PCEF Options History — August 2019

In August 2019, PCEF traded between $22.20 and $22.77. ATM implied volatility averaged 94.6%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 26.9%. IV traded above realized volatility by 86.6% (HV 20d: 8.0%). 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 3 of 22 days.

Notable Days

  • 2019-08-05: Highest Volume — 7 contracts
  • 2019-08-08: Largest IV spike — 2374.3% change
  • 2019-08-16: Highest IV Rank — 97.1%
  • 2019-08-16: Largest Expected Move — 55.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.40$22.20$22.77$22.77$22.35
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV94.6%5.4%194.1%156.5%163.8%
Expected Move26.9%1.9%55.6%2.5%3.0%
HV 20d8.0%4.0%9.1%4.0%9.1%
HV 60d7.0%6.3%7.3%6.3%6.5%
IV Rank47.0%2.1%97.1%78.2%81.8%
IV Percentile53.4%3.2%94.8%75.4%78.2%
Term Structure-26.7%-173.3%152.6%144.3%-46.5%
Skew 25d-20.2%-152.8%24.7%-144.4%24.7%
Skew 10d-20.6%-152.8%24.7%-144.4%24.7%
Call IV 25d111.0%6.6%170.5%163.6%170.5%
Put IV 25d90.8%6.6%195.2%19.3%195.2%
Bid-Ask Spread %175.9151.33200.00200.00200.00
Gamma HHI0.600.361.000.370.57
Net GEX-853-2.6K-185-201-768
Net DEX14.1K8.8K17.0K8.8K16.4K
Net VEX-78-98-43-45-94
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.50700
Total OI17.81811211121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$22.77$0.00156.5%0.0%4.0%78.2%0.0%-144.4%144.3%-2018.8K-450.00200.00N/AN/A00011
2019-08-02$22.71$0.008.9%2.5%4.1%3.9%0.0%-146.8%152.6%-2158.9K-440.00200.00N/AN/A00011
2019-08-05$22.32$22.005.4%48.5%7.4%2.1%0.0%0.0%-68.4%-1859.0K-430.00200.00N/AN/A07011
2019-08-06$22.44$22.0010.8%2.3%7.7%4.9%0.0%0.2%-1.6%-2.0K11.6K-600.00114.93N/AN/A00017
2019-08-07$22.41$22.006.9%49.8%7.2%2.9%0.0%0.9%-72.8%-27314.2K-830.00199.64N/AN/A00017
2019-08-08$22.55$22.00169.7%48.7%7.5%84.9%0.0%2.4%-171.4%-30214.4K-830.00200.00N/AN/A00017
2019-08-09$22.57$22.00171.7%49.2%7.5%85.8%0.0%2.6%-173.3%-28214.1K-820.00198.97N/AN/A00017
2019-08-12$22.45$22.0022.8%3.1%7.7%10.9%0.0%-0.3%-4.1%-2.3K10.9K-500.00120.28N/AN/A00017
2019-08-13$22.49$22.0013.1%53.2%7.7%6.0%0.0%1.8%-81.0%-28814.2K-800.00200.00N/AN/A00017
2019-08-14$22.24$22.00189.3%54.3%8.6%94.7%0.0%-1.0%-84.9%-28714.4K-800.00200.00N/AN/A00017
2019-08-15$22.20$22.009.4%2.7%8.5%4.1%0.0%-2.2%-2.9%-2.0K13.4K-570.00126.53N/AN/A03017
2019-08-16$22.35$22.00194.1%55.6%9.0%97.1%0.0%0.1%-88.5%-33517.0K-980.00200.00N/AN/A00020
2019-08-19$22.31$22.006.6%1.9%8.9%2.7%0.0%-0.6%139.3%-2.6K14.6K-760.0051.33N/AN/A00020
2019-08-20$22.33$22.007.7%2.2%8.9%3.3%0.0%0.2%-1.0%-2.6K14.1K-760.0058.33N/AN/A00020
2019-08-21$22.41$22.00150.3%0.0%8.9%75.1%0.0%-141.8%-49.2%-39316.7K-960.00200.00N/AN/A00020
2019-08-22$22.39$22.00151.7%0.0%8.9%75.7%0.0%23.7%-43.9%-39116.7K-960.00200.00N/AN/A00020
2019-08-23$22.30$22.00153.4%0.0%8.9%76.6%0.0%22.4%-46.5%-39216.9K-950.00200.00N/AN/A00020
2019-08-26$22.28$22.00157.8%0.0%8.9%78.8%0.0%22.6%0.0%-72915.5K-910.00200.00N/AN/A00020
2019-08-27$22.22$22.00159.5%0.0%8.9%79.7%0.0%21.8%0.0%-74615.6K-900.00200.00N/AN/A01020
2019-08-28$22.27$22.00160.9%0.0%9.0%80.4%0.0%22.9%0.0%-76416.5K-950.00200.00N/AN/A00021
2019-08-29$22.34$22.0010.6%3.0%9.1%4.7%0.0%-152.8%0.0%-75516.4K-940.00200.00N/AN/A00021
2019-08-30$22.35$22.00163.8%0.0%9.1%81.8%0.0%24.7%0.0%-76816.4K-940.00200.00N/AN/A00021