PCEF Options History — March 2019

In March 2019, PCEF traded between $21.97 and $22.23. ATM implied volatility averaged 87.9%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 83.5% (HV 20d: 4.4%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2019-03-14: Highest Volume — 76 contracts
2019-03-20: Largest IV spike — 2265.8% change
2019-03-15: Highest IV Rank — 98.7%
2019-03-29: Largest Expected Move — 47.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.10	$21.97	$22.23	$22.12	$22.14
Max Pain	$21.55	$21.00	$22.00	$22.00	$21.00
ATM IV	87.9%	6.4%	197.8%	166.7%	164.8%
Expected Move	22.8%	2.2%	47.2%	2.3%	47.2%
HV 20d	4.4%	4.1%	4.8%	4.1%	4.6%
HV 60d	9.8%	6.6%	11.7%	11.7%	6.6%
IV Rank	43.7%	2.9%	98.7%	83.2%	82.2%
IV Percentile	42.1%	6.3%	96.8%	69.0%	71.4%
Term Structure	45.8%	-185.0%	157.8%	157.8%	155.3%
Skew 25d	-14.3%	-163.0%	22.0%	-163.0%	20.5%
Skew 10d	-14.5%	-163.0%	22.0%	-163.0%	20.5%
Call IV 25d	87.0%	7.3%	175.8%	175.8%	173.5%
Put IV 25d	72.8%	5.3%	194.0%	12.8%	194.0%
Bid-Ask Spread %	160.60	63.85	200.00	200.00	200.00
Gamma HHI	0.82	0.58	1.00	0.62	0.58
Net GEX	14.6K	-30	60.4K	9.7K	-23
Net DEX	-82.1K	-183.5K	884	-118.7K	817
Net VEX	-96	-323	0	-323	-20
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.03	0.03	0.00
Total Volume	9.19	0	76	31	0
Total OI	99.333	4	186	183	4

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
2019-03-01	$22.12	$22.00	166.7%	0.0%	4.1%	83.2%	0.0%	-163.0%	157.8%	9.7K	-118.7K	-323	0.03	200.00	N/A	N/A	30	1	106	77
2019-03-04	$22.13	$22.00	7.9%	2.3%	4.1%	3.7%	0.0%	0.3%	0.5%	43.4K	-179.6K	-103	0.00	108.02	N/A	N/A	0	0	106	77
2019-03-05	$22.13	$22.00	21.4%	6.1%	4.1%	10.5%	0.0%	22.0%	-162.4%	12.8K	-126.6K	-277	0.00	200.00	N/A	N/A	0	0	106	77
2019-03-06	$22.04	$22.00	14.4%	4.1%	4.5%	7.0%	0.0%	-0.9%	-1.6%	28.7K	-155.4K	-105	0.00	79.69	N/A	N/A	0	0	106	77
2019-03-07	$22.00	$22.00	14.4%	4.1%	4.5%	7.0%	0.0%	-4.7%	3.8%	30.9K	-149.6K	-100	0.00	78.27	N/A	N/A	0	3	106	77
2019-03-08	$21.97	$22.00	18.5%	5.3%	4.2%	9.0%	0.0%	-4.4%	2.8%	29.3K	-128.9K	-208	0.00	87.30	N/A	N/A	0	3	106	80
2019-03-11	$22.11	$21.00	9.1%	2.2%	4.7%	4.3%	0.0%	-0.9%	0.7%	60.4K	-183.5K	-59	0.00	63.85	N/A	N/A	0	0	106	80
2019-03-12	$22.13	$21.00	10.3%	2.7%	4.5%	4.9%	0.0%	-4.9%	-0.5%	21.8K	-162.9K	-61	0.00	125.49	N/A	N/A	0	0	106	80
2019-03-13	$22.18	$21.00	100.4%	2.7%	4.4%	50.0%	0.0%	0.4%	-181.4%	31.0K	-149.5K	-185	0.00	174.43	N/A	N/A	0	0	106	80
2019-03-14	$22.18	$21.00	8.7%	2.7%	4.4%	4.1%	0.0%	-2.9%	3.2%	36.0K	-181.4K	-32	0.00	114.57	N/A	N/A	76	0	106	80
2019-03-15	$22.23	$21.00	197.8%	18.3%	4.4%	98.7%	0.0%	-115.1%	-185.0%	505	-44.1K	-146	0.00	200.00	N/A	N/A	76	0	33	80
2019-03-18	$22.12	$0.00	149.0%	42.7%	4.8%	74.3%	0.0%	18.4%	141.3%	1.7K	-64.4K	-15	0.00	200.00	N/A	N/A	0	0	30	3
2019-03-19	$22.12	$0.00	6.4%	43.1%	4.3%	2.9%	0.0%	18.6%	139.8%	502	-39.6K	-144	0.00	200.00	N/A	N/A	1	0	30	3
2019-03-20	$22.14	$0.00	151.4%	43.4%	4.3%	75.5%	0.0%	19.1%	142.1%	515	-41.1K	-147	0.00	200.00	N/A	N/A	1	0	31	3
2019-03-21	$22.18	$0.00	152.6%	43.7%	4.3%	76.1%	0.0%	19.9%	143.0%	-23	800	-21	0.00	200.00	N/A	N/A	1	0	1	3
2019-03-22	$22.06	$0.00	154.4%	44.3%	4.4%	77.0%	0.0%	18.0%	146.4%	-23	830	-21	0.00	200.00	N/A	N/A	1	0	1	3
2019-03-25	$21.98	$0.00	12.2%	2.8%	4.5%	5.8%	0.0%	-0.5%	-2.4%	119	-1.7K	-3	0.00	140.97	N/A	N/A	0	0	1	3
2019-03-26	$22.05	$0.00	160.3%	45.9%	4.6%	80.0%	0.0%	-158.9%	151.6%	-23	833	-21	0.00	200.00	N/A	N/A	0	0	1	3
2019-03-27	$22.06	$0.00	161.8%	46.4%	4.6%	80.7%	0.0%	18.8%	153.0%	-30	884	-21	0.00	200.00	N/A	N/A	0	0	1	3
2019-03-28	$22.09	$0.00	163.3%	46.8%	4.6%	81.5%	0.0%	1.0%	154.2%	66	-2.1K	0	0.00	200.00	N/A	N/A	0	0	1	3
2019-03-29	$22.14	$0.00	164.8%	47.2%	4.6%	82.2%	0.0%	20.5%	155.3%	-23	817	-20	0.00	200.00	N/A	N/A	0	0	1	3