PCEF Options History — January 2021

Name: PCEF Options Analytics - January 2021
Creator: Options Analysis Suite

In January 2021, PCEF traded between $22.14 and $22.55. ATM implied volatility averaged 59.1%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 52.4% (HV 20d: 6.7%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days.

Notable Days

2021-01-12: Largest IV spike — 150.0% change
2021-01-12: Highest IV Rank — 69.9%
2021-01-29: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.37	$22.14	$22.55	$22.14	$22.20
ATM IV	59.1%	23.4%	138.6%	52.3%	83.2%
Expected Move	13.1%	6.7%	23.9%	12.1%	23.9%
HV 20d	6.7%	6.0%	7.6%	7.0%	7.6%
HV 60d	9.1%	7.8%	9.7%	9.7%	8.0%
IV Rank	28.0%	9.2%	69.9%	24.4%	40.7%
IV Percentile	49.0%	9.5%	89.7%	46.0%	82.1%
Term Structure	-7.4%	-37.9%	27.4%	-5.7%	-22.8%
Skew 25d	13.0%	-15.1%	43.5%	1.0%	3.2%
Skew 10d	6.6%	-57.8%	18.7%	6.8%	12.6%
Call IV 25d	50.3%	11.0%	109.2%	55.8%	109.2%
Put IV 25d	63.2%	36.8%	112.4%	56.8%	112.4%
Bid-Ask Spread %	187.45	166.79	195.70	193.09	175.85
Gamma HHI	0.52	0.50	0.54	0.50	0.54
Net GEX	-429	-525	-221	-436	-418
Net DEX	6.7K	5.6K	8.2K	7.7K	6.3K
Net VEX	-27	-29	-26	-29	-26
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	5.526	5	6	6	5

Daily Data (19 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	Put OI
2021-01-04	$22.14	$0.00	52.3%	12.1%	7.0%	24.4%	0.0%	1.0%	-5.7%	-436	7.7K	-29	193.09	N/A	N/A	6
2021-01-05	$22.23	$0.00	56.4%	12.4%	6.6%	26.6%	0.0%	2.1%	-6.0%	-435	7.5K	-29	191.28	N/A	N/A	6
2021-01-06	$22.27	$0.00	83.8%	12.3%	6.6%	41.0%	0.0%	15.9%	-6.2%	-437	7.4K	-29	192.76	N/A	N/A	6
2021-01-07	$22.37	$0.00	57.9%	9.6%	6.6%	27.3%	0.0%	42.5%	13.8%	-525	7.5K	-29	191.70	N/A	N/A	6
2021-01-08	$22.42	$0.00	73.0%	12.6%	6.7%	35.3%	0.0%	7.7%	-6.6%	-388	7.1K	-29	189.12	N/A	N/A	6
2021-01-11	$22.35	$0.00	55.4%	13.1%	6.8%	26.1%	0.0%	20.4%	-7.6%	-490	7.4K	-28	189.96	N/A	N/A	6
2021-01-12	$22.31	$0.00	138.6%	13.0%	6.8%	69.9%	0.0%	20.4%	-7.3%	-460	7.4K	-28	191.65	N/A	N/A	6
2021-01-13	$22.42	$0.00	45.8%	13.1%	7.0%	21.0%	0.0%	19.1%	-7.5%	-470	7.2K	-28	191.13	N/A	N/A	6
2021-01-14	$22.46	$0.00	46.3%	13.3%	6.9%	21.3%	0.0%	43.5%	-8.7%	-493	8.1K	-27	181.22	N/A	N/A	6
2021-01-15	$22.46	$0.00	46.5%	13.3%	6.7%	21.4%	0.0%	1.9%	-7.9%	-428	8.2K	-27	191.23	N/A	N/A	6
2021-01-19	$22.37	$0.00	26.3%	7.5%	6.7%	10.7%	0.0%	0.0%	-0.3%	-221	5.6K	-28	190.16	N/A	N/A	5
2021-01-20	$22.51	$0.00	48.5%	13.9%	7.0%	22.4%	0.0%	2.8%	-9.8%	-417	5.7K	-27	191.13	N/A	N/A	5
2021-01-21	$22.55	$0.00	48.8%	14.0%	6.0%	22.6%	0.0%	2.1%	-10.1%	-423	5.7K	-27	187.82	N/A	N/A	5
2021-01-22	$22.49	$0.00	39.5%	11.3%	6.1%	17.7%	0.0%	27.9%	-6.6%	-424	5.8K	-27	178.95	N/A	N/A	5
2021-01-25	$22.44	$0.00	64.8%	18.6%	6.2%	31.0%	0.0%	2.0%	-37.9%	-421	5.9K	-26	185.38	N/A	N/A	5
2021-01-26	$22.44	$0.00	23.4%	6.7%	6.2%	9.2%	0.0%	0.0%	27.4%	-414	5.9K	-26	195.70	N/A	N/A	5
2021-01-27	$22.22	$0.00	50.3%	14.4%	7.2%	23.4%	0.0%	22.7%	-23.2%	-416	6.2K	-26	166.79	N/A	N/A	5
2021-01-28	$22.34	$0.00	82.8%	0.0%	7.4%	40.5%	0.0%	-15.1%	0.0%	-434	6.0K	-26	186.64	N/A	N/A	5
2021-01-29	$22.20	$0.00	83.2%	23.9%	7.6%	40.7%	0.0%	3.2%	-22.8%	-418	6.3K	-26	175.85	N/A	N/A	5