PCEF Options History — July 2020

In July 2020, PCEF traded between $19.98 and $20.51. ATM implied volatility averaged 79.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 68.0% (HV 20d: 11.3%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.63.

Notable Days

  • 2020-07-21: Highest Volume — 100 contracts
  • 2020-07-08: Largest IV spike — 97.5% change
  • 2020-07-01: Highest IV Rank — 91.7%
  • 2020-07-08: Largest Expected Move — 51.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$19.98$20.51$19.98$20.49
ATM IV79.2%37.1%183.4%183.4%37.1%
Expected Move17.7%10.6%51.3%42.6%10.6%
HV 20d11.3%6.1%19.6%19.6%6.1%
HV 60d16.9%14.7%22.9%22.9%14.7%
IV Rank38.8%17.4%91.7%91.7%17.4%
IV Percentile62.2%43.7%94.8%94.8%43.7%
Term Structure-14.1%-156.3%146.7%146.7%-13.2%
Skew 25d-12.7%-158.9%61.4%-142.0%6.2%
Skew 10d2.1%-142.0%65.8%-137.3%3.7%
Call IV 25d67.2%32.7%183.2%163.0%49.9%
Put IV 25d54.4%18.3%168.3%21.0%56.1%
Bid-Ask Spread %185.07164.86200.00200.00177.08
Gamma HHI0.190.160.330.250.18
Net GEX-2.0K-3.1K-1.2K-2.7K-1.8K
Net DEX46.9K35.9K65.6K58.8K41.4K
Net VEX-154-410-81-366-98
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.007.507.000.00
Total Volume11.455010002
Total OI195177210178199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$19.98$0.00183.4%0.0%19.6%91.7%0.0%-142.0%146.7%-2.7K58.8K-3660.00200.00N/AN/A0012166
2020-07-02$20.07$0.00148.7%42.6%19.6%74.1%0.0%-158.9%-14.6%-2.6K65.6K-4100.00198.53N/AN/A0012166
2020-07-06$20.15$0.00150.8%39.2%19.2%75.1%0.0%27.8%-102.6%-1.3K35.9K-817.00181.06N/AN/A64212166
2020-07-07$20.12$0.0090.7%26.0%18.9%44.6%0.0%18.8%-60.8%-1.3K37.4K-1150.00200.00N/AN/A0212166
2020-07-08$20.14$0.00179.1%51.3%18.9%89.5%0.0%8.6%-156.3%-1.2K36.8K-880.00199.10N/AN/A0012165
2020-07-09$20.03$0.00134.0%15.8%18.9%66.6%0.0%61.4%-34.6%-1.5K38.5K-1080.00200.00N/AN/A0012165
2020-07-10$20.03$0.0078.1%12.5%10.3%38.2%0.0%8.9%-18.3%-1.6K38.9K-1090.00182.66N/AN/A02212165
2020-07-13$20.03$0.00100.2%11.7%9.7%49.5%0.0%7.4%-18.8%-1.5K38.9K-1030.00184.53N/AN/A0012187
2020-07-14$20.06$0.00115.5%11.7%9.7%57.2%0.0%21.4%-16.7%-1.3K38.2K-980.00185.01N/AN/A01112187
2020-07-15$20.21$0.0046.7%13.4%9.1%22.3%0.0%4.1%-4.1%-1.5K39.3K-1307.50164.86N/AN/A64512198
2020-07-16$20.18$0.0041.8%12.0%9.0%19.8%0.0%4.1%2.1%-1.7K40.0K-1730.00185.14N/AN/A0012198
2020-07-17$20.26$0.0041.3%11.8%9.1%19.6%0.0%4.6%2.2%-1.9K50.0K-1480.00185.27N/AN/A405198
2020-07-20$20.14$0.0043.3%12.4%9.3%20.6%0.0%-26.2%4.7%-2.6K51.7K-1520.00183.60N/AN/A005198
2020-07-21$20.22$0.0043.9%12.6%9.2%20.9%0.0%-2.1%-0.2%-3.1K57.6K-2130.00185.96N/AN/A01005198
2020-07-22$20.24$0.0045.6%13.1%9.1%21.8%0.0%-14.7%-1.5%-3.1K54.5K-1870.00183.89N/AN/A005198
2020-07-23$20.21$0.0042.6%12.2%8.2%20.2%0.0%-30.6%-3.4%-2.3K51.9K-1460.00178.69N/AN/A055198
2020-07-24$20.19$0.0042.8%12.3%8.2%20.3%0.0%-31.0%-2.6%-3.1K56.8K-1830.00179.45N/AN/A005198
2020-07-27$20.30$0.0045.1%12.9%6.6%21.5%0.0%-13.3%-4.6%-2.0K50.3K-1300.00178.16N/AN/A005198
2020-07-28$20.33$0.0046.6%13.4%6.6%22.3%0.0%-33.6%-7.0%-2.2K51.0K-1400.00181.01N/AN/A005198
2020-07-29$20.51$0.0037.6%10.8%6.3%17.7%0.0%-20.9%4.4%-2.0K48.1K-980.00176.95N/AN/A205198
2020-07-30$20.45$0.0048.5%13.9%6.2%23.2%0.0%19.7%-12.2%-2.0K49.3K-1130.00180.70N/AN/A055198
2020-07-31$20.49$0.0037.1%10.6%6.1%17.4%0.0%6.2%-13.2%-1.8K41.4K-980.00177.08N/AN/A025194