PCEF Options History — November 2020 In November 2020, PCEF traded between $19.88 and $21.71. ATM implied volatility averaged 53.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 40.1% (HV 20d: 12.9%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-11-20 : Highest Volume — 5 contracts2020-11-11 : Largest IV drop — 40.6% change2020-11-10 : Highest IV Rank — 40.4%2020-11-03 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.10 $19.88 $21.71 $19.88 $21.70 Max Pain $21.75 $21.00 $24.00 $21.00 $24.00 ATM IV 53.0% 29.5% 82.3% 71.0% 29.5% Expected Move 13.9% 8.5% 20.4% 20.3% 8.5% HV 20d 12.9% 8.8% 14.7% 11.1% 8.8% HV 60d 11.9% 10.6% 12.2% 10.6% 12.1% IV Rank 25.5% 13.6% 40.4% 34.6% 13.6% IV Percentile 47.2% 21.0% 77.0% 72.2% 21.0% Term Structure -7.3% -24.0% 22.0% -21.0% -14.3% VWIV 40.4% 32.2% 55.0% 34.1% 32.2% Skew 25d 10.2% -21.0% 49.8% 5.0% 9.5% Skew 10d -14.3% -45.1% 45.6% 7.9% 41.7% Call IV 25d 54.1% 16.3% 93.0% 91.5% 51.6% Put IV 25d 64.3% 25.0% 96.5% 96.5% 61.1% Bid-Ask Spread % 169.67 158.09 186.83 186.83 158.09 Gamma HHI 0.35 0.29 0.65 0.32 0.46 Net GEX -548 -1.3K -196 -453 -723 Net DEX 8.8K 2.5K 11.6K 11.6K 10.6K Net VEX -26 -35 -14 -35 -15 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 0.4 0 5 0 0 Total OI 16.7 15 17 17 15
Daily Data (20 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 2020-11-02 $19.88 $21.00 71.0% 20.3% 11.1% 34.6% 0.0% 5.0% -21.0% -453 11.6K -35 0.00 186.83 N/A N/A 0 0 2 15 2020-11-03 $20.12 $21.00 71.1% 20.4% 11.7% 34.7% 0.0% 2.3% -21.6% -459 11.0K -35 0.00 186.30 N/A N/A 0 0 2 15 2020-11-04 $20.39 $21.00 69.7% 20.0% 12.7% 34.0% 0.0% 2.8% -20.8% -487 10.4K -34 0.00 185.71 N/A N/A 0 0 2 15 2020-11-05 $20.65 $21.00 69.8% 13.2% 13.4% 34.0% 0.0% -19.9% -9.6% -495 9.7K -33 0.00 174.73 N/A N/A 0 0 2 15 2020-11-06 $20.65 $21.00 53.6% 9.9% 13.3% 25.8% 0.0% -21.0% 2.8% -536 9.4K -29 0.00 163.70 N/A N/A 0 0 2 15 2020-11-09 $20.93 $21.00 60.3% 14.0% 14.2% 29.2% 0.0% -3.6% -11.8% -521 8.8K -30 0.00 174.08 N/A N/A 0 0 2 15 2020-11-10 $20.99 $21.00 82.3% 14.1% 14.1% 40.4% 0.0% 2.2% -12.0% -470 8.9K -29 0.00 172.09 N/A N/A 0 0 2 15 2020-11-11 $21.09 $21.00 48.9% 14.0% 14.1% 23.4% 0.0% -4.3% -12.1% -464 8.9K -30 0.00 171.47 N/A N/A 0 0 2 15 2020-11-12 $20.95 $21.00 49.2% 14.1% 14.3% 23.6% 0.0% -14.8% -11.2% -465 9.3K -29 0.00 170.88 N/A N/A 0 0 2 15 2020-11-13 $21.16 $21.00 50.6% 14.5% 14.7% 24.3% 0.0% 4.5% -12.7% -508 8.4K -26 0.00 159.49 N/A N/A 0 0 2 15 2020-11-16 $21.31 $21.00 43.6% 12.5% 14.7% 20.8% 34.1% 26.6% -24.0% -485 7.8K -23 0.00 169.57 N/A N/A 1 0 2 15 2020-11-17 $21.43 $21.00 52.3% 15.0% 13.7% 25.2% 0.0% 31.0% -14.7% -490 7.5K -22 0.00 168.09 N/A N/A 0 0 2 15 2020-11-18 $21.41 $21.00 53.2% 15.3% 13.7% 25.6% 0.0% -14.9% -15.5% -520 7.5K -21 0.00 167.50 N/A N/A 0 0 2 15 2020-11-19 $21.48 $21.00 53.5% 15.3% 13.7% 25.8% 0.0% 28.0% -10.4% -1.3K 4.3K -18 0.00 165.51 N/A N/A 0 0 2 15 2020-11-20 $21.51 $21.00 40.8% 11.7% 13.6% 19.3% 55.0% 49.8% 16.3% -196 2.5K -14 0.00 161.16 N/A N/A 0 5 2 15 2020-11-23 $21.49 $24.00 43.8% 12.6% 13.7% 20.8% 32.2% 6.3% -7.6% -644 10.0K -20 0.00 161.97 N/A N/A 0 2 1 15 2020-11-24 $21.61 $24.00 41.4% 11.9% 12.6% 19.6% 0.0% 39.4% 16.3% -559 9.8K -25 0.00 165.89 N/A N/A 0 0 1 15 2020-11-25 $21.62 $24.00 38.8% 11.1% 9.8% 18.3% 0.0% 38.8% 22.0% -566 9.7K -24 0.00 164.69 N/A N/A 0 0 1 15 2020-11-27 $21.71 $24.00 35.7% 10.2% 9.8% 16.7% 0.0% 36.3% 15.3% -582 9.4K -22 0.00 165.66 N/A N/A 0 0 1 15 2020-11-30 $21.70 $24.00 29.5% 8.5% 8.8% 13.6% 0.0% 9.5% -14.3% -723 10.6K -15 0.00 158.09 N/A N/A 0 0 0 15
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