PCEF Options History — January 2019

In January 2019, PCEF traded between $20.41 and $21.69. ATM implied volatility averaged 117.7%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 30.0%. IV traded above realized volatility by 102.7% (HV 20d: 15.0%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2019-01-22: Highest Volume — 152 contracts
2019-01-18: Largest IV spike — 1692.7% change
2019-01-09: Highest IV Rank — 99.3%
2019-01-09: Largest Expected Move — 57.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.19	$20.41	$21.69	$20.45	$21.69
Max Pain	$21.00	$20.00	$22.00	$20.00	$22.00
ATM IV	117.7%	9.0%	199.0%	192.3%	18.1%
Expected Move	30.0%	2.6%	57.0%	55.8%	3.5%
HV 20d	15.0%	9.3%	18.6%	16.8%	9.3%
HV 60d	12.6%	12.2%	12.8%	12.2%	12.6%
IV Rank	58.7%	4.2%	99.3%	96.0%	8.8%
IV Percentile	55.8%	17.5%	98.4%	91.3%	22.2%
Term Structure	15.9%	-47.8%	160.0%	146.3%	2.5%
Skew 25d	-26.0%	-181.5%	17.3%	0.0%	1.3%
Skew 10d	-25.7%	-181.5%	17.3%	0.0%	2.0%
Call IV 25d	130.3%	10.4%	199.3%	166.5%	11.2%
Put IV 25d	104.3%	11.0%	193.4%	166.5%	12.6%
Bid-Ask Spread %	187.89	126.94	200.00	200.00	152.95
Gamma HHI	0.43	0.34	0.60	0.48	0.60
Net GEX	402	-747	8.5K	-647	8.5K
Net DEX	10.0K	-21.6K	27.1K	19.7K	-17.5K
Net VEX	-180	-511	-49	-73	-287
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	1.00	1.00	1.00	1.00
Total Volume	29.19	0	152	0	0
Total OI	70.19	18	169	21	169

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
2019-01-02	$20.45	$20.00	192.3%	0.0%	16.8%	96.0%	0.0%	0.0%	146.3%	-647	19.7K	-73	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-03	$20.41	$0.00	194.7%	55.8%	16.7%	97.2%	0.0%	-0.7%	-41.3%	-665	19.8K	-73	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-04	$20.70	$0.00	189.9%	54.5%	17.7%	94.8%	0.0%	-181.5%	-42.8%	-632	19.5K	-73	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-07	$21.01	$0.00	195.6%	56.1%	18.4%	97.6%	0.0%	9.1%	-45.6%	-585	19.0K	-71	0.00	200.00	N/A	N/A	0	1	0	21
2019-01-08	$21.18	$0.00	19.6%	56.5%	18.6%	9.6%	0.0%	11.9%	-46.3%	-523	18.5K	-70	0.00	200.00	N/A	N/A	0	1	0	21
2019-01-09	$21.16	$0.00	199.0%	57.0%	18.4%	99.3%	0.0%	11.7%	-47.8%	-527	18.4K	-69	0.00	200.00	N/A	N/A	0	1	0	21
2019-01-10	$21.20	$0.00	152.0%	0.0%	18.3%	75.8%	0.0%	12.4%	-42.6%	-519	18.3K	-69	0.00	200.00	N/A	N/A	0	1	0	21
2019-01-11	$21.23	$0.00	153.1%	0.0%	18.3%	76.4%	0.0%	12.9%	-44.0%	-507	18.2K	-68	0.00	200.00	N/A	N/A	0	1	0	21
2019-01-14	$21.17	$0.00	157.2%	0.0%	18.3%	78.4%	0.0%	12.2%	-42.4%	-477	17.9K	-66	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-15	$21.29	$0.00	158.0%	0.0%	18.0%	78.8%	0.0%	-159.7%	-35.0%	-426	18.4K	-65	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-16	$21.35	$0.00	13.7%	0.0%	16.1%	6.6%	0.0%	-161.5%	-36.5%	-345	18.1K	-65	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-17	$21.38	$0.00	9.0%	2.6%	16.1%	4.2%	0.0%	-2.2%	152.0%	-747	27.1K	-49	0.00	136.68	N/A	N/A	0	0	0	21
2019-01-18	$21.45	$0.00	161.5%	0.0%	15.6%	80.6%	0.0%	17.3%	-39.9%	-270	17.4K	-63	0.00	200.00	N/A	N/A	0	0	0	21
2019-01-22	$21.20	$0.00	168.3%	0.0%	13.7%	84.0%	0.0%	8.8%	157.3%	-315	18.6K	-62	1.00	200.00	N/A	N/A	76	76	0	18
2019-01-23	$21.24	$0.00	11.5%	3.3%	13.0%	5.5%	0.0%	0.6%	-1.9%	4.2K	18.2K	-259	1.00	126.94	N/A	N/A	76	76	76	93
2019-01-24	$21.24	$0.00	171.4%	0.0%	12.7%	85.6%	0.0%	8.7%	160.0%	-206	-21.6K	-511	1.00	200.00	N/A	N/A	76	76	76	93
2019-01-25	$21.32	$0.00	172.8%	0.0%	10.3%	86.2%	0.0%	-176.0%	0.0%	-237	-16.2K	-511	1.00	200.00	N/A	N/A	76	76	76	93
2019-01-28	$21.31	$0.00	17.6%	5.1%	10.3%	8.6%	0.0%	7.1%	-6.2%	3.9K	12.0K	-303	0.00	129.07	N/A	N/A	0	0	76	93
2019-01-29	$21.38	$0.00	21.4%	6.1%	9.5%	10.5%	0.0%	10.3%	155.5%	-246	-16.1K	-491	0.00	200.00	N/A	N/A	0	0	76	93
2019-01-30	$21.55	$0.00	95.5%	0.0%	9.6%	47.5%	0.0%	12.2%	0.0%	-245	-18.4K	-488	0.00	200.00	N/A	N/A	0	0	76	93
2019-01-31	$21.69	$22.00	18.1%	3.5%	9.3%	8.8%	0.0%	1.3%	2.5%	8.5K	-17.5K	-287	0.00	152.95	N/A	N/A	0	0	76	93