PCEF Options History — December 2020 In December 2020, PCEF traded between $21.82 and $22.39. ATM implied volatility averaged 50.2%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 44.2% (HV 20d: 5.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days.
Notable Days 2020-12-03 : Highest Volume — 6 contracts2020-12-21 : Largest IV spike — 75.0% change2020-12-08 : Highest IV Rank — 38.3%2020-12-31 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.14 $21.82 $22.39 $21.82 $22.37 Max Pain $23.09 $23.00 $24.00 $24.00 $23.00 ATM IV 50.2% 23.9% 78.2% 39.7% 66.2% Expected Move 13.7% 6.9% 19.0% 11.4% 19.0% HV 20d 5.9% 4.1% 8.8% 8.8% 5.6% HV 60d 10.5% 9.4% 11.8% 11.8% 9.4% IV Rank 23.3% 9.3% 38.3% 18.8% 31.7% IV Percentile 43.7% 15.9% 75.4% 27.4% 67.9% Term Structure -9.8% -23.9% 15.2% -18.4% -23.9% Skew 25d 8.3% -21.3% 53.5% 6.3% 7.0% Skew 10d 17.5% -6.4% 28.4% 25.5% 25.9% Call IV 25d 54.9% 24.4% 87.8% 34.3% 80.1% Put IV 25d 63.2% 27.7% 100.8% 40.6% 87.2% Bid-Ask Spread % 179.95 148.85 197.02 148.85 184.83 Gamma HHI 0.43 0.31 0.53 0.49 0.50 Net GEX -830 -1.7K -372 -737 -440 Net DEX 13.1K 7.2K 20.6K 10.2K 7.2K Net VEX -35 -52 -14 -14 -30 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.591 0 6 0 0 Total OI 15.045 6 22 15 6
Daily Data (22 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 2020-12-01 $21.82 $24.00 39.7% 11.4% 8.8% 18.8% 0.0% 6.3% -18.4% -737 10.2K -14 0.00 148.85 N/A N/A 0 0 0 15 2020-12-02 $21.87 $24.00 46.4% 13.3% 8.4% 22.2% 0.0% 41.0% 15.2% -668 10.3K -16 0.00 156.68 N/A N/A 0 1 0 15 2020-12-03 $21.89 $23.00 46.5% 12.4% 7.7% 22.2% 0.0% -11.8% -9.0% -699 11.6K -20 0.00 188.62 N/A N/A 0 6 0 16 2020-12-04 $22.06 $23.00 47.3% 9.8% 7.1% 22.6% 0.0% -14.9% 10.7% -1.6K 20.6K -45 0.00 188.37 N/A N/A 0 0 0 22 2020-12-07 $22.04 $23.00 52.5% 12.9% 7.2% 25.3% 0.0% 2.9% -10.3% -1.7K 20.5K -41 0.00 175.51 N/A N/A 0 0 0 22 2020-12-08 $22.11 $23.00 78.2% 13.2% 6.0% 38.3% 0.0% 2.8% -10.5% -1.0K 18.3K -52 0.00 188.41 N/A N/A 0 0 0 22 2020-12-09 $22.11 $23.00 45.7% 13.1% 6.1% 20.5% 0.0% -17.3% -10.9% -1.1K 18.9K -51 0.00 185.97 N/A N/A 0 0 0 22 2020-12-10 $22.12 $23.00 46.3% 13.3% 6.1% 20.8% 0.0% 3.9% -10.4% -1.1K 18.8K -50 0.00 187.90 N/A N/A 0 0 0 22 2020-12-11 $22.09 $23.00 46.1% 13.2% 5.3% 20.7% 0.0% -12.0% -10.1% -1.1K 19.1K -50 0.00 188.18 N/A N/A 0 6 0 22 2020-12-14 $22.10 $23.00 47.7% 13.7% 4.6% 21.5% 0.0% 2.5% -13.1% -1.1K 18.0K -41 0.00 186.97 N/A N/A 0 0 0 21 2020-12-15 $22.20 $23.00 48.3% 13.9% 4.3% 21.9% 0.0% -21.3% -13.2% -1.1K 17.5K -40 0.00 187.35 N/A N/A 0 0 0 21 2020-12-16 $22.31 $23.00 49.0% 14.0% 4.3% 22.2% 0.0% 3.3% -13.3% -1.1K 16.9K -37 0.00 186.76 N/A N/A 0 0 0 21 2020-12-17 $22.39 $23.00 23.9% 6.9% 4.1% 9.3% 0.0% 1.9% 0.0% -1.5K 16.2K -34 0.00 163.07 N/A N/A 0 0 0 21 2020-12-18 $22.34 $23.00 31.1% 8.9% 4.4% 13.0% 0.0% 2.8% -12.2% -521 11.8K -32 0.00 185.26 N/A N/A 0 0 0 21 2020-12-21 $22.13 $23.00 54.4% 15.6% 6.0% 25.0% 0.0% 13.0% 1.1% -372 7.4K -31 0.00 197.02 N/A N/A 0 0 0 6 2020-12-22 $22.12 $23.00 53.8% 15.4% 6.0% 25.2% 0.0% 1.6% -14.9% -394 7.5K -31 0.00 173.72 N/A N/A 0 0 0 6 2020-12-23 $22.16 $23.00 54.9% 15.7% 5.8% 25.8% 0.0% 10.0% -14.8% -400 7.5K -31 0.00 184.05 N/A N/A 0 0 0 6 2020-12-24 $22.19 $23.00 55.4% 15.9% 5.8% 26.0% 0.0% 37.6% -15.4% -403 7.5K -31 0.00 171.86 N/A N/A 0 0 0 6 2020-12-28 $22.23 $23.00 60.0% 17.2% 5.7% 28.5% 0.0% 37.4% -18.4% -432 7.5K -30 0.00 172.93 N/A N/A 0 0 0 6 2020-12-29 $22.20 $23.00 47.3% 13.6% 5.7% 21.8% 0.0% 53.5% 7.8% -444 7.6K -30 0.00 171.74 N/A N/A 0 0 0 6 2020-12-30 $22.29 $23.00 62.9% 18.0% 5.6% 30.0% 0.0% 32.0% -21.6% -441 7.4K -30 0.00 184.83 N/A N/A 0 0 0 6 2020-12-31 $22.37 $23.00 66.2% 19.0% 5.6% 31.7% 0.0% 7.0% -23.9% -440 7.2K -30 0.00 184.83 N/A N/A 0 0 0 6
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