PCEF Options History — February 2021 In February 2021, PCEF traded between $22.38 and $22.94. ATM implied volatility averaged 24.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 16.5% (HV 20d: 7.6%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2021-02-10 : Highest Volume — 31 contracts2021-02-25 : Largest IV spike — 205.0% change2021-02-04 : Highest IV Rank — 22.5%2021-02-01 : Largest Expected Move — 13.1%Monthly Statistics Metric Avg Min Max Open Close Price $22.76 $22.38 $22.94 $22.38 $22.56 Max Pain $23.00 $23.00 $23.00 $23.00 $23.00 ATM IV 24.2% 9.5% 48.6% 45.6% 14.3% Expected Move 6.7% 2.7% 13.1% 13.1% 4.1% HV 20d 7.6% 6.9% 9.1% 8.1% 9.1% HV 60d 6.8% 6.2% 7.9% 7.9% 7.4% IV Rank 9.1% 0.0% 22.5% 20.9% 2.8% IV Percentile 9.0% 0.0% 35.7% 27.4% 1.6% Term Structure -0.6% -11.8% 14.6% 1.7% 7.8% VWIV 2.8% 2.8% 2.8% 2.8% 2.8% Skew 25d 9.5% -9.6% 38.9% 26.8% 21.0% Skew 10d 4.9% -11.4% 20.5% 8.5% 14.5% Call IV 25d 23.7% 10.4% 41.9% 35.5% 11.7% Put IV 25d 33.1% 16.5% 62.3% 62.3% 32.7% Bid-Ask Spread % 153.86 139.92 176.69 176.69 139.92 Gamma HHI 0.49 0.34 0.66 0.54 0.37 Net GEX -1.4K -5.4K 7.5K -535 -5.0K Net DEX 7.9K -4.8K 31.5K 6.1K 29.3K Net VEX -66 -153 -25 -25 -133 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 2.368 0 31 0 0 Total OI 29.053 5 45 5 43
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-02-01 $22.38 $0.00 45.6% 13.1% 8.1% 20.9% 0.0% 26.8% 1.7% -535 6.1K -25 0.00 176.69 N/A N/A 0 0 0 5 2021-02-02 $22.55 $0.00 27.0% 7.7% 7.5% 11.1% 0.0% 24.2% 0.4% -518 5.8K -25 0.00 163.01 N/A N/A 0 0 0 5 2021-02-03 $22.61 $0.00 26.6% 7.6% 7.5% 10.9% 0.0% 30.8% 5.1% -514 5.6K -25 0.00 159.37 N/A N/A 0 0 0 5 2021-02-04 $22.71 $0.00 48.6% 9.3% 7.6% 22.5% 0.0% 1.1% -7.7% -490 5.4K -25 0.00 159.04 N/A N/A 5 0 0 5 2021-02-05 $22.73 $0.00 18.3% 5.6% 7.4% 6.5% 0.0% -0.7% -11.8% 373 682 -33 0.00 141.61 N/A N/A 2 0 5 5 2021-02-08 $22.85 $0.00 21.0% 6.4% 7.6% 7.9% 0.0% -9.6% -5.7% 194 -4.5K -34 0.00 152.07 N/A N/A 0 0 7 7 2021-02-09 $22.91 $0.00 21.3% 6.4% 7.5% 8.1% 0.0% -4.6% -5.7% 479 -4.4K -37 0.00 150.18 N/A N/A 0 0 7 7 2021-02-10 $22.90 $0.00 23.5% 6.7% 7.4% 9.3% 0.0% -4.4% -6.0% 390 -4.8K -33 0.00 155.45 N/A N/A 0 31 7 7 2021-02-11 $22.93 $0.00 18.6% 5.3% 7.3% 6.7% 0.0% -9.4% -6.1% -2.8K 3.6K -79 0.00 154.27 N/A N/A 0 0 7 38 2021-02-12 $22.93 $0.00 18.9% 5.4% 7.3% 6.8% 0.0% 0.3% 4.3% -1.5K 1.9K -74 0.00 155.60 N/A N/A 0 0 7 38 2021-02-16 $22.92 $0.00 26.2% 7.5% 7.3% 10.7% 0.0% 0.7% -8.6% -1.1K 2.1K -70 0.00 154.80 N/A N/A 2 0 7 38 2021-02-17 $22.94 $0.00 26.1% 7.5% 7.1% 10.6% 0.0% 1.1% -7.9% -1.9K 289 -62 0.00 154.64 N/A N/A 0 0 7 38 2021-02-18 $22.90 $0.00 22.2% 6.4% 6.9% 8.6% 0.0% 1.1% -1.5% -2.0K 614 -59 0.00 152.79 N/A N/A 1 0 7 38 2021-02-19 $22.94 $0.00 22.1% 6.3% 6.9% 6.4% 0.0% 11.4% 3.1% 7.5K 3.8K -59 0.00 154.17 N/A N/A 2 0 7 38 2021-02-22 $22.74 $0.00 9.5% 2.7% 7.6% 0.0% 2.8% 3.1% 14.6% -3.6K 13.5K -71 0.00 152.53 N/A N/A 0 2 0 38 2021-02-23 $22.64 $23.00 14.6% 4.2% 7.7% 2.8% 0.0% 24.3% 11.4% -4.3K 31.5K -153 0.00 146.87 N/A N/A 0 0 0 43 2021-02-24 $22.80 $23.00 13.5% 3.9% 8.1% 2.3% 0.0% 24.1% 11.3% -5.4K 23.0K -112 0.00 148.95 N/A N/A 0 0 0 43 2021-02-25 $22.46 $23.00 41.2% 11.8% 9.1% 18.2% 0.0% 38.9% -10.7% -5.1K 30.8K -140 0.00 151.45 N/A N/A 0 0 0 43 2021-02-26 $22.56 $23.00 14.3% 4.1% 9.1% 2.8% 0.0% 21.0% 7.8% -5.0K 29.3K -133 0.00 139.92 N/A N/A 0 0 0 43
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