PCEF Options History — April 2019

In April 2019, PCEF traded between $22.28 and $22.54. ATM implied volatility averaged 45.3%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 40.8% (HV 20d: 4.4%). Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days.

Notable Days

  • 2019-04-10: Largest IV spike — 2032.3% change
  • 2019-04-12: Highest IV Rank — 96.5%
  • 2019-04-12: Largest Expected Move — 55.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.42$22.28$22.54$22.28$22.47
ATM IV45.3%5.8%193.3%14.7%7.3%
Expected Move19.7%1.7%55.4%2.9%2.1%
HV 20d4.4%3.7%5.1%5.1%3.7%
HV 60d5.0%4.3%6.7%6.7%4.3%
IV Rank22.4%2.7%96.5%7.1%3.3%
IV Percentile25.5%4.4%92.5%23.0%7.5%
Term Structure19.1%-159.6%160.4%-5.5%147.9%
Skew 25d-29.5%-142.2%5.3%2.4%5.3%
Skew 10d-29.9%-142.2%5.3%-0.4%5.3%
Call IV 25d41.6%7.7%154.9%9.9%8.3%
Put IV 25d12.1%7.6%15.5%12.3%13.6%
Bid-Ask Spread %186.64107.44200.00141.72200.00
Gamma HHI0.870.571.000.981.00
Net GEX-37-1381041040
Net DEX580-2.2K2.2K-1.9K0
Net VEX-11-200-20
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI3.4763443

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$22.28$0.0014.7%2.9%5.1%7.1%0.0%2.4%-5.5%104-1.9K-20.00141.72N/AN/A0013
2019-04-02$22.30$0.007.6%49.1%5.1%3.6%0.0%2.6%160.4%-45779-200.00200.00N/AN/A0013
2019-04-03$22.31$0.008.0%49.6%4.9%3.7%0.0%-125.6%-159.6%-23781-200.00200.00N/AN/A0013
2019-04-04$22.34$0.006.9%25.5%4.8%3.2%0.0%3.0%-130.3%-62740-200.00200.00N/AN/A0013
2019-04-05$22.38$0.007.5%25.7%4.7%3.5%0.0%3.4%-44.4%-123268-180.00200.00N/AN/A0013
2019-04-08$22.42$0.0015.7%3.0%4.3%7.6%0.0%-1.9%-3.6%4-2.2K00.00144.03N/AN/A0013
2019-04-09$22.37$0.008.8%27.5%4.4%4.2%0.0%3.4%-49.9%-138-433-150.00200.00N/AN/A0013
2019-04-10$22.47$0.00188.1%53.9%4.6%93.9%0.0%-129.6%-51.0%-31773-200.00200.00N/AN/A0013
2019-04-11$22.48$0.0096.0%27.5%4.6%47.8%0.0%4.4%-52.6%-66694-190.00200.00N/AN/A0013
2019-04-12$22.49$0.00193.3%55.4%4.5%96.5%0.0%-131.2%-54.2%-25734-190.00200.00N/AN/A0013
2019-04-15$22.52$0.0098.1%28.1%4.1%48.8%0.0%5.0%-1.4%-542.2K-160.00200.00N/AN/A0003
2019-04-16$22.51$0.0099.7%28.6%4.1%49.6%0.0%4.2%-1.5%-932.1K-150.00200.00N/AN/A0003
2019-04-17$22.54$0.0011.1%3.2%4.1%5.3%0.0%-0.9%-2.8%0000.00126.24N/AN/A0003
2019-04-18$22.49$0.00143.4%0.0%4.2%71.7%0.0%-137.4%-52.2%-412.2K-150.00200.00N/AN/A0003
2019-04-22$22.34$0.006.5%1.9%4.5%3.0%0.0%4.2%139.2%-891.1K-100.00200.00N/AN/A0003
2019-04-23$22.41$0.008.4%2.4%4.2%3.9%0.0%-142.2%137.2%-402.2K-150.00200.00N/AN/A0003
2019-04-24$22.42$0.006.0%1.7%4.2%2.8%0.0%4.8%140.9%0000.00200.00N/AN/A0003
2019-04-25$22.38$0.005.8%1.7%4.3%2.7%0.0%4.6%142.3%-532.2K-150.00200.00N/AN/A0003
2019-04-26$22.40$0.0010.9%3.1%4.3%5.2%0.0%-2.7%-4.7%0000.00107.44N/AN/A0003
2019-04-29$22.41$0.006.7%1.9%4.2%2.9%0.0%4.9%147.0%0000.00200.00N/AN/A0003
2019-04-30$22.47$0.007.3%2.1%3.7%3.3%0.0%5.3%147.9%0000.00200.00N/AN/A0003