PCEF Options History — January 2020 In January 2020, PCEF traded between $23.31 and $23.62. ATM implied volatility averaged 54.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 50.6% (HV 20d: 4.2%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2020-01-30 : Highest Volume — 2 contracts2020-01-14 : Largest IV spike — 1550.0% change2020-01-17 : Highest IV Rank — 89.6%2020-01-17 : Largest Expected Move — 51.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.47 $23.31 $23.62 $23.36 $23.38 Max Pain $22.67 $22.00 $24.00 $22.00 $24.00 ATM IV 54.8% 6.2% 179.2% 10.6% 10.7% Expected Move 19.5% 1.8% 51.4% 3.0% 3.1% HV 20d 4.2% 3.7% 5.4% 3.8% 5.4% HV 60d 3.9% 3.6% 4.4% 3.7% 4.4% IV Rank 26.5% 1.9% 89.6% 4.1% 4.1% IV Percentile 56.0% 10.7% 92.9% 42.1% 45.2% Term Structure 8.8% -84.0% 144.5% -2.2% 117.3% Skew 25d -56.4% -151.3% 22.6% 5.9% -151.3% Skew 10d -54.6% -151.3% 22.6% 6.4% -151.3% Call IV 25d 75.6% 5.1% 174.7% 6.8% 162.8% Put IV 25d 19.2% 4.3% 197.2% 12.7% 11.5% Bid-Ask Spread % 170.29 77.80 200.00 105.20 200.00 Gamma HHI 0.87 0.53 1.00 0.94 0.86 Net GEX -197 -688 -21 -688 -331 Net DEX 1.0K 465 4.1K 538 4.1K Net VEX -4 -7 -2 -2 -7 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.095 0 2 0 0 Total OI 1.667 1 3 2 3
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 2020-01-02 $23.36 $22.00 10.6% 3.0% 3.8% 4.1% 0.0% 5.9% -2.2% -688 538 -2 0.00 105.20 N/A N/A 0 0 0 2 2020-01-03 $23.32 $22.00 9.6% 2.7% 3.8% 3.6% 0.0% -7.4% -4.2% -374 935 -4 0.00 121.26 N/A N/A 0 0 0 2 2020-01-06 $23.31 $0.00 9.2% 1.8% 3.8% 3.4% 0.0% 0.3% -1.1% -463 831 -3 0.00 77.80 N/A N/A 0 0 0 2 2020-01-07 $23.36 $0.00 13.7% 2.7% 3.9% 5.6% 0.0% 0.9% -1.8% -340 941 -4 0.00 200.00 N/A N/A 0 0 0 2 2020-01-08 $23.43 $0.00 13.8% 2.7% 3.9% 5.7% 0.0% 0.5% -1.9% -335 830 -3 0.00 141.50 N/A N/A 0 0 0 2 2020-01-09 $23.43 $0.00 7.1% 35.3% 3.8% 2.3% 0.0% 22.6% -35.4% -107 1.3K -5 0.00 200.00 N/A N/A 0 0 0 2 2020-01-10 $23.43 $0.00 21.3% 2.2% 3.7% 9.5% 0.0% -5.5% -2.0% -336 829 -3 0.00 113.05 N/A N/A 0 0 0 2 2020-01-13 $23.46 $0.00 10.4% 50.2% 3.7% 4.0% 0.0% -131.5% -39.7% -82 1.1K -4 0.00 200.00 N/A N/A 0 0 0 2 2020-01-14 $23.51 $0.00 172.4% 49.4% 3.7% 86.1% 0.0% -130.2% -41.7% -61 1.0K -4 0.00 200.00 N/A N/A 0 0 0 2 2020-01-15 $23.62 $0.00 174.3% 50.0% 3.9% 87.1% 0.0% -129.7% -42.7% -34 962 -4 0.00 200.00 N/A N/A 0 0 0 2 2020-01-16 $23.62 $0.00 51.1% 14.7% 3.8% 24.6% 0.0% -28.9% -84.0% -260 639 -3 0.00 200.00 N/A N/A 0 0 0 2 2020-01-17 $23.62 $0.00 179.2% 51.4% 3.8% 89.6% 0.0% -131.8% -45.6% -21 951 -4 0.00 200.00 N/A N/A 0 0 0 2 2020-01-21 $23.49 $0.00 100.0% 28.7% 4.4% 49.4% 0.0% 1.8% -50.7% -23 956 -4 0.00 200.00 N/A N/A 0 0 0 1 2020-01-22 $23.59 $0.00 6.2% 1.8% 4.5% 1.9% 0.0% 4.9% -0.8% -274 465 -3 0.00 105.73 N/A N/A 0 0 0 1 2020-01-23 $23.61 $0.00 9.4% 2.7% 3.8% 3.5% 0.0% -0.0% 0.8% -200 657 -3 0.00 111.50 N/A N/A 0 0 0 1 2020-01-24 $23.53 $0.00 101.3% 29.0% 4.1% 50.0% 0.0% 5.6% 139.2% -49 996 -4 0.00 200.00 N/A N/A 0 0 0 1 2020-01-27 $23.34 $0.00 10.9% 0.0% 5.2% 4.2% 0.0% -146.0% 0.6% -58 1.0K -3 0.00 200.00 N/A N/A 0 0 0 1 2020-01-28 $23.41 $0.00 10.5% 0.0% 5.3% 4.1% 0.0% -69.8% -5.7% -54 1.0K -3 0.00 200.00 N/A N/A 0 0 0 1 2020-01-29 $23.51 $0.00 149.0% 0.0% 5.4% 74.2% 0.0% -146.3% 144.5% -21 943 -3 0.00 200.00 N/A N/A 0 0 0 1 2020-01-30 $23.47 $0.00 80.3% 0.0% 5.3% 39.4% 0.0% -148.4% 141.3% -24 961 -3 0.00 200.00 N/A N/A 0 2 0 1 2020-01-31 $23.38 $24.00 10.7% 3.1% 5.4% 4.1% 0.0% -151.3% 117.3% -331 4.1K -7 0.00 200.00 N/A N/A 0 0 0 3
« Dec 2019 | All History | Feb 2020 » Home PCEF History January 2020