PCEF Options History — June 2021 In June 2021, PCEF traded between $24.19 and $24.64. ATM implied volatility averaged 25.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 19.4% (HV 20d: 6.4%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.78.
Notable Days 2021-06-01 : Highest Volume — 18 contracts2021-06-29 : Largest IV spike — 363.4% change2021-06-07 : Highest IV Rank — 17.0%2021-06-29 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.41 $24.19 $24.64 $24.27 $24.55 Max Pain $25.57 $23.00 $26.00 $23.00 $26.00 ATM IV 25.8% 7.0% 38.1% 30.8% 29.3% Expected Move 6.7% 2.0% 9.3% 8.8% 8.4% HV 20d 6.4% 3.8% 10.1% 10.0% 4.8% HV 60d 7.2% 6.9% 7.5% 7.5% 7.0% IV Rank 10.1% 0.0% 17.0% 12.9% 12.6% IV Percentile 25.7% 0.0% 38.1% 30.2% 34.1% Term Structure -3.3% -11.7% 13.5% 12.8% -11.7% VWIV 25.6% 22.2% 29.1% 22.2% 29.1% Skew 25d 5.7% -2.5% 27.2% -0.9% 27.2% Skew 10d 0.2% -27.4% 12.7% -27.4% 11.9% Call IV 25d 20.7% 7.1% 31.2% 21.2% 13.3% Put IV 25d 26.4% 6.8% 40.5% 20.2% 40.5% Bid-Ask Spread % 152.88 75.79 168.55 138.92 158.96 Gamma HHI 0.45 0.25 0.78 0.50 0.58 Net GEX -1.7K -3.2K -1.1K -3.2K -1.8K Net DEX 9.3K 2.5K 22.0K 22.0K 5.1K Net VEX -86 -150 -58 -150 -58 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.78 0.00 5.00 5.00 5.00 Total Volume 2.524 0 18 18 1 Total OI 46.571 19 63 63 20
Daily Data (21 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 2021-06-01 $24.27 $23.00 30.8% 8.8% 10.0% 12.9% 22.2% -0.9% 12.8% -3.2K 22.0K -150 5.00 138.92 N/A N/A 3 15 0 63 2021-06-02 $24.30 $23.00 32.1% 9.2% 10.0% 13.6% 0.0% 0.1% 13.5% -3.1K 10.7K -83 0.00 138.39 N/A N/A 0 0 3 55 2021-06-03 $24.28 $0.00 32.9% 5.4% 10.0% 14.1% 0.0% -1.7% -7.7% -2.3K 13.7K -99 0.00 168.55 N/A N/A 0 0 3 55 2021-06-04 $24.37 $0.00 33.8% 6.4% 10.1% 14.6% 0.0% 0.5% -5.3% -2.1K 12.2K -93 0.00 167.67 N/A N/A 0 0 3 55 2021-06-07 $24.37 $0.00 38.1% 6.7% 9.8% 17.0% 0.0% 0.6% -5.3% -2.1K 12.3K -93 0.00 165.41 N/A N/A 0 0 3 55 2021-06-08 $24.46 $0.00 34.8% 5.9% 9.8% 15.1% 0.0% -2.5% -5.1% -2.0K 10.3K -82 0.00 163.31 N/A N/A 0 0 3 55 2021-06-09 $24.51 $0.00 23.1% 6.6% 9.5% 8.5% 0.0% 11.8% -4.9% -1.4K 12.5K -94 0.00 166.74 N/A N/A 0 0 3 55 2021-06-10 $24.57 $0.00 17.7% 5.1% 4.6% 5.4% 0.0% 2.4% 5.7% -1.8K 10.9K -87 1.67 162.59 N/A N/A 3 5 3 55 2021-06-11 $24.60 $0.00 21.8% 6.2% 4.3% 7.7% 29.1% -1.9% -7.2% -1.1K 6.0K -90 0.00 157.07 N/A N/A 1 0 6 55 2021-06-14 $24.64 $26.00 18.9% 5.4% 3.8% 6.0% 0.0% 1.0% 4.7% -1.4K 2.5K -75 0.00 162.36 N/A N/A 0 0 7 55 2021-06-15 $24.56 $26.00 23.1% 6.6% 4.1% 8.4% 0.0% -0.5% -8.3% -1.6K 2.6K -71 0.00 159.12 N/A N/A 0 0 7 55 2021-06-16 $24.54 $26.00 25.7% 7.4% 4.1% 9.9% 0.0% 0.8% -6.7% -1.3K 4.9K -82 0.00 162.59 N/A N/A 0 0 7 55 2021-06-17 $24.40 $26.00 24.7% 7.1% 4.6% 9.4% 0.0% 0.2% -5.5% -1.4K 8.4K -90 0.00 160.99 N/A N/A 0 0 7 55 2021-06-18 $24.25 $26.00 16.3% 4.7% 4.8% 4.6% 0.0% 0.9% -5.1% -1.3K 4.5K -82 0.00 132.33 N/A N/A 0 0 7 55 2021-06-21 $24.19 $26.00 26.3% 7.5% 4.9% 10.3% 0.0% 16.6% -5.4% -1.2K 12.4K -89 0.00 160.62 N/A N/A 0 0 1 18 2021-06-22 $24.26 $26.00 17.5% 5.0% 4.9% 5.3% 0.0% 2.1% -6.2% -1.3K 10.5K -75 0.00 132.34 N/A N/A 1 0 1 18 2021-06-23 $24.25 $26.00 27.9% 8.0% 4.8% 11.2% 0.0% 18.8% -7.7% -1.8K 8.3K -79 5.00 158.50 N/A N/A 2 10 2 18 2021-06-25 $24.32 $26.00 27.4% 7.9% 4.9% 10.9% 0.0% 20.1% -9.4% -1.4K 9.4K -82 0.00 158.79 N/A N/A 0 0 2 18 2021-06-28 $24.43 $26.00 7.0% 2.0% 5.0% 0.0% 0.0% -0.4% 8.1% -1.1K 7.4K -63 0.00 75.79 N/A N/A 0 0 2 18 2021-06-29 $24.49 $26.00 32.6% 9.3% 4.9% 14.5% 0.0% 25.3% -11.4% -1.3K 8.6K -79 5.00 159.41 N/A N/A 2 10 2 18 2021-06-30 $24.55 $26.00 29.3% 8.4% 4.8% 12.6% 0.0% 27.2% -11.7% -1.8K 5.1K -58 0.00 158.96 N/A N/A 0 1 2 18
« May 2021 | All History | Jul 2021 » Home PCEF History June 2021