PCEF Options History — March 2021

In March 2021, PCEF traded between $22.58 and $23.23. ATM implied volatility averaged 14.6%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.6% (HV 20d: 9.9%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days.

Notable Days

  • 2021-03-24: Highest Volume — 32 contracts
  • 2021-03-15: Largest IV drop — 42.0% change
  • 2021-03-11: Highest IV Rank — 9.3%
  • 2021-03-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.93$22.58$23.23$22.88$23.23
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV14.6%8.3%25.6%12.9%13.4%
Expected Move4.5%2.4%7.3%3.7%3.8%
HV 20d9.9%7.7%11.3%9.9%7.7%
HV 60d8.2%7.8%8.4%7.9%8.1%
IV Rank3.1%0.0%9.3%2.0%2.9%
IV Percentile3.2%0.0%11.9%0.4%4.8%
Term Structure7.0%-6.2%21.3%14.6%10.1%
VWIV9.7%6.5%13.7%9.0%6.5%
Skew 25d16.9%5.1%24.4%24.4%19.0%
Skew 10d7.7%-10.6%27.2%20.2%8.6%
Call IV 25d11.3%8.3%31.8%10.3%9.4%
Put IV 25d28.2%15.2%38.6%34.7%28.4%
Bid-Ask Spread %159.33148.79166.94149.57162.02
Gamma HHI0.420.330.640.350.64
Net GEX-7.7K-16.6K-3.9K-5.4K-10.6K
Net DEX32.4K21.5K66.7K21.6K44.8K
Net VEX-129-204-95-97-136
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume1.95703200
Total OI54.8743794379

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$22.88$23.0012.9%3.7%9.9%2.0%0.0%24.4%14.6%-5.4K21.6K-970.00149.57N/AN/A00043
2021-03-02$22.89$23.0013.9%4.0%9.6%2.5%0.0%24.2%12.1%-5.4K21.5K-960.00151.57N/AN/A05043
2021-03-03$22.81$23.0013.6%3.9%9.4%2.4%0.0%6.8%12.2%-5.8K26.5K-1260.00154.28N/AN/A00048
2021-03-04$22.58$0.0016.3%6.9%10.1%3.9%0.0%20.7%-6.2%-6.3K30.5K-1390.00159.74N/AN/A00048
2021-03-05$22.69$0.0017.2%7.3%10.1%4.4%0.0%18.7%-5.3%-5.8K29.8K-1410.00161.07N/AN/A00048
2021-03-08$22.69$0.0016.9%7.3%10.1%4.3%0.0%18.9%-6.2%-5.7K30.9K-1400.00163.91N/AN/A00048
2021-03-09$22.82$0.0018.0%5.6%10.1%4.9%0.0%21.4%-1.2%-6.0K27.4K-1310.00165.77N/AN/A00048
2021-03-10$22.92$0.0025.3%7.2%10.2%9.1%0.0%14.6%-5.4%-5.8K25.9K-1210.00166.94N/AN/A00048
2021-03-11$23.04$0.0025.6%7.3%10.4%9.3%0.0%14.6%-6.1%-5.4K21.9K-970.00164.71N/AN/A00048
2021-03-12$22.97$0.0017.1%4.9%10.5%4.4%0.0%7.3%2.9%-6.1K24.2K-1140.00159.62N/AN/A00048
2021-03-15$23.03$0.009.9%2.8%10.5%0.3%9.0%15.8%4.1%-6.1K21.8K-1000.00148.79N/AN/A04048
2021-03-16$23.06$23.0011.6%3.3%10.5%1.2%0.0%19.6%10.0%-6.4K26.7K-1060.00160.84N/AN/A00052
2021-03-17$23.11$23.0012.6%3.6%10.5%1.8%0.0%11.5%10.1%-5.9K23.3K-950.00159.99N/AN/A00052
2021-03-18$22.89$23.0011.4%3.3%11.1%1.1%0.0%19.6%21.3%-6.4K27.8K-980.00156.38N/AN/A00052
2021-03-19$23.05$23.0013.7%3.9%11.3%2.4%0.0%21.5%16.4%-16.6K26.4K-1190.00157.84N/AN/A00052
2021-03-22$22.96$23.0013.0%3.7%10.9%2.0%0.0%22.3%11.1%-3.9K31.5K-1640.00164.26N/AN/A00047
2021-03-23$22.90$23.0013.3%3.8%10.9%2.2%0.0%18.8%11.3%-5.4K25.2K-1270.00163.55N/AN/A00047
2021-03-24$22.96$23.0011.9%3.4%10.6%1.4%13.7%10.6%11.5%-5.0K24.7K-1260.00163.55N/AN/A032047
2021-03-25$22.89$23.008.3%2.4%9.1%0.0%6.5%16.8%11.6%-13.5K66.7K-2040.00163.19N/AN/A04079
2021-03-26$22.97$23.0010.8%3.1%9.0%1.4%0.0%16.5%12.1%-13.1K58.2K-1720.00164.94N/AN/A00079
2021-03-29$23.06$23.0015.2%4.4%7.7%4.0%0.0%18.9%8.3%-14.1K56.5K-1760.00149.03N/AN/A00079
2021-03-30$23.10$23.0013.2%3.8%7.7%2.8%0.0%5.1%11.2%-12.0K52.1K-1520.00153.04N/AN/A00079
2021-03-31$23.23$23.0013.4%3.8%7.7%2.9%0.0%19.0%10.1%-10.6K44.8K-1360.00162.02N/AN/A00079