PCEF Options History — October 2019 In October 2019, PCEF traded between $22.38 and $22.62. ATM implied volatility averaged 21.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 16.9% (HV 20d: 4.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2019-10-11 : Highest Volume — 5 contracts2019-10-08 : Largest IV spike — 2046.3% change2019-10-08 : Highest IV Rank — 93.1%2019-10-08 : Largest Expected Move — 53.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.53 $22.38 $22.62 $22.57 $22.62 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 21.4% 7.5% 186.1% 11.3% 8.5% Expected Move 10.4% 2.1% 53.3% 3.2% 2.4% HV 20d 4.5% 3.1% 4.7% 4.4% 3.1% HV 60d 6.1% 5.1% 6.4% 6.2% 5.1% IV Rank 10.2% 3.2% 93.1% 5.1% 3.7% IV Percentile 32.8% 16.3% 89.7% 33.3% 21.0% Term Structure -9.1% -49.8% -1.6% -4.1% -2.4% Skew 25d -4.9% -154.4% 12.3% -2.4% 2.3% Skew 10d -7.7% -154.4% 7.3% -5.6% -1.1% Call IV 25d 43.4% 4.1% 188.0% 12.2% 7.1% Put IV 25d 38.4% 6.2% 195.3% 9.8% 9.3% Bid-Ask Spread % 144.30 57.75 200.00 109.60 62.06 Gamma HHI 0.54 0.30 1.00 0.44 0.70 Net GEX 143 -672 1.1K -645 1.1K Net DEX 2.1K -1.8K 6.2K 4.3K 234 Net VEX -17 -36 -3 -5 -12 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.217 0 5 0 0 Total OI 8.435 1 11 6 10
Daily Data (23 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 2019-10-01 $22.57 $23.00 11.3% 3.2% 4.4% 5.1% 0.0% -2.4% -4.1% -645 4.3K -5 0.00 109.60 N/A N/A 0 0 0 6 2019-10-02 $22.39 $23.00 11.3% 3.2% 4.7% 5.1% 0.0% -4.2% -4.0% -536 4.8K -5 0.00 117.73 N/A N/A 0 0 0 6 2019-10-03 $22.39 $0.00 11.7% 2.5% 4.5% 5.3% 0.0% 0.1% -1.7% -540 4.8K -5 0.00 130.52 N/A N/A 0 0 0 6 2019-10-04 $22.46 $0.00 9.6% 50.6% 4.6% 4.2% 0.0% 7.3% -44.0% -271 6.0K -21 0.00 200.00 N/A N/A 0 0 0 6 2019-10-07 $22.44 $0.00 8.7% 52.6% 4.6% 3.8% 0.0% 3.9% -48.1% -282 6.0K -20 0.00 200.00 N/A N/A 0 0 0 6 2019-10-08 $22.38 $0.00 186.1% 53.3% 4.6% 93.1% 0.0% 3.0% -49.8% -283 6.2K -20 0.00 200.00 N/A N/A 0 0 0 6 2019-10-09 $22.45 $0.00 9.8% 2.8% 4.6% 4.3% 0.0% 0.0% -5.4% -78 969 -4 0.00 200.00 N/A N/A 0 0 0 1 2019-10-10 $22.46 $0.00 11.3% 3.2% 4.5% 5.1% 0.0% 0.8% -3.0% -532 4.7K -5 0.00 148.89 N/A N/A 0 0 0 6 2019-10-11 $22.53 $0.00 95.9% 27.5% 4.7% 47.7% 0.0% 12.3% -2.2% -672 4.2K -3 0.00 200.00 N/A N/A 5 0 0 6 2019-10-14 $22.52 $0.00 10.2% 2.9% 4.7% 4.5% 0.0% 0.0% -5.8% 288 2.5K -14 0.00 125.90 N/A N/A 0 0 5 6 2019-10-15 $22.56 $0.00 11.4% 3.3% 4.7% 5.1% 0.0% 1.1% -2.6% -134 1.6K -34 0.00 121.39 N/A N/A 0 0 5 6 2019-10-16 $22.54 $0.00 11.6% 3.3% 4.7% 5.2% 0.0% 2.5% -3.8% 391 1.4K -20 0.00 149.30 N/A N/A 0 0 5 6 2019-10-17 $22.61 $0.00 10.9% 3.1% 4.7% 4.9% 0.0% 3.1% -3.7% 397 1.2K -19 0.00 146.32 N/A N/A 0 0 5 6 2019-10-18 $22.61 $0.00 7.9% 2.3% 4.7% 3.4% 0.0% 6.7% -3.8% 15 377 -36 0.00 200.00 N/A N/A 0 0 5 6 2019-10-21 $22.51 $0.00 7.9% 2.3% 4.5% 3.4% 0.0% 1.7% -1.6% 147 -209 -31 0.00 128.99 N/A N/A 0 0 5 5 2019-10-22 $22.54 $0.00 7.6% 2.2% 4.5% 3.2% 0.0% 2.1% -1.6% 694 16 -17 0.00 81.98 N/A N/A 0 0 5 5 2019-10-23 $22.56 $0.00 11.4% 3.3% 4.5% 5.1% 0.0% -0.1% -3.6% 679 278 -16 0.00 138.13 N/A N/A 0 0 5 5 2019-10-24 $22.58 $0.00 7.5% 2.1% 4.5% 3.2% 0.0% 6.0% -1.7% 961 447 -13 0.00 110.44 N/A N/A 0 0 5 5 2019-10-25 $22.60 $0.00 11.4% 3.3% 4.5% 5.2% 0.0% -0.9% -4.3% 892 -343 -17 0.00 144.30 N/A N/A 0 0 5 5 2019-10-28 $22.57 $0.00 8.2% 2.4% 4.4% 3.5% 0.0% 1.3% -2.2% 918 515 -12 0.00 57.75 N/A N/A 0 0 5 5 2019-10-29 $22.60 $0.00 12.7% 3.6% 4.3% 5.8% 0.0% -1.2% -5.1% 769 -703 -18 0.00 145.56 N/A N/A 0 0 5 5 2019-10-30 $22.62 $0.00 9.2% 2.6% 3.1% 4.0% 0.0% -154.4% -5.2% 15 -1.8K -33 0.00 200.00 N/A N/A 0 0 5 5 2019-10-31 $22.62 $0.00 8.5% 2.4% 3.1% 3.7% 0.0% 2.3% -2.4% 1.1K 234 -12 0.00 62.06 N/A N/A 0 0 5 5
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