PCEF Options History — February 2020 In February 2020, PCEF traded between $21.40 and $23.89. ATM implied volatility averaged 72.8%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 64.9% (HV 20d: 7.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days.
Notable Days 2020-02-28 : Highest Volume — 13 contracts2020-02-18 : Largest IV spike — 3104.9% change2020-02-20 : Highest IV Rank — 98.0%2020-02-20 : Largest Expected Move — 56.2%Monthly Statistics Metric Avg Min Max Open Close Price $23.39 $21.40 $23.89 $23.41 $21.40 Max Pain $23.16 $23.00 $24.00 $24.00 $23.00 ATM IV 72.8% 5.9% 195.9% 7.8% 33.7% Expected Move 23.3% 1.7% 56.2% 2.2% 9.7% HV 20d 7.9% 4.9% 19.5% 5.3% 19.5% HV 60d 5.7% 4.1% 12.3% 4.4% 12.3% IV Rank 35.6% 1.6% 98.0% 2.6% 15.7% IV Percentile 58.3% 7.1% 98.0% 21.8% 68.7% Term Structure -6.8% -98.3% 155.5% 149.4% -10.7% VWIV 25.3% 17.1% 33.5% 17.1% 33.5% Skew 25d -49.1% -182.1% 7.2% -74.3% 7.2% Skew 10d -49.9% -182.1% 2.7% -74.3% -5.1% Call IV 25d 86.1% 5.5% 198.3% 86.3% 26.0% Put IV 25d 37.1% 6.3% 164.3% 12.0% 33.3% Bid-Ask Spread % 159.62 51.47 200.00 200.00 159.84 Gamma HHI 0.70 0.41 0.95 0.88 0.48 Net GEX -1.0K -3.8K -325 -370 -1.7K Net DEX 9.2K 3.3K 33.1K 4.2K 33.1K Net VEX -28 -90 -2 -7 -76 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.737 0 13 0 13 Total OI 8.526 3 21 3 21
Daily Data (19 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 2020-02-03 $23.41 $24.00 7.8% 2.2% 5.3% 2.6% 0.0% -74.3% 149.4% -370 4.2K -7 0.00 200.00 N/A N/A 0 0 0 3 2020-02-04 $23.52 $24.00 11.9% 3.4% 5.6% 4.7% 0.0% 6.1% 155.5% -631 4.3K -6 0.00 112.30 N/A N/A 0 0 0 3 2020-02-05 $23.62 $24.00 10.0% 2.9% 5.7% 3.8% 0.0% 1.5% -2.4% -928 3.9K -5 0.00 56.16 N/A N/A 0 0 0 3 2020-02-06 $23.65 $23.00 11.1% 2.7% 5.6% 4.3% 0.0% 0.1% -2.7% -815 3.8K -6 0.00 136.57 N/A N/A 0 0 0 3 2020-02-07 $23.69 $23.00 7.3% 46.9% 5.6% 2.4% 0.0% -158.4% -70.8% -436 3.8K -7 0.00 200.00 N/A N/A 0 0 0 3 2020-02-10 $23.73 $23.00 7.8% 48.6% 5.6% 2.7% 0.0% -163.7% -75.8% -486 3.8K -6 0.00 200.00 N/A N/A 0 0 0 3 2020-02-11 $23.79 $23.00 9.1% 1.8% 5.7% 3.3% 0.0% 1.5% -0.2% -1.1K 3.3K -4 0.00 51.47 N/A N/A 0 0 0 3 2020-02-12 $23.81 $23.00 173.7% 49.8% 5.7% 86.8% 0.0% -166.8% -79.2% -533 3.7K -6 0.00 200.00 N/A N/A 0 0 0 3 2020-02-13 $23.80 $23.00 176.1% 50.5% 5.5% 88.0% 0.0% 2.1% -81.3% -581 3.7K -6 0.00 200.00 N/A N/A 0 0 0 3 2020-02-14 $23.79 $23.00 5.9% 1.7% 5.5% 1.6% 0.0% 0.7% -0.3% -1.2K 3.7K -4 0.00 75.84 N/A N/A 0 0 0 3 2020-02-18 $23.82 $23.00 189.7% 54.4% 5.5% 94.9% 0.0% -182.1% -93.1% -891 4.0K -4 0.00 200.00 N/A N/A 0 10 0 3 2020-02-19 $23.89 $23.00 192.6% 55.2% 5.1% 96.3% 0.0% -89.3% -95.4% -1.2K 12.4K -54 0.00 200.00 N/A N/A 0 0 0 13 2020-02-20 $23.89 $23.00 195.9% 56.2% 4.9% 98.0% 0.0% -89.7% -98.3% -1.4K 12.5K -53 0.00 200.00 N/A N/A 0 0 0 13 2020-02-21 $23.82 $23.00 10.1% 2.9% 5.1% 3.8% 0.0% -5.1% -3.6% -920 5.3K -2 0.00 131.38 N/A N/A 0 2 0 13 2020-02-24 $23.24 $23.00 150.7% 0.0% 10.2% 75.1% 0.0% 2.0% 0.0% -325 11.7K -64 0.00 200.00 N/A N/A 0 4 0 13 2020-02-25 $22.65 $23.00 12.5% 3.6% 13.4% 5.0% 0.0% -7.7% 148.5% -1.3K 18.2K -76 0.00 188.89 N/A N/A 0 2 0 17 2020-02-26 $22.76 $23.00 13.5% 3.9% 13.4% 5.5% 17.1% 1.8% -0.3% -3.8K 18.3K -65 0.00 135.09 N/A N/A 0 1 0 19 2020-02-27 $22.05 $23.00 163.9% 0.0% 17.0% 81.8% 0.0% -18.1% 38.7% -570 21.6K -90 0.00 185.31 N/A N/A 0 1 0 20 2020-02-28 $21.40 $23.00 33.7% 9.7% 19.5% 15.7% 33.5% 7.2% -10.7% -1.7K 33.1K -76 0.00 159.84 N/A N/A 0 13 0 21
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