% 94.5% IV Percentile 59.3% 19.0% 99.6% 31.0% 90.1% Term Structure 84.8% -70.0% 169.9% 158.5% 145.9% VWIV 51.5% 48.7% 54.1% 54.1% 48.7% Skew 25d -28.6% -184.9% 116.7% -178.4% -3.4% Skew 10d -28.6% -184.9% 116.7% -178.4% -3.4% Call IV 25d 146.4% 12.9% 195.4% 189.2% 166.8% Put IV 25d 117.8% 10.3% 163.4% 10.8% 163.4% Bid-Ask Spread % 190.89 139.97 200.00 165.74 200.00 Gamma HHI 0.46 0.27 0.67 0.45 0.48 Net GEX -1.0K -1.8K -338 -1.4K -657 Net DEX 38.3K 20.1K 74.2K 42.3K 20.2K Net VEX -98 -138 -29 -138 -73 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 3.85 0 19 0 0 Total OI 32.05 21 39 39 21
Daily Data (20 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 2018-12-03 $21.47 $23.00 67.6% 19.4% 9.4% 33.6% 0.0% -178.4% 158.5% -1.4K 42.3K -138 0.00 165.74 N/A N/A 0 0 0 39 2018-12-04 $21.33 $23.00 36.2% 10.4% 9.5% 17.8% 0.0% -182.9% 168.2% -1.4K 43.5K -136 0.00 200.00 N/A N/A 0 0 0 39 2018-12-05 $21.34 $23.00 37.4% 10.7% 9.5% 18.5% 0.0% -184.9% 169.9% -1.2K 41.0K -133 0.00 200.00 N/A N/A 0 0 0 39 2018-12-06 $21.15 $0.00 185.0% 53.0% 8.9% 92.3% 0.0% -1.6% -61.9% -1.3K 47.2K -120 0.00 180.58 N/A N/A 0 0 0 39 2018-12-07 $21.12 $0.00 186.8% 53.6% 8.9% 93.3% 0.0% -4.1% -63.6% -1.4K 48.2K -120 0.00 200.00 N/A N/A 0 0 0 39 2018-12-10 $20.96 $0.00 195.2% 56.0% 9.0% 97.4% 0.0% -6.4% -70.0% -1.2K 43.7K -127 0.00 200.00 N/A N/A 0 0 0 39 2018-12-11 $20.88 $0.00 194.2% 55.7% 8.9% 96.9% 0.0% -7.6% -66.3% -1.4K 49.8K -114 0.00 200.00 N/A N/A 0 0 0 39 2018-12-12 $20.95 $0.00 12.0% 3.4% 9.1% 5.7% 0.0% -1.9% -4.0% -1.8K 74.2K -29 0.00 139.97 N/A N/A 0 0 0 39 2018-12-13 $20.93 $0.00 199.8% 57.3% 9.1% 99.8% 0.0% -7.0% 105.5% -1.4K 47.4K -110 0.00 200.00 N/A N/A 0 0 0 39 2018-12-14 $20.73 $0.00 129.3% 0.0% 9.5% 64.5% 0.0% -10.0% 106.6% -1.5K 50.7K -110 0.00 200.00 N/A N/A 0 0 0 39 2018-12-17 $20.32 $0.00 9.7% 0.0% 11.5% 4.6% 0.0% -16.3% 105.4% -919 32.9K -102 0.00 200.00 N/A N/A 0 10 0 29 2018-12-18 $20.29 $20.00 54.1% 15.5% 10.8% 26.8% 54.1% -16.9% 105.8% -706 32.1K -90 0.00 200.00 N/A N/A 0 10 0 28 2018-12-19 $20.13 $20.00 53.4% 15.3% 10.6% 26.5% 53.4% 116.7% 106.8% -757 38.2K -85 0.00 158.18 N/A N/A 0 11 0 28 2018-12-20 $19.69 $20.00 49.7% 14.3% 12.8% 24.6% 49.7% -13.9% 108.9% -342 32.8K -90 0.00 200.00 N/A N/A 0 14 0 29 2018-12-21 $19.53 $20.00 48.7% 14.0% 12.8% 24.1% 48.7% -16.6% 109.8% -338 38.6K -89 0.00 200.00 N/A N/A 0 19 0 32 2018-12-24 $19.45 $20.00 186.7% 0.0% 12.4% 93.2% 0.0% -16.2% 140.3% -536 20.9K -73 0.00 173.63 N/A N/A 0 13 0 21 2018-12-26 $19.93 $20.00 181.3% 0.0% 16.0% 90.5% 0.0% -8.3% 143.2% -618 20.7K -75 0.00 199.82 N/A N/A 0 0 0 21 2018-12-27 $19.94 $20.00 183.0% 0.0% 15.6% 91.4% 0.0% -8.2% 144.1% -627 20.7K -75 0.00 199.82 N/A N/A 0 0 0 21 2018-12-28 $20.22 $20.00 183.4% 0.0% 16.6% 91.5% 0.0% -3.5% 143.2% -624 20.1K -75 0.00 200.00 N/A N/A 0 0 0 21 2018-12-31 $20.23 $20.00 189.3% 0.0% 16.6% 94.5% 0.0% -3.4% 145.9% -657 20.2K -73 0.00 200.00 N/A N/A 0 0 0 21
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