PCEF Options History — April 2021

In April 2021, PCEF traded between $23.32 and $23.85. ATM implied volatility averaged 28.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 23.0% (HV 20d: 5.9%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2021-04-13: Highest Volume — 250 contracts
  • 2021-04-14: Largest IV drop — 79.1% change
  • 2021-04-13: Highest IV Rank — 34.7%
  • 2021-04-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.64$23.32$23.85$23.32$23.85
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV28.9%14.4%69.1%25.1%21.8%
Expected Move6.3%4.1%7.9%7.2%6.2%
HV 20d5.9%4.7%6.6%6.6%5.4%
HV 60d8.0%7.6%8.3%8.1%7.6%
IV Rank11.8%3.5%34.7%9.6%7.7%
IV Percentile22.2%7.1%77.8%17.1%15.9%
Term Structure-11.4%-21.1%0.1%-16.6%-7.9%
Skew 25d10.8%-4.7%25.8%10.6%25.8%
Skew 10d0.7%-3.0%4.5%2.7%-1.8%
Call IV 25d13.1%7.2%27.9%23.1%8.2%
Put IV 25d23.9%7.5%34.8%33.8%34.0%
Bid-Ask Spread %154.12118.89169.45162.05157.95
Gamma HHI0.670.470.900.580.50
Net GEX-15.4K-45.8K-2.3K-8.2K-3.6K
Net DEX66.4K5.4K211.0K43.5K25.9K
Net VEX-145-385-36-127-175
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume22.905025000
Total OI136.619432897963

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$23.32$23.0025.1%7.2%6.6%9.6%0.0%10.6%-16.6%-8.2K43.5K-1270.00162.05N/AN/A00079
2021-04-05$23.37$0.0029.1%6.3%6.5%11.9%0.0%-4.7%-11.3%-8.5K44.9K-1290.00169.45N/AN/A00079
2021-04-06$23.40$0.0033.0%5.9%6.5%14.1%0.0%-1.3%-13.6%-8.3K40.8K-1100.00166.84N/AN/A00079
2021-04-07$23.44$0.0031.0%6.9%6.3%13.0%0.0%-2.9%-3.2%-7.6K40.1K-1020.00169.10N/AN/A0211079
2021-04-08$23.57$0.0044.9%5.9%6.4%20.9%0.0%-2.1%-8.3%-35.1K211.0K-3850.00166.42N/AN/A000289
2021-04-09$23.61$0.0044.2%5.5%6.2%20.5%0.0%15.8%-10.3%-35.9K198.8K-3440.00160.61N/AN/A000289
2021-04-12$23.62$0.0044.4%6.0%6.0%20.6%0.0%18.3%-10.8%-40.4K183.1K-2630.00160.47N/AN/A000289
2021-04-13$23.69$0.0069.1%5.7%6.0%34.7%0.0%-0.1%-10.8%-37.1K180.0K-2250.00118.89N/AN/A02500289
2021-04-14$23.68$0.0014.4%4.1%6.1%3.5%0.0%2.9%0.1%-45.8K142.1K-1640.00119.72N/AN/A000289
2021-04-15$23.82$0.0020.7%5.9%6.3%7.1%0.0%19.2%-10.8%-38.1K145.4K-1390.00159.19N/AN/A000289
2021-04-16$23.85$0.0020.6%5.9%4.7%7.0%0.0%-1.1%-10.9%-13.3K15.4K-560.00127.59N/AN/A000289
2021-04-19$23.63$0.0017.1%4.9%5.9%5.0%0.0%20.7%-2.8%-2.6K9.7K-590.00158.28N/AN/A00043
2021-04-20$23.54$0.0022.8%6.5%5.8%8.3%0.0%20.2%-12.3%-3.0K11.0K-680.00161.50N/AN/A00043
2021-04-21$23.66$0.0021.9%6.3%5.8%7.8%0.0%9.0%-12.2%-2.7K9.4K-570.00147.46N/AN/A00043
2021-04-22$23.61$0.0026.0%7.5%5.9%10.1%0.0%21.7%-19.3%-2.9K10.2K-640.00159.99N/AN/A00043
2021-04-23$23.71$0.0023.1%6.6%5.8%8.5%0.0%7.7%-14.5%-2.3K5.4K-360.00157.76N/AN/A020043
2021-04-26$23.71$0.0016.8%4.8%5.8%4.9%0.0%2.2%-1.0%-10.6K11.8K-860.00134.49N/AN/A00063
2021-04-27$23.72$0.0026.0%7.5%5.7%10.1%0.0%21.7%-21.1%-5.4K22.9K-1540.00157.80N/AN/A00063
2021-04-28$23.79$0.0027.6%7.9%5.7%11.0%0.0%21.2%-20.2%-9.5K16.0K-1190.00160.87N/AN/A00063
2021-04-29$23.81$0.0027.7%7.9%5.5%11.1%0.0%21.8%-20.7%-3.5K27.7K-1840.00160.06N/AN/A00063
2021-04-30$23.85$0.0021.8%6.2%5.4%7.7%0.0%25.8%-7.9%-3.6K25.9K-1750.00157.95N/AN/A00063