PCEF Options History — September 2020 In September 2020, PCEF traded between $20.04 and $21.12. ATM implied volatility averaged 60.8%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 50.4% (HV 20d: 10.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2020-09-11 : Highest Volume — 5 contracts2020-09-09 : Largest IV drop — 41.1% change2020-09-03 : Highest IV Rank — 43.5%2020-09-03 : Largest Expected Move — 20.2%Monthly Statistics Metric Avg Min Max Open Close Price $20.61 $20.04 $21.12 $21.02 $20.28 Max Pain $20.67 $20.00 $21.00 $21.00 $20.00 ATM IV 60.8% 41.1% 88.4% 65.8% 52.7% Expected Move 16.4% 11.8% 20.2% 18.9% 15.1% HV 20d 10.4% 5.0% 14.1% 5.1% 14.0% HV 60d 9.2% 8.0% 12.2% 11.8% 9.4% IV Rank 29.5% 19.5% 43.5% 32.0% 25.4% IV Percentile 61.8% 42.9% 75.4% 66.7% 54.8% Term Structure -13.6% -24.5% 11.4% -18.7% -24.5% VWIV 60.6% 60.6% 60.6% 60.6% 60.6% Skew 25d 18.9% -50.1% 52.5% -49.5% -25.2% Skew 10d -0.1% -63.7% 16.0% -62.3% -16.3% Call IV 25d 49.3% 22.7% 87.5% 85.7% 74.5% Put IV 25d 68.2% 34.8% 91.5% 36.2% 49.3% Bid-Ask Spread % 184.46 139.42 193.84 140.02 165.81 Gamma HHI 0.25 0.18 0.45 0.19 0.31 Net GEX -852 -1.6K -193 -1.3K -558 Net DEX 9.2K 3.8K 17.4K 10.8K 8.4K Net VEX -48 -97 -21 -73 -36 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.524 0 5 0 0 Total OI 117.19 11 183 181 16
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 2020-09-01 $21.02 $21.00 65.8% 18.9% 5.1% 32.0% 0.0% -49.5% -18.7% -1.3K 10.8K -73 0.00 140.02 N/A N/A 0 0 5 176 2020-09-02 $21.12 $21.00 66.9% 19.2% 5.0% 32.6% 0.0% -50.1% -16.9% -1.2K 9.9K -70 0.00 139.42 N/A N/A 0 0 5 176 2020-09-03 $20.81 $0.00 88.4% 20.2% 7.5% 43.5% 0.0% 8.7% -13.4% -1.6K 17.4K -97 0.00 193.84 N/A N/A 0 1 5 176 2020-09-04 $20.77 $0.00 75.2% 14.8% 7.5% 36.8% 0.0% 2.8% -9.3% -1.4K 13.5K -74 0.00 193.05 N/A N/A 0 0 5 177 2020-09-08 $20.52 $0.00 87.5% 15.7% 8.1% 43.0% 0.0% 2.3% -11.6% -1.5K 15.1K -58 0.00 190.86 N/A N/A 0 0 5 177 2020-09-09 $20.80 $0.00 51.5% 14.8% 9.6% 24.8% 0.0% 25.4% -9.8% -1.5K 14.0K -60 0.00 192.66 N/A N/A 0 0 5 177 2020-09-10 $20.74 $0.00 52.3% 15.0% 9.5% 25.1% 0.0% 26.6% -9.6% -1.3K 12.5K -59 0.00 192.38 N/A N/A 0 0 5 177 2020-09-11 $20.70 $0.00 51.6% 14.8% 9.5% 24.8% 0.0% 29.1% -10.5% -1.4K 13.4K -59 0.00 191.79 N/A N/A 0 5 5 177 2020-09-14 $20.84 $0.00 52.3% 15.0% 9.8% 25.1% 0.0% 25.9% -11.8% -1.4K 14.4K -57 0.00 191.83 N/A N/A 0 0 5 178 2020-09-15 $20.93 $0.00 41.1% 11.8% 9.9% 19.5% 0.0% 12.1% -17.0% -1.0K 6.5K -32 0.00 190.63 N/A N/A 0 0 5 178 2020-09-16 $20.97 $0.00 52.3% 15.0% 9.9% 25.2% 0.0% 24.2% -12.5% -1.3K 11.9K -46 0.00 192.34 N/A N/A 0 0 5 178 2020-09-17 $20.87 $0.00 53.8% 15.4% 10.0% 25.9% 0.0% 27.5% -11.6% -810 7.1K -33 0.00 191.66 N/A N/A 0 0 5 178 2020-09-18 $20.81 $0.00 54.3% 15.6% 10.0% 26.2% 0.0% 30.4% -11.4% -203 7.7K -33 0.00 192.25 N/A N/A 0 0 5 178 2020-09-21 $20.42 $0.00 61.1% 17.5% 12.0% 29.6% 0.0% 46.3% -14.5% -195 4.1K -33 0.00 191.03 N/A N/A 0 0 2 9 2020-09-22 $20.52 $0.00 59.5% 17.0% 12.0% 28.8% 0.0% 28.3% -15.0% -194 4.0K -33 0.00 187.44 N/A N/A 0 0 2 9 2020-09-23 $20.15 $0.00 63.0% 18.1% 13.5% 30.6% 0.0% 45.3% -17.2% -200 4.5K -33 0.00 187.94 N/A N/A 0 0 2 9 2020-09-24 $20.04 $0.00 63.3% 18.2% 13.6% 30.8% 0.0% 46.0% -17.9% -193 3.8K -21 0.00 186.88 N/A N/A 0 0 2 9 2020-09-25 $20.07 $0.00 50.3% 14.4% 13.5% 24.1% 0.0% 39.2% 11.4% -202 4.6K -33 0.00 187.18 N/A N/A 0 0 2 9 2020-09-28 $20.25 $0.00 68.1% 19.5% 14.1% 33.2% 0.0% 49.8% -19.9% -199 4.4K -32 0.00 187.44 N/A N/A 0 0 2 9 2020-09-29 $20.19 $0.00 65.8% 18.9% 14.0% 32.0% 60.6% 52.5% -23.5% -201 4.5K -32 0.00 187.27 N/A N/A 0 5 2 9 2020-09-30 $20.28 $20.00 52.7% 15.1% 14.0% 25.4% 0.0% -25.2% -24.5% -558 8.4K -36 0.00 165.81 N/A N/A 0 0 2 14
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