PCEF Options History — August 2020

In August 2020, PCEF traded between $20.62 and $21.02. ATM implied volatility averaged 57.8%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 52.0% (HV 20d: 5.8%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2020-08-07: Highest Volume — 2 contracts
2020-08-05: Largest IV spike — 94.9% change
2020-08-11: Highest IV Rank — 40.4%
2020-08-05: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.89	$20.62	$21.02	$20.62	$20.91
Max Pain	$23.83	$21.00	$24.00	$24.00	$21.00
ATM IV	57.8%	34.6%	82.3%	41.2%	64.8%
Expected Move	15.0%	9.9%	19.3%	11.8%	18.6%
HV 20d	5.8%	4.8%	6.4%	6.3%	4.8%
HV 60d	13.2%	11.9%	14.8%	14.8%	11.9%
IV Rank	27.9%	16.2%	40.4%	19.5%	31.5%
IV Percentile	59.4%	43.3%	71.0%	47.6%	65.9%
Term Structure	-11.0%	-31.7%	16.5%	3.6%	-17.1%
VWIV	48.2%	48.2%	48.2%	48.2%	48.2%
Skew 25d	-41.3%	-55.0%	3.3%	3.3%	-51.6%
Skew 10d	-47.2%	-72.4%	6.5%	6.5%	-72.4%
Call IV 25d	63.2%	28.0%	83.0%	49.5%	83.0%
Put IV 25d	21.9%	16.3%	52.8%	52.8%	31.4%
Bid-Ask Spread %	143.36	129.10	181.13	176.30	134.24
Gamma HHI	0.20	0.17	0.22	0.19	0.19
Net GEX	-1.8K	-2.2K	-1.3K	-1.8K	-1.3K
Net DEX	37.7K	11.3K	40.2K	40.0K	11.3K
Net VEX	-99	-125	-76	-94	-76
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	0.19	0	2	0	0
Total OI	196.286	181	198	198	181

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2020-08-03	$20.62	$0.00	41.2%	11.8%	6.3%	19.5%	0.0%	3.3%	3.6%	-1.8K	40.0K	-94	176.30	N/A	N/A	0	5	193
2020-08-04	$20.66	$0.00	34.6%	9.9%	6.2%	16.2%	0.0%	-38.8%	16.5%	-1.7K	40.0K	-94	169.03	N/A	N/A	0	5	193
2020-08-05	$20.77	$0.00	67.4%	19.3%	6.4%	32.8%	0.0%	-7.1%	-21.4%	-2.2K	40.1K	-112	181.13	N/A	N/A	0	5	193
2020-08-06	$20.81	$24.00	68.1%	13.6%	5.8%	33.2%	0.0%	-41.1%	-10.2%	-2.0K	40.1K	-125	142.43	N/A	N/A	0	5	193
2020-08-07	$20.80	$24.00	70.5%	12.3%	5.8%	34.4%	48.2%	-41.5%	-4.8%	-1.8K	39.4K	-116	146.81	N/A	N/A	2	5	193
2020-08-10	$20.95	$24.00	78.5%	13.8%	6.1%	38.4%	0.0%	-43.4%	-11.4%	-1.8K	37.9K	-115	146.18	N/A	N/A	0	5	193
2020-08-11	$20.92	$24.00	82.3%	12.5%	6.2%	40.4%	0.0%	-42.6%	-5.7%	-1.8K	37.9K	-111	146.25	N/A	N/A	0	5	193
2020-08-12	$21.01	$24.00	49.9%	14.3%	6.0%	24.0%	0.0%	-42.5%	-12.0%	-1.8K	37.4K	-112	146.43	N/A	N/A	0	5	193
2020-08-13	$21.01	$24.00	52.1%	14.9%	5.9%	25.0%	0.0%	-36.0%	-14.5%	-1.8K	37.1K	-104	146.25	N/A	N/A	0	5	193
2020-08-14	$20.94	$24.00	51.9%	14.9%	6.1%	24.9%	0.0%	-45.0%	-14.4%	-1.7K	37.9K	-111	141.18	N/A	N/A	0	5	193
2020-08-17	$21.01	$24.00	54.2%	15.5%	5.4%	26.1%	0.0%	-44.3%	-16.0%	-1.9K	39.4K	-88	129.10	N/A	N/A	0	3	193
2020-08-18	$20.99	$24.00	54.6%	15.6%	5.5%	26.3%	0.0%	-44.9%	-31.7%	-2.0K	39.3K	-82	131.69	N/A	N/A	0	3	193
2020-08-19	$21.02	$24.00	55.4%	15.9%	5.5%	26.7%	0.0%	-44.6%	-16.3%	-1.9K	39.6K	-90	139.41	N/A	N/A	0	3	193
2020-08-20	$20.98	$24.00	56.4%	16.2%	5.5%	27.2%	0.0%	-47.9%	-12.2%	-1.9K	40.1K	-97	137.30	N/A	N/A	0	3	193
2020-08-21	$20.97	$24.00	55.8%	16.0%	5.5%	26.9%	0.0%	-42.0%	-9.6%	-1.9K	39.7K	-88	131.89	N/A	N/A	1	3	193
2020-08-24	$20.84	$24.00	51.0%	14.6%	6.0%	24.5%	0.0%	-47.6%	-12.4%	-2.0K	40.2K	-95	130.69	N/A	N/A	0	4	193
2020-08-25	$20.86	$24.00	57.4%	16.4%	6.0%	27.7%	0.0%	-52.5%	-11.9%	-1.9K	38.8K	-96	134.73	N/A	N/A	0	4	192
2020-08-26	$20.85	$24.00	59.2%	17.0%	5.3%	28.7%	0.0%	-54.3%	-13.5%	-2.0K	39.1K	-99	132.48	N/A	N/A	0	4	192
2020-08-27	$20.91	$24.00	58.6%	16.8%	5.2%	28.4%	0.0%	-55.0%	-12.9%	-1.9K	38.2K	-93	132.47	N/A	N/A	0	4	192
2020-08-28	$20.89	$24.00	50.0%	14.3%	5.2%	24.0%	0.0%	-47.2%	-4.3%	-1.8K	38.0K	-82	134.62	N/A	N/A	1	4	192
2020-08-31	$20.91	$21.00	64.8%	18.6%	4.8%	31.5%	0.0%	-51.6%	-17.1%	-1.3K	11.3K	-76	134.24	N/A	N/A	0	5	176