PCEF Options History — July 2019 In July 2019, PCEF traded between $22.64 and $22.82. ATM implied volatility averaged 64.5%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 59.4% (HV 20d: 5.1%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days.
Notable Days 2019-07-10 : Highest Volume — 1 contracts2019-07-10 : Largest IV spike — 1980.7% change2019-07-17 : Highest IV Rank — 99.5%2019-07-17 : Largest Expected Move — 57.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.73 $22.64 $22.82 $22.68 $22.76 ATM IV 64.5% 4.2% 198.8% 163.5% 155.1% Expected Move 14.4% 1.2% 57.0% 1.4% 2.3% HV 20d 5.1% 4.1% 5.9% 5.9% 4.1% HV 60d 6.5% 6.5% 6.7% 6.5% 6.5% IV Rank 31.9% 1.5% 99.5% 81.7% 77.5% IV Percentile 37.6% 1.2% 98.8% 78.6% 75.0% Term Structure 14.8% -58.4% 152.9% 152.9% 143.3% Skew 25d 6.1% -5.4% 38.7% 11.3% 4.7% Skew 10d 6.0% -6.2% 38.7% 11.2% 4.7% Call IV 25d 31.1% 4.8% 176.3% 176.3% 101.3% Put IV 25d 37.2% 4.0% 187.6% 187.6% 106.0% Bid-Ask Spread % 140.61 22.23 200.00 200.00 200.00 Gamma HHI 0.75 0.36 1.00 0.38 0.36 Net GEX -568 -1.1K -167 -188 -179 Net DEX 5.7K 1.2K 9.7K 9.7K 8.8K Net VEX -31 -58 -7 -58 -45 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.136 0 1 0 0 Total OI 11.318 11 12 12 11
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 2019-07-01 $22.68 $0.00 163.5% 0.0% 5.9% 81.7% 0.0% 11.3% 152.9% -188 9.7K -58 0.00 200.00 N/A N/A 0 0 0 12 2019-07-02 $22.68 $0.00 4.7% 1.4% 5.5% 1.8% 0.0% 1.6% 0.8% -1.0K 4.4K -28 0.00 22.23 N/A N/A 0 0 0 12 2019-07-03 $22.73 $0.00 5.9% 1.7% 5.4% 2.4% 0.0% 1.7% -0.7% -999 4.2K -27 0.00 55.58 N/A N/A 0 0 0 12 2019-07-05 $22.70 $0.00 6.2% 2.1% 5.1% 2.5% 0.0% 0.4% -0.3% -849 6.3K -37 0.00 51.08 N/A N/A 0 0 0 12 2019-07-08 $22.65 $0.00 11.8% 1.6% 5.1% 5.3% 0.0% -2.1% -1.1% -972 4.8K -28 0.00 30.16 N/A N/A 0 0 0 12 2019-07-09 $22.64 $0.00 8.7% 1.7% 5.1% 3.8% 0.0% -1.1% -1.2% -1.1K 4.6K -27 0.00 23.36 N/A N/A 0 0 0 12 2019-07-10 $22.80 $0.00 181.8% 52.1% 5.5% 91.0% 0.0% 38.7% -51.5% -167 9.3K -55 0.00 200.00 N/A N/A 0 1 0 12 2019-07-11 $22.73 $0.00 184.7% 52.9% 5.5% 92.4% 0.0% 38.0% -53.4% -186 8.9K -50 0.00 200.00 N/A N/A 0 1 0 11 2019-07-12 $22.74 $0.00 94.4% 27.1% 5.5% 46.9% 0.0% -1.8% 130.7% -362 6.7K -33 0.00 200.00 N/A N/A 0 1 0 11 2019-07-15 $22.77 $0.00 10.4% 3.0% 5.5% 4.6% 0.0% -4.6% -1.7% -556 1.6K -9 0.00 133.43 N/A N/A 0 0 0 11 2019-07-16 $22.80 $0.00 195.6% 56.1% 5.4% 97.9% 0.0% 8.3% -56.2% -198 8.5K -48 0.00 200.00 N/A N/A 0 0 0 11 2019-07-17 $22.80 $0.00 198.8% 57.0% 5.4% 99.5% 0.0% 8.3% -58.4% -251 9.1K -49 0.00 200.00 N/A N/A 0 0 0 11 2019-07-18 $22.82 $0.00 12.9% 3.7% 5.4% 5.9% 0.0% -5.4% -2.2% -491 1.7K -9 0.00 141.81 N/A N/A 0 0 0 11 2019-07-19 $22.80 $0.00 139.7% 0.0% 5.2% 69.7% 0.0% 8.4% 132.9% -364 6.7K -32 0.00 200.00 N/A N/A 0 0 0 11 2019-07-22 $22.69 $0.00 5.6% 1.6% 5.5% 2.2% 0.0% 8.4% -0.9% -535 6.3K -31 0.00 200.00 N/A N/A 0 0 0 11 2019-07-23 $22.66 $0.00 5.9% 1.7% 5.0% 2.4% 0.0% 3.0% -1.0% -680 5.7K -29 0.00 200.00 N/A N/A 0 0 0 11 2019-07-24 $22.75 $0.00 4.2% 1.2% 4.6% 1.5% 0.0% 9.3% -0.4% -509 6.2K -30 0.00 200.00 N/A N/A 0 0 0 11 2019-07-25 $22.70 $0.00 4.6% 1.3% 4.6% 1.7% 0.0% 8.1% -0.6% -555 6.2K -30 0.00 200.00 N/A N/A 0 0 0 11 2019-07-26 $22.71 $0.00 5.1% 1.5% 4.6% 2.0% 0.0% 1.2% -0.7% -791 2.0K -14 0.00 27.94 N/A N/A 0 0 0 11 2019-07-29 $22.72 $0.00 10.8% 3.1% 4.4% 4.8% 0.0% -3.0% -3.1% -715 1.2K -7 0.00 97.75 N/A N/A 0 0 0 11 2019-07-30 $22.76 $0.00 7.9% 2.3% 4.1% 3.4% 0.0% 1.2% -0.9% -836 2.5K -16 0.00 110.11 N/A N/A 0 0 0 11 2019-07-31 $22.76 $0.00 155.1% 0.0% 4.1% 77.5% 0.0% 4.7% 143.3% -179 8.8K -45 0.00 200.00 N/A N/A 0 0 0 11
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