PCEF Options History — September 2019 In September 2019, PCEF traded between $22.32 and $22.78. ATM implied volatility averaged 87.3%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 82.2% (HV 20d: 5.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2019-09-05 : Highest Volume — 10 contracts2019-09-30 : Largest IV spike — 2589.3% change2019-09-18 : Highest IV Rank — 99.3%2019-09-18 : Largest Expected Move — 56.9%Monthly Statistics Metric Avg Min Max Open Close Price $22.62 $22.32 $22.78 $22.32 $22.61 Max Pain $22.71 $22.00 $23.00 $22.00 $23.00 ATM IV 87.3% 5.3% 198.5% 12.6% 164.1% Expected Move 21.3% 1.5% 56.9% 3.6% 1.7% HV 20d 5.1% 4.1% 7.0% 6.7% 4.4% HV 60d 6.4% 6.2% 6.6% 6.4% 6.2% IV Rank 43.4% 2.1% 99.3% 5.7% 82.0% IV Percentile 51.4% 3.2% 98.4% 38.5% 77.4% Term Structure -57.7% -192.3% 150.3% -4.4% -0.7% VWIV 6.0% 6.0% 6.0% 6.0% 6.0% Skew 25d -5.1% -172.3% 9.8% -2.7% 9.8% Skew 10d -5.1% -172.3% 9.8% -6.4% 9.8% Call IV 25d 67.9% 6.2% 191.2% 14.4% 177.6% Put IV 25d 62.8% 7.0% 187.5% 11.7% 187.5% Bid-Ask Spread % 143.05 18.83 200.00 108.18 200.00 Gamma HHI 0.67 0.33 0.97 0.97 0.45 Net GEX -816 -3.7K -239 -3.7K -261 Net DEX 6.8K 2.3K 16.6K 16.6K 5.8K Net VEX -27 -91 0 -60 -22 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.55 0 10 0 0 Total OI 11.4 5 21 21 6
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 2019-09-03 $22.32 $22.00 12.6% 3.6% 6.7% 5.7% 0.0% -2.7% -4.4% -3.7K 16.6K -60 0.00 108.18 N/A N/A 0 0 0 21 2019-09-04 $22.48 $22.00 172.2% 0.0% 6.9% 86.1% 0.0% 3.1% 0.0% -780 15.9K -91 0.00 200.00 N/A N/A 0 0 0 21 2019-09-05 $22.56 $0.00 13.5% 2.6% 7.0% 6.2% 0.0% 0.8% -4.8% -2.3K 14.7K -73 0.00 129.38 N/A N/A 0 10 0 21 2019-09-06 $22.60 $0.00 171.4% 49.1% 6.6% 85.7% 0.0% 4.5% -172.6% -711 14.5K -85 0.00 200.00 N/A N/A 0 0 0 20 2019-09-09 $22.62 $0.00 15.1% 2.6% 6.6% 7.0% 0.0% 0.9% -5.0% -842 3.8K -8 0.00 129.49 N/A N/A 0 0 0 11 2019-09-10 $22.63 $0.00 180.1% 51.6% 6.3% 90.1% 0.0% 4.9% -181.3% -596 6.4K -27 0.00 200.00 N/A N/A 0 0 0 11 2019-09-11 $22.71 $0.00 182.2% 52.2% 6.4% 91.1% 0.0% -172.3% -182.9% -564 5.0K -24 0.00 200.00 N/A N/A 0 0 0 11 2019-09-12 $22.74 $0.00 184.6% 52.9% 4.7% 92.3% 0.0% 6.3% -185.1% -573 6.0K -26 0.00 200.00 N/A N/A 0 0 0 11 2019-09-13 $22.69 $0.00 6.9% 2.0% 4.7% 2.9% 0.0% 0.6% -1.2% -480 2.6K -2 0.00 42.23 N/A N/A 0 0 0 11 2019-09-16 $22.70 $0.00 98.2% 28.2% 4.2% 48.8% 0.0% 6.9% -1.4% -786 4.0K -8 0.00 200.00 N/A N/A 0 0 0 11 2019-09-17 $22.70 $0.00 100.3% 28.8% 4.1% 49.9% 0.0% 0.0% -2.5% -901 5.2K -20 0.00 176.94 N/A N/A 0 0 0 11 2019-09-18 $22.71 $0.00 198.5% 56.9% 4.1% 99.3% 0.0% 6.7% -190.0% -599 5.3K -23 0.00 200.00 N/A N/A 0 0 0 11 2019-09-19 $22.78 $0.00 58.1% 0.0% 4.1% 28.6% 0.0% 7.6% -192.3% -460 4.8K -22 0.00 200.00 N/A N/A 0 0 0 11 2019-09-20 $22.75 $0.00 5.3% 1.5% 4.1% 2.1% 0.0% 7.1% -2.7% -601 2.9K -10 0.00 18.83 N/A N/A 0 0 0 11 2019-09-23 $22.62 $0.00 6.1% 1.7% 4.4% 2.5% 6.0% 1.4% 150.3% -316 2.3K 0 0.00 40.34 N/A N/A 0 1 0 5 2019-09-24 $22.57 $23.00 154.5% 0.0% 4.5% 77.2% 0.0% 8.7% 0.0% -239 5.8K -23 0.00 200.00 N/A N/A 0 0 0 6 2019-09-25 $22.55 $23.00 10.8% 3.1% 4.4% 4.9% 0.0% -1.2% -2.9% -696 4.2K -4 0.00 125.67 N/A N/A 0 0 0 6 2019-09-26 $22.55 $23.00 6.1% 1.7% 4.3% 2.5% 0.0% 1.7% -0.5% -305 4.2K -1 0.00 25.99 N/A N/A 0 0 0 6 2019-09-27 $22.53 $23.00 6.1% 1.7% 4.2% 2.5% 0.0% 2.4% -0.7% -616 6.3K -20 0.00 63.92 N/A N/A 0 0 0 6 2019-09-30 $22.61 $23.00 164.1% 0.0% 4.4% 82.0% 0.0% 9.8% 0.0% -261 5.8K -22 0.00 200.00 N/A N/A 0 0 0 6
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