PCEF Options History — November 2019 In November 2019, PCEF traded between $22.66 and $22.88. ATM implied volatility averaged 17.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 14.1% (HV 20d: 3.7%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days.
Notable Days 2019-11-04 : Highest Volume — 1 contracts2019-11-13 : Largest IV spike — 474.2% change2019-11-14 : Highest IV Rank — 46.1%2019-11-14 : Largest Expected Move — 26.6%Monthly Statistics Metric Avg Min Max Open Close Price $22.76 $22.66 $22.88 $22.74 $22.82 Max Pain $22.58 $21.00 $23.00 $23.00 $21.00 ATM IV 17.8% 4.1% 92.7% 13.6% 5.4% Expected Move 6.7% 1.2% 26.6% 3.9% 1.5% HV 20d 3.7% 3.1% 4.2% 3.5% 4.2% HV 60d 4.3% 4.0% 5.0% 5.0% 4.0% IV Rank 8.2% 0.8% 46.1% 6.3% 1.4% IV Percentile 30.7% 0.8% 63.1% 47.6% 4.0% Term Structure 42.3% -5.1% 147.4% -5.1% 2.1% VWIV 20.0% 20.0% 20.0% 20.0% 20.0% Skew 25d -22.4% -166.5% 15.1% 4.5% 3.3% Skew 10d -24.8% -166.5% 10.5% 1.2% 0.3% Call IV 25d 51.5% 3.2% 182.4% 13.1% 5.3% Put IV 25d 29.2% 4.8% 170.4% 17.6% 8.7% Bid-Ask Spread % 141.15 54.72 200.00 149.87 80.34 Gamma HHI 0.76 0.37 1.00 0.68 0.99 Net GEX 1.1K -135 2.6K 909 2.0K Net DEX -2.0K -4.3K 319 -1.5K -4.3K Net VEX -16 -30 -2 -18 -11 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.05 0 1 0 0 Total OI 8.85 3 10 10 8
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 2019-11-01 $22.74 $0.00 13.6% 3.9% 3.5% 6.3% 0.0% 4.5% -5.1% 909 -1.5K -18 0.00 149.87 N/A N/A 0 0 5 5 2019-11-04 $22.79 $23.00 13.1% 2.0% 3.4% 6.0% 20.0% 11.2% 2.8% 1.0K -1.7K -17 0.00 141.10 N/A N/A 0 1 5 5 2019-11-05 $22.77 $23.00 8.6% 1.5% 3.3% 3.7% 0.0% 5.4% 1.7% 1.9K -610 -13 0.00 54.72 N/A N/A 0 0 5 5 2019-11-06 $22.72 $23.00 11.1% 24.0% 3.3% 5.0% 0.0% -164.6% 97.1% 14 -1.9K -30 0.00 200.00 N/A N/A 0 0 5 5 2019-11-07 $22.72 $23.00 9.8% 24.3% 3.3% 4.3% 0.0% -166.5% 97.5% 14 -1.9K -30 0.00 200.00 N/A N/A 0 0 5 5 2019-11-08 $22.79 $23.00 17.4% 2.2% 3.3% 8.1% 0.0% 11.9% 2.2% 991 -1.7K -17 0.00 141.92 N/A N/A 0 0 5 5 2019-11-11 $22.82 $23.00 13.8% 1.6% 3.3% 6.3% 0.0% 5.7% 1.7% 2.2K -857 -12 0.00 58.29 N/A N/A 0 0 5 4 2019-11-12 $22.82 $23.00 15.9% 1.6% 3.3% 7.4% 0.0% 5.7% 1.7% 2.2K -905 -12 0.00 57.88 N/A N/A 0 0 5 4 2019-11-13 $22.84 $23.00 91.4% 26.2% 3.2% 45.4% 0.0% -103.4% 99.3% 31 -3.0K -25 0.00 200.00 N/A N/A 0 0 5 4 2019-11-14 $22.84 $23.00 92.7% 26.6% 3.1% 46.1% 0.0% -103.8% 99.6% 31 -3.0K -25 0.00 200.00 N/A N/A 0 0 5 4 2019-11-15 $22.88 $23.00 5.4% 1.6% 3.1% 2.1% 0.0% 5.7% 1.2% 2.6K -1.3K -12 0.00 62.54 N/A N/A 0 0 5 4 2019-11-18 $22.69 $23.00 7.5% 2.1% 4.1% 3.2% 0.0% 2.9% 142.7% 1.4K -1.5K -13 0.00 134.97 N/A N/A 0 0 5 4 2019-11-19 $22.69 $23.00 8.1% 2.3% 4.1% 3.5% 0.0% 14.7% 3.1% 1.1K -1.9K -14 0.00 200.00 N/A N/A 0 0 5 4 2019-11-20 $22.66 $23.00 8.2% 2.3% 4.1% 3.5% 0.0% 15.1% 3.1% 1.1K -1.7K -13 0.00 143.79 N/A N/A 0 0 5 4 2019-11-21 $22.66 $23.00 4.3% 1.2% 4.1% 0.9% 0.0% 9.7% 146.4% 41 -2.6K -22 0.00 200.00 N/A N/A 0 0 5 4 2019-11-22 $22.71 $23.00 4.1% 1.2% 4.2% 0.8% 0.0% 10.5% 147.4% 432 -2.1K -19 0.00 200.00 N/A N/A 0 0 5 4 2019-11-25 $22.74 $21.00 5.3% 1.5% 4.2% 1.4% 0.0% 4.5% 2.1% 2.3K -3.0K -9 0.00 63.23 N/A N/A 0 0 5 3 2019-11-26 $22.76 $21.00 8.3% 2.4% 4.2% 2.9% 0.0% 2.5% 3.2% 1.7K -4.1K -11 0.00 134.31 N/A N/A 0 0 5 3 2019-11-27 $22.76 $21.00 12.7% 3.7% 4.2% 5.2% 0.0% 0.0% -4.8% -135 319 -2 0.00 200.00 N/A N/A 0 0 0 3 2019-11-29 $22.82 $21.00 5.4% 1.5% 4.2% 1.4% 0.0% 3.3% 2.1% 2.0K -4.3K -11 0.00 80.34 N/A N/A 0 0 5 3
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