PCEF Options History — May 2021

In May 2021, PCEF traded between $23.41 and $24.19. ATM implied volatility averaged 23.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 14.7% (HV 20d: 8.4%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days.

Notable Days

  • 2021-05-11: Largest IV spike — 137.2% change
  • 2021-05-11: Highest IV Rank — 35.9%
  • 2021-05-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.93$23.41$24.19$23.89$24.19
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV23.1%14.3%71.2%30.0%16.6%
Expected Move5.3%3.5%9.3%8.6%4.8%
HV 20d8.4%5.3%10.3%5.4%10.0%
HV 60d8.2%7.5%9.2%7.6%7.5%
IV Rank8.5%3.4%35.9%12.4%4.8%
IV Percentile18.1%6.7%82.1%26.6%11.9%
Term Structure4.2%-25.5%22.8%-22.8%14.8%
Skew 25d3.5%-37.6%23.5%21.9%8.9%
Skew 10d-9.4%-20.2%21.1%-1.5%-20.2%
Call IV 25d15.2%8.0%50.6%15.8%10.0%
Put IV 25d18.6%12.5%40.0%37.6%18.9%
Bid-Ask Spread %147.26138.53161.31160.57142.87
Gamma HHI0.610.370.760.660.70
Net GEX-5.5K-8.9K-2.9K-7.6K-5.2K
Net DEX18.8K8.6K36.6K16.8K13.5K
Net VEX-126-219-56-117-105
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI6363636363

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$23.89$0.0030.0%8.6%5.4%12.4%0.0%21.9%-22.8%-7.6K16.8K-1170.00160.57N/AN/A00063
2021-05-04$23.86$0.0030.9%8.9%5.5%12.9%0.0%23.5%-23.8%-8.9K11.1K-850.00161.12N/AN/A00063
2021-05-05$23.93$0.0032.5%9.3%5.5%13.8%0.0%21.8%-25.5%-7.1K16.4K-1110.00161.31N/AN/A00063
2021-05-06$23.94$23.0032.2%4.2%5.3%13.7%0.0%-12.0%10.4%-3.5K25.6K-1720.00150.26N/AN/A00063
2021-05-07$24.10$23.0021.9%3.5%5.7%7.8%0.0%-11.6%10.8%-5.9K13.1K-990.00142.42N/AN/A00063
2021-05-10$24.05$23.0030.0%4.1%5.8%12.4%0.0%-10.6%11.1%-7.4K11.5K-930.00143.58N/AN/A00063
2021-05-11$23.91$23.0071.2%7.1%6.2%35.9%0.0%-37.6%22.8%-4.4K36.6K-2190.00154.97N/AN/A00063
2021-05-12$23.41$23.0018.9%5.4%9.9%6.1%0.0%-5.5%-7.8%-4.4K31.4K-1790.00145.69N/AN/A00063
2021-05-13$23.57$23.0016.1%4.6%9.9%4.5%0.0%-6.1%10.7%-5.2K27.8K-1660.00146.67N/AN/A00063
2021-05-14$23.75$23.0016.7%4.8%10.3%4.8%0.0%4.0%5.0%-4.3K24.6K-1560.00144.95N/AN/A00063
2021-05-17$23.83$23.0016.6%4.8%9.8%4.7%0.0%6.8%8.8%-3.7K24.6K-1570.00146.18N/AN/A00063
2021-05-18$23.92$23.0015.1%4.3%9.8%3.9%0.0%5.8%-1.3%-4.2K17.9K-1250.00138.53N/AN/A00063
2021-05-19$23.86$23.0016.7%4.8%9.7%4.8%0.0%4.4%8.7%-3.8K23.1K-1520.00146.52N/AN/A00063
2021-05-20$24.02$23.0016.6%4.8%9.9%4.7%0.0%8.8%12.6%-7.3K8.6K-560.00145.41N/AN/A00063
2021-05-21$24.05$23.0016.4%4.7%9.8%4.6%0.0%8.7%0.6%-2.9K20.3K-1380.00141.42N/AN/A00063
2021-05-24$23.99$23.0016.5%4.7%9.9%4.7%0.0%9.4%7.5%-6.3K15.3K-1100.00146.61N/AN/A00063
2021-05-25$24.05$23.0016.8%4.8%9.9%4.8%0.0%9.9%13.3%-5.9K14.9K-1130.00143.69N/AN/A00063
2021-05-26$24.11$23.0016.0%4.6%9.9%4.4%0.0%10.3%14.2%-6.7K9.9K-670.00143.78N/AN/A00063
2021-05-27$24.08$23.0014.3%4.1%9.9%3.4%0.0%8.5%14.2%-5.3K13.6K-1030.00138.55N/AN/A00063
2021-05-28$24.19$23.0016.6%4.8%10.0%4.8%0.0%8.9%14.8%-5.2K13.5K-1050.00142.87N/AN/A00063