PCEF Options History — June 2019 In June 2019, PCEF traded between $21.72 and $22.64. ATM implied volatility averaged 36.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 28.3% (HV 20d: 7.7%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.
Notable Days 2019-06-06 : Highest Volume — 2,177 contracts2019-06-04 : Largest IV spike — 2312.0% change2019-06-19 : Highest IV Rank — 98.6%2019-06-19 : Largest Expected Move — 56.5%Monthly Statistics Metric Avg Min Max Open Close Price $22.34 $21.72 $22.64 $21.72 $22.57 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 36.1% 5.9% 197.1% 7.2% 12.6% Expected Move 8.3% 1.7% 56.5% 2.1% 3.6% HV 20d 7.7% 6.4% 8.7% 7.5% 6.4% HV 60d 6.3% 5.9% 6.5% 5.9% 6.5% IV Rank 17.5% 2.4% 98.6% 3.0% 5.7% IV Percentile 29.1% 4.0% 98.0% 7.9% 33.3% Term Structure -5.5% -77.5% 143.6% -2.1% -2.4% VWIV 2.8% 2.8% 2.8% 2.8% 2.8% Skew 25d -25.2% -170.6% 9.9% -0.3% -4.4% Skew 10d -24.7% -170.6% 7.0% -0.8% -3.5% Call IV 25d 34.2% 5.7% 184.3% 9.5% 11.2% Put IV 25d 8.9% 6.0% 19.2% 9.2% 6.8% Bid-Ask Spread % 113.94 22.84 200.00 112.14 113.77 Gamma HHI 0.98 0.96 1.00 1.00 1.00 Net GEX -156.5K -1.1M 0 -872.1K -648 Net DEX 525.3K 0 3.6M 3.6M 513 Net VEX -821 -4.3K 0 -3.5K -2 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 221.65 0 2,177 0 7 Total OI 466.25 5 2,222 2,222 9
Daily Data (20 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 2019-06-03 $21.72 $22.00 7.2% 2.1% 7.5% 3.0% 0.0% -0.3% -2.1% -872.1K 3.6M -3.5K 0.00 112.14 N/A N/A 0 0 0 2,222 2019-06-04 $21.90 $22.00 172.9% 0.0% 8.3% 86.5% 0.0% -170.6% 0.0% -356.2K 2.5M -4.3K 0.00 200.00 N/A N/A 0 0 0 2,222 2019-06-05 $21.99 $22.00 7.5% 2.1% 8.3% 3.2% 2.8% -7.0% -4.1% -1.1M 2.4M -4.1K 0.00 101.07 N/A N/A 0 23 0 2,222 2019-06-06 $22.15 $0.00 12.4% 2.5% 8.7% 5.7% 0.0% 0.6% -2.1% -682.5K 1.9M -3.9K 0.00 136.21 N/A N/A 0 2,177 0 2,222 2019-06-07 $22.24 $0.00 7.3% 2.1% 8.7% 3.1% 0.0% 1.2% -1.7% -19.6K 24.5K -57 0.00 56.98 N/A N/A 0 2,177 0 45 2019-06-10 $22.32 $0.00 9.6% 1.8% 8.7% 4.2% 0.0% 0.6% -1.1% -11.4K 28.8K -121 0.00 57.94 N/A N/A 0 6 0 45 2019-06-11 $22.37 $0.00 10.7% 2.0% 8.2% 4.8% 0.0% 0.8% -0.3% -9.7K 19.6K -80 0.00 53.42 N/A N/A 0 6 0 39 2019-06-12 $22.31 $0.00 188.8% 54.1% 7.9% 94.5% 0.0% -112.4% -71.4% -5.3K 31.2K -101 0.00 200.00 N/A N/A 0 6 0 39 2019-06-13 $22.39 $0.00 5.9% 1.7% 8.0% 2.4% 0.0% 0.1% -0.3% -9.1K 18.8K -78 0.00 55.25 N/A N/A 0 7 0 39 2019-06-14 $22.39 $0.00 6.0% 1.7% 7.9% 2.4% 0.0% 0.0% 1.8% -8.7K 16.5K -70 0.00 51.01 N/A N/A 0 7 0 39 2019-06-17 $22.44 $0.00 10.1% 2.9% 7.9% 4.5% 0.0% -0.1% -3.3% -7.4K 11.4K -28 0.00 121.97 N/A N/A 0 1 0 32 2019-06-18 $22.51 $0.00 9.2% 2.6% 7.2% 4.0% 0.0% 0.8% -1.2% -6.4K 10.7K -24 0.00 81.32 N/A N/A 0 1 0 32 2019-06-19 $22.55 $0.00 197.1% 56.5% 7.2% 98.6% 0.0% -113.9% -75.5% -5.9K 13.5K -35 0.00 200.00 N/A N/A 0 1 0 32 2019-06-20 $22.64 $0.00 18.1% 0.0% 7.3% 8.5% 0.0% -113.5% -77.5% -3.9K 7.2K -28 0.00 200.00 N/A N/A 0 3 0 32 2019-06-21 $22.64 $0.00 6.4% 1.8% 6.9% 2.6% 0.0% 1.6% -1.3% 0 0 0 0.00 22.84 N/A N/A 0 5 0 32 2019-06-24 $22.49 $0.00 8.5% 2.4% 7.4% 3.7% 0.0% 1.7% 143.6% -356 1.8K -12 0.00 58.20 N/A N/A 0 0 0 5 2019-06-25 $22.36 $0.00 9.2% 2.6% 7.7% 4.0% 0.0% -1.0% -2.9% -908 737 -3 0.00 120.64 N/A N/A 0 1 0 5 2019-06-26 $22.43 $0.00 14.5% 4.2% 7.3% 6.7% 0.0% 9.9% -3.9% -611 3.2K -19 0.00 135.95 N/A N/A 0 1 0 6 2019-06-27 $22.48 $0.00 7.0% 2.0% 7.3% 2.9% 0.0% 0.9% 1.1% -487 3.1K -18 0.00 200.00 N/A N/A 0 4 0 6 2019-06-28 $22.57 $0.00 12.6% 3.6% 6.4% 5.7% 0.0% -4.4% -2.4% -648 513 -2 0.00 113.77 N/A N/A 0 7 0 9
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