PCEF Options History — December 2019 In December 2019, PCEF traded between $22.76 and $23.29. ATM implied volatility averaged 60.4%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 56.7% (HV 20d: 3.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2019-12-18 : Highest Volume — 5 contracts2019-12-06 : Largest IV spike — 6194.5% change2019-12-18 : Highest IV Rank — 100.0%2019-12-18 : Largest Expected Move — 57.3%Monthly Statistics Metric Avg Min Max Open Close Price $23.05 $22.76 $23.29 $22.78 $23.27 Max Pain $21.79 $21.00 $22.00 $21.00 $22.00 ATM IV 60.4% 2.7% 199.8% 5.9% 10.2% Expected Move 17.0% 1.7% 57.3% 1.7% 2.9% HV 20d 3.7% 2.6% 4.2% 3.9% 3.8% HV 60d 4.0% 3.7% 4.1% 4.0% 3.7% IV Rank 29.3% 0.1% 100.0% 1.7% 3.9% IV Percentile 48.4% 0.4% 100.0% 6.3% 38.9% Term Structure 27.8% -83.3% 160.4% 160.4% -4.2% VWIV 9.6% 9.6% 9.6% 9.6% 9.6% Skew 25d -24.6% -176.3% 17.1% 12.7% 0.4% Skew 10d -25.3% -176.3% 16.5% 12.7% 1.2% Call IV 25d 84.6% 5.9% 188.9% 175.6% 7.9% Put IV 25d 60.0% 6.2% 197.6% 188.3% 8.4% Bid-Ask Spread % 172.51 89.79 200.00 200.00 112.58 Gamma HHI 0.82 0.52 1.00 0.71 0.73 Net GEX 936 -353 2.3K 688 -333 Net DEX -3.5K -9.8K 1.8K -4.2K 1.1K Net VEX -8 -13 -4 -13 -4 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 0.333 0 5 0 0 Total OI 6.762 2 10 8 2
Daily Data (21 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 2019-12-02 $22.78 $21.00 5.9% 1.7% 3.9% 1.7% 0.0% 12.7% 160.4% 688 -4.2K -13 0.00 200.00 N/A N/A 0 0 5 3 2019-12-03 $22.76 $21.00 10.5% 3.0% 3.8% 4.0% 0.0% 0.9% 1.5% 1.4K -4.3K -10 0.00 124.22 N/A N/A 0 0 5 3 2019-12-04 $22.85 $21.00 9.7% 2.8% 4.1% 3.6% 0.0% 17.1% 2.6% 1.3K -4.9K -10 0.00 200.00 N/A N/A 0 0 5 3 2019-12-05 $22.86 $0.00 2.7% 48.4% 4.0% 0.1% 0.0% 14.5% -59.1% 838 -4.6K -12 0.00 200.00 N/A N/A 0 0 5 3 2019-12-06 $22.90 $0.00 170.6% 48.9% 4.0% 85.2% 0.0% 15.4% -60.4% 758 -4.8K -11 0.00 200.00 N/A N/A 0 0 5 3 2019-12-09 $22.91 $0.00 177.0% 50.7% 3.9% 88.4% 0.0% -176.3% -65.3% 910 -5.0K -9 0.00 200.00 N/A N/A 0 0 5 3 2019-12-10 $22.87 $0.00 10.5% 2.7% 3.9% 4.1% 0.0% -0.0% -2.4% 1.9K -4.8K -7 0.00 144.81 N/A N/A 0 0 5 3 2019-12-11 $22.95 $0.00 9.8% 2.8% 4.1% 3.7% 0.0% 0.0% -2.2% 2.2K -5.4K -7 0.00 144.85 N/A N/A 0 0 5 3 2019-12-12 $22.99 $0.00 183.8% 52.7% 4.1% 91.9% 0.0% -114.6% -70.4% 1.1K -5.5K -8 0.00 200.00 N/A N/A 0 0 5 3 2019-12-13 $23.01 $0.00 9.2% 2.6% 4.1% 3.4% 9.6% -1.3% -1.6% 2.3K -6.0K -6 0.00 145.51 N/A N/A 0 2 5 3 2019-12-16 $23.09 $22.00 6.8% 1.9% 4.2% 2.2% 0.0% 4.5% -0.5% 1.6K -5.4K -9 0.00 89.79 N/A N/A 0 0 5 5 2019-12-17 $23.15 $22.00 10.2% 2.9% 2.7% 3.9% 0.0% 4.2% -3.7% 1.8K -6.2K -8 0.00 137.37 N/A N/A 0 0 5 5 2019-12-18 $23.16 $22.00 199.8% 57.3% 2.7% 100.0% 0.0% -116.3% -83.3% 1.9K -5.4K -10 0.00 200.00 N/A N/A 5 0 5 5 2019-12-19 $23.22 $22.00 13.6% 0.0% 2.6% 5.6% 0.0% -116.2% 110.7% 2.3K -6.6K -9 0.00 200.00 N/A N/A 0 0 5 5 2019-12-20 $23.29 $22.00 115.8% 0.0% 2.7% 57.4% 0.0% -116.0% 111.0% -41 -9.8K -7 0.00 200.00 N/A N/A 0 0 5 5 2019-12-23 $23.15 $22.00 10.3% 2.9% 3.7% 3.9% 0.0% 2.2% 131.1% -353 1.3K -5 0.00 200.00 N/A N/A 0 0 0 2 2019-12-24 $23.18 $22.00 143.2% 0.0% 3.7% 71.3% 0.0% 15.7% 137.4% -54 1.8K -7 0.00 200.00 N/A N/A 0 0 0 2 2019-12-26 $23.20 $22.00 11.4% 3.3% 3.7% 4.5% 0.0% 2.9% -3.3% -334 1.2K -5 0.00 123.59 N/A N/A 0 0 0 2 2019-12-27 $23.21 $22.00 6.8% 1.9% 3.7% 2.2% 0.0% 16.5% 140.7% -109 1.5K -6 0.00 200.00 N/A N/A 0 0 0 2 2019-12-30 $23.18 $22.00 151.2% 0.0% 3.7% 75.4% 0.0% 16.4% 144.5% -112 1.4K -6 0.00 200.00 N/A N/A 0 0 0 2 2019-12-31 $23.27 $22.00 10.2% 2.9% 3.8% 3.9% 0.0% 0.4% -4.2% -333 1.1K -4 0.00 112.58 N/A N/A 0 0 0 2
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