PCEF Options History — May 2020 In May 2020, PCEF traded between $18.38 and $19.65. ATM implied volatility averaged 57.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 37.7% (HV 20d: 20.2%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-29 : Highest Volume — 26 contracts2020-05-28 : Largest IV spike — 177.8% change2020-05-12 : Highest IV Rank — 89.4%2020-05-29 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.93 $18.38 $19.65 $18.67 $19.65 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 57.9% 18.9% 179.0% 77.6% 58.3% Expected Move 8.9% 5.4% 16.7% 15.1% 16.7% HV 20d 20.2% 14.8% 32.9% 32.9% 14.8% HV 60d 65.5% 64.8% 65.9% 65.5% 64.8% IV Rank 28.0% 8.2% 89.4% 38.0% 28.2% IV Percentile 65.6% 52.0% 92.5% 74.2% 67.9% Term Structure 85.4% -21.8% 171.7% 31.6% 18.4% VWIV 42.9% 25.7% 60.0% 25.7% 60.0% Skew 25d 7.8% -15.8% 31.5% 31.5% -8.1% Skew 10d 8.2% -65.3% 43.1% -32.4% -65.3% Call IV 25d 48.0% 28.4% 68.1% 37.0% 59.6% Put IV 25d 55.8% 33.4% 68.5% 68.5% 51.5% Bid-Ask Spread % 149.01 131.14 156.98 156.98 150.15 Gamma HHI 0.26 0.21 0.38 0.22 0.22 Net GEX -3.0K -3.7K -1.8K -2.8K -3.7K Net DEX 93.8K 83.3K 105.5K 89.6K 83.3K Net VEX -288 -337 -201 -325 -267 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 1.947 0 26 2 26 Total OI 109.789 103 113 103 113
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 2020-05-04 $18.67 $22.00 77.6% 15.1% 32.9% 38.0% 0.0% 31.5% 31.6% -2.8K 89.6K -325 0.00 156.98 N/A N/A 0 2 6 97 2020-05-05 $18.79 $22.00 78.2% 6.3% 30.8% 38.3% 25.7% 5.7% 64.8% -2.7K 94.6K -294 0.00 154.06 N/A N/A 0 1 6 99 2020-05-06 $18.79 $22.00 68.7% 6.5% 27.0% 33.5% 0.0% 5.2% 63.7% -3.4K 92.6K -275 0.00 153.49 N/A N/A 0 0 6 100 2020-05-07 $18.85 $22.00 102.0% 6.4% 25.4% 50.4% 0.0% 4.5% 63.6% -3.4K 91.9K -269 0.00 153.80 N/A N/A 0 0 6 100 2020-05-08 $19.05 $22.00 122.3% 6.3% 23.3% 60.7% 60.0% 2.5% 62.0% -2.5K 84.3K -330 0.00 153.54 N/A N/A 0 5 6 100 2020-05-11 $18.98 $22.00 67.7% 6.5% 20.3% 33.0% 0.0% 2.4% 62.5% -3.0K 85.9K -335 0.00 131.14 N/A N/A 0 0 6 105 2020-05-12 $18.93 $22.00 179.0% 6.5% 18.6% 89.4% 0.0% 22.5% 62.7% -2.7K 87.1K -337 0.00 153.22 N/A N/A 0 0 6 105 2020-05-13 $18.45 $22.00 43.8% 12.6% 19.3% 20.9% 0.0% 3.3% -21.8% -3.1K 102.0K -301 0.00 142.13 N/A N/A 0 0 6 105 2020-05-14 $18.38 $22.00 53.4% 15.3% 19.0% 25.7% 0.0% 7.3% 120.0% -2.8K 105.5K -290 0.00 151.21 N/A N/A 0 0 6 105 2020-05-15 $18.38 $22.00 44.6% 12.8% 18.9% 21.3% 0.0% -11.8% 139.8% -2.1K 104.3K -324 0.00 153.72 N/A N/A 0 0 6 105 2020-05-18 $18.68 $22.00 18.9% 5.4% 19.0% 8.2% 0.0% 30.4% 171.7% -3.6K 99.4K -201 0.00 152.90 N/A N/A 0 1 6 105 2020-05-19 $18.73 $22.00 21.9% 6.3% 17.1% 9.7% 0.0% 29.0% 162.7% -1.8K 103.5K -318 0.00 147.47 N/A N/A 0 0 6 105 2020-05-20 $18.97 $22.00 21.7% 6.2% 16.4% 9.6% 0.0% 21.2% 164.7% -3.5K 95.0K -258 0.00 147.29 N/A N/A 0 0 6 105 2020-05-21 $18.96 $22.00 22.0% 6.3% 15.8% 9.8% 0.0% 20.1% 166.0% -3.7K 95.0K -241 0.00 134.41 N/A N/A 0 0 6 105 2020-05-22 $19.05 $22.00 21.1% 6.0% 15.8% 9.3% 0.0% 16.7% 166.9% -3.6K 95.3K -245 0.00 149.82 N/A N/A 0 0 6 105 2020-05-26 $19.30 $22.00 22.8% 6.5% 16.3% 10.2% 0.0% -12.2% 50.4% -2.1K 102.2K -297 0.00 147.50 N/A N/A 2 0 6 105 2020-05-27 $19.46 $22.00 20.2% 5.8% 16.4% 8.9% 0.0% -15.8% 50.0% -3.7K 86.0K -267 0.00 149.57 N/A N/A 0 0 8 105 2020-05-28 $19.59 $22.00 56.1% 16.1% 16.5% 27.1% 0.0% -5.6% 23.0% -3.5K 84.6K -291 0.00 148.83 N/A N/A 0 0 8 105 2020-05-29 $19.65 $22.00 58.3% 16.7% 14.8% 28.2% 0.0% -8.1% 18.4% -3.7K 83.3K -267 0.00 150.15 N/A N/A 0 26 8 105
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