PCEF Options History — April 2020

In April 2020, PCEF traded between $16.45 and $18.95. ATM implied volatility averaged 59.2%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 14.7% (HV 20d: 73.8%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.75.

Notable Days

2020-04-02: Highest Volume — 25 contracts
2020-04-07: Largest IV spike — 192.8% change
2020-04-07: Highest IV Rank — 55.8%
2020-04-21: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.21	$16.45	$18.95	$16.65	$18.86
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	59.2%	34.8%	112.7%	38.3%	53.1%
Expected Move	16.9%	11.0%	23.1%	11.0%	15.2%
HV 20d	73.8%	32.5%	107.0%	104.9%	32.5%
HV 60d	64.6%	62.3%	65.6%	62.3%	65.5%
IV Rank	28.6%	16.3%	55.8%	18.0%	25.6%
IV Percentile	70.5%	65.5%	78.6%	66.3%	67.5%
Term Structure	-12.7%	-30.8%	9.5%	5.9%	-14.7%
VWIV	36.3%	36.3%	36.3%	36.3%	36.3%
Skew 25d	10.3%	-14.2%	35.5%	12.8%	1.8%
Skew 10d	40.2%	-25.2%	74.6%	44.1%	53.7%
Call IV 25d	64.8%	40.6%	100.1%	47.7%	89.4%
Put IV 25d	75.0%	45.7%	103.9%	60.5%	91.3%
Bid-Ask Spread %	155.17	128.55	164.14	128.55	160.30
Gamma HHI	0.24	0.19	0.34	0.26	0.26
Net GEX	-1.2K	-3.1K	197	197	-2.9K
Net DEX	60.8K	47.3K	86.6K	59.4K	86.6K
Net VEX	-159	-280	-85	-85	-237
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.75	0.00	10.00	0.00	10.00
Total Volume	3.905	0	25	5	11
Total OI	85.619	61	103	77	93

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
2020-04-01	$16.65	$16.00	38.3%	11.0%	104.9%	18.0%	36.3%	12.8%	5.9%	197	59.4K	-85	0.00	128.55	N/A	N/A	5	0	19	58
2020-04-02	$16.88	$0.00	38.0%	15.4%	105.4%	17.9%	0.0%	6.8%	-11.9%	-40	55.8K	-130	0.00	150.11	N/A	N/A	0	25	19	58
2020-04-03	$16.45	$0.00	34.8%	15.6%	105.5%	16.3%	0.0%	6.5%	-10.5%	-1.8K	73.3K	-145	0.00	152.09	N/A	N/A	0	0	19	83
2020-04-06	$17.23	$0.00	38.5%	13.2%	106.3%	18.2%	0.0%	6.6%	-11.3%	-1.6K	58.5K	-158	0.00	135.73	N/A	N/A	0	0	19	83
2020-04-07	$17.73	$0.00	112.7%	18.4%	107.0%	55.8%	0.0%	6.0%	-14.5%	-1.2K	57.4K	-151	0.00	164.14	N/A	N/A	0	0	19	83
2020-04-08	$18.30	$0.00	53.4%	15.3%	106.9%	25.7%	0.0%	6.2%	5.2%	-1.3K	57.5K	-190	1.00	163.60	N/A	N/A	1	1	19	83
2020-04-09	$18.91	$0.00	61.5%	17.6%	101.1%	29.8%	0.0%	35.0%	-15.2%	-1.5K	51.7K	-211	0.00	162.78	N/A	N/A	6	0	19	84
2020-04-13	$18.50	$0.00	67.1%	19.2%	100.7%	32.7%	0.0%	21.9%	-19.1%	-1.5K	58.3K	-175	0.00	163.17	N/A	N/A	0	0	17	84
2020-04-14	$18.90	$0.00	65.7%	18.8%	96.0%	32.0%	0.0%	35.5%	-17.9%	-1.5K	53.1K	-183	0.00	162.82	N/A	N/A	0	0	17	84
2020-04-15	$18.69	$0.00	67.6%	19.4%	96.2%	32.9%	0.0%	28.4%	-18.4%	-1.1K	50.5K	-120	0.00	162.89	N/A	N/A	0	0	17	84
2020-04-16	$18.58	$0.00	49.0%	14.0%	65.6%	23.5%	0.0%	1.8%	-14.2%	-739	48.4K	-124	0.00	150.83	N/A	N/A	0	0	17	84
2020-04-17	$18.87	$0.00	48.5%	13.9%	62.6%	23.2%	0.0%	1.8%	-12.8%	-853	47.3K	-136	0.00	149.76	N/A	N/A	0	0	17	84
2020-04-20	$18.45	$0.00	54.2%	15.5%	63.4%	26.1%	0.0%	2.2%	-15.2%	-795	63.3K	-124	0.00	148.78	N/A	N/A	0	0	7	55
2020-04-21	$18.16	$0.00	80.4%	23.1%	53.3%	39.4%	0.0%	32.0%	-22.3%	-851	61.6K	-148	0.00	161.15	N/A	N/A	0	0	7	55
2020-04-22	$18.43	$0.00	77.0%	22.1%	47.8%	37.7%	0.0%	7.3%	-27.0%	-919	60.1K	-154	0.00	161.49	N/A	N/A	0	0	7	55
2020-04-23	$18.40	$0.00	42.6%	12.2%	40.1%	20.2%	0.0%	5.0%	-11.6%	-594	66.4K	-95	0.00	142.15	N/A	N/A	0	0	7	55
2020-04-24	$18.47	$0.00	78.3%	22.4%	38.8%	38.3%	0.0%	5.1%	-26.5%	-922	59.9K	-151	0.00	163.75	N/A	N/A	0	0	7	55
2020-04-27	$18.50	$0.00	57.0%	16.3%	38.7%	27.5%	0.0%	3.2%	-30.8%	-903	63.3K	-138	0.00	162.21	N/A	N/A	0	15	6	55
2020-04-28	$18.54	$0.00	63.3%	18.2%	38.7%	30.7%	0.0%	3.8%	6.0%	-1.3K	74.9K	-203	0.00	157.85	N/A	N/A	0	14	6	69
2020-04-29	$18.95	$0.00	61.7%	17.7%	39.2%	29.9%	0.0%	-14.2%	9.5%	-3.1K	68.9K	-280	0.00	154.51	N/A	N/A	0	4	6	83
2020-04-30	$18.86	$0.00	53.1%	15.2%	32.5%	25.6%	0.0%	1.8%	-14.7%	-2.9K	86.6K	-237	10.00	160.30	N/A	N/A	1	10	6	87