PCEF Options History — May 2019 In May 2019, PCEF traded between $21.84 and $22.56. ATM implied volatility averaged 22.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 16.3% (HV 20d: 6.1%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days.
Notable Days 2019-05-23 : Highest Volume — 2,203 contracts2019-05-10 : Largest IV spike — 919.4% change2019-05-10 : Highest IV Rank — 88.7%2019-05-10 : Largest Expected Move — 50.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.26 $21.84 $22.56 $22.54 $21.84 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 22.4% 3.5% 177.3% 11.5% 10.0% Expected Move 6.9% 1.0% 50.8% 3.3% 2.9% HV 20d 6.1% 3.9% 7.7% 3.9% 7.7% HV 60d 5.1% 4.3% 5.8% 4.3% 5.8% IV Rank 10.8% 1.1% 88.7% 5.4% 4.4% IV Percentile 22.1% 0.8% 83.3% 21.0% 20.2% Term Structure 2.9% -161.0% 144.1% -2.2% -2.4% VWIV 7.3% 2.2% 9.9% 8.9% 9.0% Skew 25d -14.7% -170.2% 5.6% -1.3% -3.2% Skew 10d -14.5% -170.2% 6.1% -2.6% -4.9% Call IV 25d 25.7% 7.9% 185.0% 10.2% 13.6% Put IV 25d 11.0% 7.9% 16.1% 8.9% 10.4% Bid-Ask Spread % 138.62 62.60 200.00 89.21 110.28 Gamma HHI 0.93 0.52 1.00 1.00 1.00 Net GEX -183.0K -1.2M 0 0 -707.6K Net DEX 616.6K 0 2.8M 0 2.8M Net VEX -1.4K -5.4K 0 0 -4.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 201.5 0 2,203 0 9 Total OI 607.591 3 2,217 3 2,217
Daily Data (22 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 2019-05-01 $22.54 $0.00 11.5% 3.3% 3.9% 5.4% 0.0% -1.3% -2.2% 0 0 0 0.00 89.21 N/A N/A 0 0 0 3 2019-05-02 $22.46 $0.00 14.0% 4.0% 4.1% 6.7% 0.0% -1.9% -8.3% 0 0 0 0.00 99.07 N/A N/A 0 1 0 3 2019-05-03 $22.56 $0.00 7.2% 2.1% 4.4% 3.2% 0.0% 5.3% -2.9% -76 25 0 0.00 200.00 N/A N/A 0 1 0 4 2019-05-06 $22.54 $0.00 15.5% 2.4% 4.4% 7.4% 0.0% 0.3% -1.6% -220 1.3K -10 0.00 114.47 N/A N/A 0 0 0 4 2019-05-07 $22.38 $0.00 16.9% 24.9% 5.1% 8.1% 0.0% 3.5% -161.0% -71 1.4K -6 0.00 167.23 N/A N/A 0 0 0 4 2019-05-08 $22.43 $0.00 16.6% 2.8% 5.1% 8.0% 0.0% 1.1% -3.4% -176 1.2K -7 0.00 122.69 N/A N/A 0 0 0 4 2019-05-09 $22.31 $0.00 17.4% 1.8% 5.1% 8.3% 0.0% 0.1% -0.0% -165 1.2K -7 0.00 176.47 N/A N/A 0 0 0 4 2019-05-10 $22.34 $0.00 177.3% 50.8% 5.2% 88.7% 0.0% -170.2% -74.3% -54 3.0K -21 0.00 200.00 N/A N/A 0 0 0 4 2019-05-13 $22.15 $0.00 20.0% 2.7% 5.9% 9.6% 0.0% -2.5% -3.1% -880 1.5K -3 0.00 124.83 N/A N/A 0 3 0 4 2019-05-14 $22.30 $0.00 8.9% 2.5% 6.5% 4.1% 0.0% -0.3% -3.4% -3.2K 2.8K -15 0.00 152.88 N/A N/A 0 3 0 7 2019-05-15 $22.31 $0.00 10.1% 2.9% 6.5% 4.7% 0.0% 0.8% -3.3% -2.0K 3.8K -11 0.00 125.98 N/A N/A 0 1 0 7 2019-05-16 $22.39 $0.00 97.0% 27.8% 6.6% 48.4% 0.0% 5.6% -84.5% -381 57 0 0.00 200.00 N/A N/A 0 1 0 8 2019-05-17 $22.35 $0.00 10.3% 3.0% 6.6% 4.8% 0.0% 0.4% -3.7% -868 7.0K -31 0.00 127.13 N/A N/A 0 1 0 8 2019-05-20 $22.16 $0.00 9.4% 2.7% 6.9% 4.3% 0.0% -0.0% 138.5% -904 7.0K -32 0.00 122.70 N/A N/A 0 0 0 8 2019-05-21 $22.20 $0.00 9.5% 2.7% 6.8% 4.4% 0.0% -1.5% -2.1% -940 6.9K -32 0.00 115.21 N/A N/A 0 0 0 8 2019-05-22 $22.17 $0.00 5.8% 1.7% 6.8% 2.3% 0.0% 1.7% 143.2% -164 7.0K -47 0.00 200.00 N/A N/A 0 0 0 8 2019-05-23 $22.05 $22.00 9.0% 2.6% 7.0% 3.9% 8.9% -1.1% -1.9% -682.0K 2.1M -5.4K 0.00 118.87 N/A N/A 0 2,203 0 2,208 2019-05-24 $22.14 $22.00 9.6% 2.8% 7.2% 4.2% 9.9% -0.6% -2.0% -631.2K 1.9M -5.2K 0.00 120.80 N/A N/A 0 2,202 0 2,211 2019-05-28 $22.10 $22.00 3.5% 1.0% 7.2% 1.1% 0.0% -155.1% 144.1% -276.1K 2.2M -5.0K 0.00 200.00 N/A N/A 0 0 0 2,213 2019-05-29 $21.97 $22.00 6.8% 1.9% 7.3% 2.8% 2.2% -6.0% -3.0% -540.3K 2.4M -4.9K 0.00 99.31 N/A N/A 0 4 0 2,213 2019-05-30 $22.03 $22.00 6.3% 1.8% 7.3% 2.6% 6.4% 0.9% 0.6% -1.2M 2.1M -4.8K 0.00 62.60 N/A N/A 0 4 0 2,217 2019-05-31 $21.84 $22.00 10.0% 2.9% 7.7% 4.4% 9.0% -3.2% -2.4% -707.6K 2.8M -4.6K 0.00 110.28 N/A N/A 0 9 0 2,217
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