PCEF Options History — October 2020 In October 2020, PCEF traded between $19.73 and $20.78. ATM implied volatility averaged 62.7%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 51.7% (HV 20d: 11.0%). 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 3 of 21 days.
Notable Days 2020-10-14 : Highest Volume — 7 contracts2020-10-09 : Largest IV spike — 177.1% change2020-10-13 : Highest IV Rank — 72.5%2020-10-02 : Largest Expected Move — 31.6%Monthly Statistics Metric Avg Min Max Open Close Price $20.41 $19.73 $20.78 $20.34 $19.73 Max Pain $20.80 $20.00 $21.00 $20.00 $21.00 ATM IV 62.7% 21.3% 145.7% 75.2% 66.5% Expected Move 13.7% 3.6% 31.6% 21.5% 19.1% HV 20d 11.0% 7.8% 13.9% 13.9% 10.7% HV 60d 9.7% 9.4% 10.5% 9.4% 10.5% IV Rank 30.4% 9.4% 72.5% 36.8% 32.4% IV Percentile 57.5% 26.2% 88.1% 74.2% 67.9% Term Structure -7.2% -41.2% 21.4% -27.3% -17.5% VWIV 52.4% 52.4% 52.4% 52.4% 52.4% Skew 25d -2.4% -27.9% 34.7% 34.7% 4.4% Skew 10d 3.3% -38.5% 22.1% 17.2% 4.3% Call IV 25d 59.4% 14.7% 141.2% 61.9% 85.7% Put IV 25d 57.0% 15.9% 147.2% 96.6% 90.1% Bid-Ask Spread % 176.68 143.76 197.80 186.62 186.29 Gamma HHI 0.35 0.26 0.50 0.29 0.32 Net GEX -480 -833 -164 -429 -449 Net DEX 9.6K 4.8K 17.7K 9.2K 12.0K Net VEX -31 -42 -11 -42 -37 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.571 0 7 0 0 Total OI 16.857 12 23 16 17
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 2020-10-01 $20.34 $20.00 75.2% 21.5% 13.9% 36.8% 0.0% 34.7% -27.3% -429 9.2K -42 0.00 186.62 N/A N/A 0 0 2 14 2020-10-02 $20.32 $20.00 110.1% 31.6% 13.0% 54.5% 0.0% 6.1% -41.2% -335 8.9K -42 0.00 197.80 N/A N/A 0 0 2 14 2020-10-05 $20.48 $0.00 54.8% 5.7% 13.4% 26.4% 0.0% 4.0% -0.2% -368 5.9K -16 0.00 148.12 N/A N/A 0 0 2 14 2020-10-06 $20.47 $0.00 92.8% 14.3% 12.7% 45.7% 0.0% 2.1% -5.6% -469 8.4K -37 0.00 188.71 N/A N/A 0 0 2 14 2020-10-07 $20.57 $0.00 57.1% 9.1% 11.8% 27.6% 0.0% 0.1% -0.8% -567 6.7K -27 0.00 184.98 N/A N/A 0 0 2 14 2020-10-08 $20.65 $0.00 34.9% 3.8% 11.9% 16.3% 0.0% 1.2% -0.7% -670 4.8K -17 0.00 162.20 N/A N/A 0 0 2 14 2020-10-09 $20.68 $0.00 96.8% 19.7% 11.9% 47.7% 0.0% 3.4% -8.8% -406 8.1K -37 0.00 155.03 N/A N/A 0 0 2 14 2020-10-12 $20.78 $0.00 74.2% 3.6% 11.8% 36.2% 0.0% -27.9% -0.7% -164 5.2K -11 0.00 156.76 N/A N/A 0 0 2 14 2020-10-13 $20.70 $0.00 145.7% 14.2% 11.7% 72.5% 0.0% 0.7% -6.6% -457 7.6K -31 0.00 188.07 N/A N/A 0 0 2 14 2020-10-14 $20.70 $0.00 28.1% 8.1% 11.7% 12.9% 0.0% -25.1% 9.7% -541 6.7K -24 0.00 175.71 N/A N/A 0 7 2 14 2020-10-15 $20.68 $0.00 50.8% 14.6% 11.6% 24.4% 0.0% 1.7% -8.0% -833 17.7K -32 0.00 187.71 N/A N/A 0 0 2 21 2020-10-16 $20.60 $0.00 50.8% 14.6% 11.6% 24.4% 0.0% 1.1% -7.6% -238 17.1K -31 0.00 187.37 N/A N/A 0 0 2 21 2020-10-19 $20.33 $0.00 54.1% 15.5% 10.5% 26.1% 52.4% 0.8% -9.7% -231 5.1K -30 0.00 188.48 N/A N/A 0 5 2 10 2020-10-20 $20.42 $21.00 55.4% 15.9% 10.5% 26.7% 0.0% 0.9% -11.0% -455 10.3K -42 0.00 188.40 N/A N/A 0 0 2 15 2020-10-21 $20.41 $21.00 43.2% 12.4% 8.1% 20.5% 0.0% -26.7% -9.8% -575 10.2K -35 0.00 167.05 N/A N/A 0 0 2 15 2020-10-22 $20.40 $21.00 57.3% 16.4% 7.8% 27.7% 0.0% 2.4% -12.1% -468 10.4K -41 0.00 188.31 N/A N/A 0 0 2 15 2020-10-23 $20.40 $21.00 44.7% 12.8% 7.8% 21.3% 0.0% -27.7% -10.7% -583 10.2K -34 0.00 174.77 N/A N/A 0 0 2 15 2020-10-27 $20.16 $21.00 21.3% 6.1% 8.4% 9.4% 0.0% 6.3% 21.4% -776 11.4K -29 0.00 143.76 N/A N/A 0 0 2 15 2020-10-28 $19.80 $21.00 38.4% 11.0% 10.5% 18.1% 0.0% -9.7% 12.7% -615 13.3K -28 0.00 168.23 N/A N/A 0 0 2 15 2020-10-29 $19.89 $21.00 64.8% 18.6% 10.5% 31.5% 0.0% -3.9% -16.2% -456 11.6K -37 0.00 185.97 N/A N/A 0 0 2 15 2020-10-30 $19.73 $21.00 66.5% 19.1% 10.7% 32.4% 0.0% 4.4% -17.5% -449 12.0K -37 0.00 186.29 N/A N/A 0 0 2 15
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