PCEF Options History — March 2020 In March 2020, PCEF traded between $14.35 and $22.69. ATM implied volatility averaged 53.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 11.0% (HV 20d: 64.1%). Max pain ranged from $16.00 to $23.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.23.
Notable Days 2020-03-23 : Highest Volume — 21 contracts2020-03-03 : Largest IV spike — 468.6% change2020-03-03 : Highest IV Rank — 85.3%2020-03-31 : Largest Expected Move — 28.2%Monthly Statistics Metric Avg Min Max Open Close Price $18.42 $14.35 $22.69 $22.12 $17.61 Max Pain $21.05 $16.00 $23.00 $23.00 $16.00 ATM IV 53.1% 20.7% 170.8% 30.0% 98.3% Expected Move 12.8% 4.6% 28.2% 8.6% 28.2% HV 20d 64.1% 23.6% 105.6% 23.6% 104.6% HV 60d 38.3% 14.2% 61.5% 14.2% 61.5% IV Rank 25.6% 9.1% 85.3% 13.9% 48.5% IV Percentile 69.8% 66.3% 87.3% 68.3% 77.0% Term Structure 3.5% -38.9% 150.9% -9.8% -38.9% VWIV 39.5% 18.1% 60.1% 18.1% 60.1% Skew 25d -3.5% -78.0% 30.3% -38.8% -78.0% Skew 10d -0.4% -53.3% 43.3% -0.5% -53.3% Call IV 25d 56.4% 19.4% 149.6% 75.9% 111.5% Put IV 25d 52.9% 9.4% 130.4% 37.1% 33.4% Bid-Ask Spread % 144.43 125.16 187.88 159.42 146.10 Gamma HHI 0.35 0.17 0.56 0.54 0.24 Net GEX -1.2K -4.4K 478 -3.2K 150 Net DEX 67.0K 35.6K 94.7K 41.8K 40.0K Net VEX -126 -201 -9 -133 -170 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.23 0.00 0.91 0.00 0.00 Total Volume 3.864 0 21 2 10 Total OI 59.636 32 85 32 85
Daily Data (22 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 2020-03-02 $22.12 $23.00 30.0% 8.6% 23.6% 13.9% 0.0% -38.8% -9.8% -3.2K 41.8K -133 0.00 159.42 N/A N/A 0 2 0 32 2020-03-03 $22.22 $23.00 170.8% 0.0% 23.7% 85.3% 0.0% 8.8% 150.9% -1.3K 35.6K -147 0.00 187.88 N/A N/A 0 0 0 33 2020-03-04 $22.69 $23.00 20.7% 5.9% 25.1% 9.1% 0.0% -21.1% 0.1% -2.2K 38.4K -146 0.00 155.74 N/A N/A 0 11 0 33 2020-03-05 $22.23 $22.00 25.0% 4.6% 25.8% 11.3% 18.1% 1.4% 1.0% -4.4K 63.1K -175 0.00 158.06 N/A N/A 0 5 0 44 2020-03-06 $21.95 $22.00 27.0% 4.9% 26.0% 12.3% 0.0% 2.5% -0.3% -4.3K 69.5K -192 0.00 157.10 N/A N/A 0 0 0 49 2020-03-09 $20.72 $22.00 49.4% 8.3% 32.1% 23.7% 0.0% 3.9% -9.5% -2.4K 84.0K -122 0.00 151.01 N/A N/A 0 5 0 49 2020-03-10 $20.85 $22.00 52.4% 8.4% 32.3% 25.2% 0.0% 11.7% -10.3% -2.9K 89.8K -139 0.00 148.51 N/A N/A 0 0 0 54 2020-03-11 $19.89 $22.00 40.9% 0.0% 35.2% 19.4% 0.0% -22.6% 110.4% -1.1K 65.8K -201 0.00 187.15 N/A N/A 0 1 0 54 2020-03-12 $17.96 $22.00 41.0% 11.8% 48.0% 19.4% 0.0% 0.3% -14.7% -702 93.8K -49 0.00 133.11 N/A N/A 0 1 0 55 2020-03-13 $18.60 $22.00 39.7% 11.4% 50.9% 18.8% 0.0% 9.3% -13.8% -1.1K 94.7K -81 0.00 140.70 N/A N/A 0 0 0 56 2020-03-16 $17.12 $22.00 55.2% 15.8% 56.5% 26.6% 0.0% 7.7% -20.9% -559 90.9K -51 0.00 137.94 N/A N/A 0 0 0 56 2020-03-17 $17.27 $22.00 41.3% 11.9% 56.8% 19.6% 40.2% -2.1% -8.8% -662 86.8K -96 0.00 127.12 N/A N/A 0 3 0 56 2020-03-18 $14.35 $22.00 62.7% 18.0% 82.1% 30.4% 0.0% 1.6% -23.9% -102 83.8K -9 0.00 125.16 N/A N/A 5 0 0 59 2020-03-19 $15.32 $22.00 68.7% 19.7% 87.9% 33.5% 0.0% -0.1% -20.3% -280 84.7K -72 0.00 130.82 N/A N/A 0 0 5 60 2020-03-20 $15.70 $22.00 53.5% 15.3% 89.2% 25.8% 0.0% -7.2% -20.0% -410 83.2K -98 0.00 135.48 N/A N/A 0 10 5 60 2020-03-23 $14.38 $22.00 66.2% 19.0% 92.3% 32.2% 0.0% 8.2% 8.6% -458 73.0K -69 0.91 134.08 N/A N/A 11 10 5 59 2020-03-24 $15.50 $22.00 64.8% 18.6% 98.8% 31.5% 0.0% 12.6% -7.8% -221 64.8K -132 0.00 133.29 N/A N/A 0 0 16 58 2020-03-25 $16.77 $22.00 40.6% 11.6% 104.5% 19.2% 60.1% 30.3% 6.8% -342 60.6K -159 0.00 132.13 N/A N/A 11 0 16 58 2020-03-26 $17.32 $16.00 33.9% 9.7% 105.6% 15.8% 0.0% -6.4% 5.1% 478 41.0K -175 0.00 131.25 N/A N/A 0 0 27 58 2020-03-27 $17.30 $16.00 39.1% 11.2% 105.4% 18.5% 0.0% -8.3% 2.2% 76 44.6K -186 0.00 135.47 N/A N/A 0 0 27 58 2020-03-30 $17.43 $16.00 47.1% 13.5% 104.4% 22.5% 0.0% 8.5% -8.6% 124 44.7K -165 0.00 130.00 N/A N/A 0 0 27 58 2020-03-31 $17.61 $16.00 98.3% 28.2% 104.6% 48.5% 0.0% -78.0% -38.9% 150 40.0K -170 0.00 146.10 N/A N/A 10 0 27 58
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