PCEF Options History — February 2019 In February 2019, PCEF traded between $21.70 and $22.10. ATM implied volatility averaged 40.0%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 33.8% (HV 20d: 6.2%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.02.
Notable Days 2019-02-26 : Highest Volume — 31 contracts2019-02-20 : Largest IV spike — 2233.4% change2019-02-20 : Highest IV Rank — 76.7%2019-02-05 : Largest Expected Move — 32.1%Monthly Statistics Metric Avg Min Max Open Close Price $21.88 $21.70 $22.10 $21.73 $22.09 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 40.0% 2.5% 153.8% 105.6% 6.9% Expected Move 9.3% 0.7% 32.1% 30.3% 2.0% HV 20d 6.2% 4.5% 9.1% 9.1% 4.5% HV 60d 12.2% 11.8% 12.6% 12.6% 11.8% IV Rank 19.8% 1.0% 76.7% 52.6% 3.2% IV Percentile 22.6% 7.1% 58.7% 39.3% 8.3% Term Structure 9.0% -183.5% 148.9% -23.1% 0.2% VWIV 14.9% 11.2% 20.7% 20.7% 11.2% Skew 25d 6.4% -1.0% 18.1% 14.2% 1.0% Skew 10d 6.5% -2.7% 18.1% 14.2% 3.1% Call IV 25d 52.5% 7.5% 169.9% 108.0% 7.8% Put IV 25d 58.9% 8.8% 188.0% 122.2% 8.8% Bid-Ask Spread % 129.44 52.73 200.00 200.00 69.22 Gamma HHI 0.70 0.41 0.99 0.41 0.85 Net GEX 13.5K -4.1K 48.5K -239 48.5K Net DEX -45.7K -168.8K -2.0K -21.0K -157.5K Net VEX -276 -479 -135 -479 -238 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.03 0.00 0.03 Total Volume 8.053 0 31 0 31 Total OI 172.105 153 183 169 183
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 2019-02-01 $21.73 $22.00 105.6% 30.3% 9.1% 52.6% 0.0% 14.2% -23.1% -239 -21.0K -479 0.00 200.00 N/A N/A 0 0 76 93 2019-02-04 $21.74 $22.00 110.5% 31.7% 8.2% 55.0% 0.0% 14.5% -26.0% -298 -10.7K -459 0.00 186.30 N/A N/A 0 0 76 93 2019-02-05 $21.78 $22.00 111.9% 32.1% 6.8% 55.7% 0.0% 15.0% -26.3% -255 -18.5K -459 0.00 200.00 N/A N/A 0 0 76 93 2019-02-06 $21.80 $22.00 11.5% 3.3% 6.3% 5.5% 0.0% -0.2% 1.4% 11.2K -25.0K -249 0.00 151.65 N/A N/A 0 9 76 93 2019-02-07 $21.70 $22.00 100.4% 28.8% 6.7% 50.0% 0.0% -0.1% -2.1% -76 -2.8K -360 0.00 143.17 N/A N/A 0 9 76 100 2019-02-08 $21.71 $22.00 12.2% 3.5% 6.7% 5.8% 0.0% 0.4% 1.9% 8.4K -7.3K -253 0.00 133.18 N/A N/A 0 9 76 100 2019-02-11 $21.80 $22.00 55.7% 0.0% 6.7% 27.6% 0.0% 15.5% -183.5% -2.9K -2.0K -411 0.00 191.67 N/A N/A 0 0 76 100 2019-02-12 $21.89 $22.00 9.4% 2.7% 6.6% 4.5% 0.0% -1.0% -3.7% 18.4K -14.8K -191 0.00 60.23 N/A N/A 0 0 76 100 2019-02-13 $21.89 $22.00 2.5% 0.7% 6.5% 1.0% 0.0% 16.6% 9.3% -4.1K -5.2K -405 0.00 194.67 N/A N/A 0 0 76 100 2019-02-14 $21.94 $22.00 8.0% 2.3% 6.5% 3.7% 0.0% 1.8% -1.5% 22.0K -19.4K -190 0.00 74.36 N/A N/A 0 0 76 100 2019-02-15 $21.98 $22.00 10.0% 2.9% 6.5% 4.7% 0.0% 0.6% -8.1% 5.3K -29.6K -194 0.00 91.02 N/A N/A 0 0 76 100 2019-02-19 $21.87 $22.00 6.6% 1.9% 6.8% 3.0% 0.0% 1.1% 147.7% 34.6K -33.8K -168 0.00 53.28 N/A N/A 0 0 76 92 2019-02-20 $21.89 $22.00 153.8% 0.0% 4.9% 76.7% 0.0% 15.0% 145.5% -71 -23.4K -343 0.00 200.00 N/A N/A 0 1 76 88 2019-02-21 $21.85 $22.00 12.2% 3.5% 5.0% 5.8% 0.0% 0.4% -3.0% 19.4K -46.7K -168 0.00 92.73 N/A N/A 0 1 76 88 2019-02-22 $21.97 $22.00 8.9% 2.5% 5.2% 4.2% 0.0% 1.8% -1.7% 29.7K -58.1K -162 0.00 75.80 N/A N/A 0 1 76 88 2019-02-25 $22.03 $22.00 12.1% 3.5% 5.2% 5.8% 0.0% 18.1% 148.9% 7.6K -67.2K -221 0.00 200.00 N/A N/A 30 0 76 77 2019-02-26 $22.05 $22.00 13.1% 3.8% 5.1% 6.3% 20.7% 2.3% -4.9% 23.1K -155.6K -151 0.03 89.38 N/A N/A 30 1 106 77 2019-02-27 $22.10 $22.00 8.7% 2.5% 5.1% 4.1% 13.0% 4.2% 0.5% 35.3K -168.8K -135 0.03 52.73 N/A N/A 30 1 106 77 2019-02-28 $22.09 $22.00 6.9% 2.0% 4.5% 3.2% 11.2% 1.0% 0.2% 48.5K -157.5K -238 0.03 69.22 N/A N/A 30 1 106 77
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