PCEF Options History — June 2020 In June 2020, PCEF traded between $19.56 and $20.63. ATM implied volatility averaged 109.3%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded above realized volatility by 91.0% (HV 20d: 18.3%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 12.27.
Notable Days 2020-06-04 : Highest Volume — 135 contracts2020-06-05 : Largest IV spike — 166.5% change2020-06-25 : Highest IV Rank — 86.0%2020-06-05 : Largest Expected Move — 55.4%Monthly Statistics Metric Avg Min Max Open Close Price $20.05 $19.56 $20.63 $19.91 $19.85 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 109.3% 49.5% 172.3% 49.5% 148.1% Expected Move 30.1% 14.2% 55.4% 14.2% 42.5% HV 20d 18.3% 14.5% 20.5% 15.2% 20.1% HV 60d 44.6% 23.7% 64.8% 64.8% 23.7% IV Rank 54.1% 23.8% 86.0% 23.8% 73.8% IV Percentile 76.5% 59.9% 90.9% 63.1% 79.4% Term Structure 7.5% -179.5% 151.7% -6.3% -26.8% Skew 25d -17.8% -157.4% 29.8% 11.2% 15.6% Skew 10d -16.8% -146.0% 53.6% -57.1% -146.0% Call IV 25d 130.7% 40.9% 185.6% 40.9% 181.5% Put IV 25d 112.9% 26.2% 198.6% 52.1% 197.2% Bid-Ask Spread % 189.38 147.83 200.00 151.32 199.90 Gamma HHI 0.23 0.17 0.36 0.22 0.26 Net GEX -3.0K -4.3K -1.3K -3.3K -2.8K Net DEX 71.4K 40.6K 92.5K 77.1K 59.6K Net VEX -283 -550 -131 -187 -360 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 12.27 0.33 32.75 32.75 7.00 Total Volume 19.636 0 135 88 0 Total OI 188.182 111 212 111 178
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 2020-06-01 $19.91 $22.00 49.5% 14.2% 15.2% 23.8% 0.0% 11.2% -6.3% -3.3K 77.1K -187 0.00 151.32 N/A N/A 0 88 8 103 2020-06-02 $20.07 $22.00 58.1% 16.7% 14.5% 28.1% 0.0% 11.0% 24.7% -2.9K 76.6K -194 0.00 147.83 N/A N/A 0 0 8 191 2020-06-03 $20.33 $22.00 57.9% 16.6% 14.8% 28.0% 0.0% -14.3% 27.4% -2.5K 73.2K -141 0.00 149.60 N/A N/A 0 3 8 191 2020-06-04 $20.21 $0.00 59.6% 15.0% 15.2% 28.9% 0.0% 4.3% -46.8% -2.5K 78.4K -245 32.75 178.97 N/A N/A 4 131 8 188 2020-06-05 $20.45 $0.00 158.8% 55.4% 15.4% 79.2% 0.0% -157.4% -179.5% -2.3K 61.2K -131 0.00 198.99 N/A N/A 0 88 8 179 2020-06-08 $20.63 $0.00 88.5% 27.4% 15.4% 43.5% 0.0% 20.7% -32.7% -2.9K 65.1K -218 0.00 198.31 N/A N/A 0 0 8 179 2020-06-09 $20.57 $0.00 92.9% 27.2% 15.3% 45.8% 0.0% 20.4% -31.3% -3.0K 64.5K -190 0.00 198.30 N/A N/A 0 0 8 179 2020-06-10 $20.53 $0.00 96.3% 27.6% 15.3% 47.5% 0.0% 19.6% -33.5% -3.1K 64.0K -189 0.00 198.17 N/A N/A 0 30 8 179 2020-06-11 $19.65 $0.00 101.4% 29.1% 20.4% 50.1% 0.0% 16.1% -25.6% -4.1K 89.2K -372 0.00 199.56 N/A N/A 0 3 8 191 2020-06-12 $19.85 $0.00 128.5% 36.8% 20.4% 63.8% 0.0% 29.8% -23.7% -4.1K 86.9K -372 0.00 200.00 N/A N/A 0 3 8 194 2020-06-15 $19.88 $0.00 127.4% 36.5% 20.4% 63.3% 0.0% 27.9% -42.6% -3.5K 71.0K -271 9.00 200.00 N/A N/A 1 9 8 197 2020-06-16 $20.12 $0.00 73.3% 21.0% 20.1% 35.8% 0.0% 23.4% 81.5% -4.2K 83.6K -335 0.00 200.00 N/A N/A 0 0 9 197 2020-06-17 $20.06 $0.00 51.3% 14.7% 20.2% 24.6% 0.0% 5.3% 59.0% -4.3K 83.0K -299 0.00 192.51 N/A N/A 0 2 9 197 2020-06-18 $20.11 $0.00 69.0% 19.8% 19.9% 33.6% 0.0% 20.8% 151.7% -3.4K 92.5K -307 0.33 200.00 N/A N/A 3 1 9 199 2020-06-19 $20.09 $0.00 84.9% 24.4% 19.9% 41.7% 0.0% 9.7% 39.4% -2.5K 79.7K -208 0.00 172.99 N/A N/A 0 1 12 200 2020-06-22 $19.98 $0.00 167.1% 0.0% 20.1% 83.4% 0.0% -58.0% 139.7% -1.7K 40.6K -145 0.00 200.00 N/A N/A 0 17 12 169 2020-06-23 $20.05 $0.00 158.9% 45.5% 19.8% 79.2% 0.0% -147.9% -11.8% -1.3K 73.5K -550 7.00 179.81 N/A N/A 6 42 12 166 2020-06-24 $19.84 $0.00 154.1% 44.2% 20.1% 76.8% 0.0% 19.2% -13.7% -2.9K 57.2K -341 0.00 200.00 N/A N/A 0 0 12 166 2020-06-25 $19.80 $0.00 172.3% 0.0% 20.0% 86.0% 0.0% -127.0% 143.3% -2.8K 58.2K -344 0.00 200.00 N/A N/A 0 0 12 166 2020-06-26 $19.56 $0.00 153.8% 44.1% 20.5% 76.6% 0.0% -155.4% -13.2% -2.8K 69.1K -419 0.00 200.00 N/A N/A 0 0 12 166 2020-06-29 $19.64 $0.00 152.1% 43.6% 19.9% 75.8% 0.0% 12.7% -14.8% -2.7K 66.9K -410 0.00 200.00 N/A N/A 0 0 12 166 2020-06-30 $19.85 $0.00 148.1% 42.5% 20.1% 73.8% 0.0% 15.6% -26.8% -2.8K 59.6K -360 0.00 199.90 N/A N/A 0 0 12 166
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