PCEF Options History — July 2021 In July 2021, PCEF traded between $23.78 and $24.56. ATM implied volatility averaged 34.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 26.9% (HV 20d: 7.6%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2021-07-19 : Highest Volume — 8 contracts2021-07-19 : Largest IV spike — 80.1% change2021-07-13 : Highest IV Rank — 45.6%2021-07-19 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $24.35 $23.78 $24.56 $24.53 $24.38 Max Pain $25.10 $25.00 $26.00 $26.00 $25.00 ATM IV 34.5% 16.7% 70.3% 32.7% 16.7% Expected Move 7.4% 3.9% 10.8% 9.4% 4.8% HV 20d 7.6% 4.8% 10.4% 4.8% 10.4% HV 60d 7.8% 7.0% 8.7% 7.1% 8.7% IV Rank 18.0% 7.0% 45.6% 14.6% 7.0% IV Percentile 41.5% 13.5% 89.7% 38.9% 13.5% Term Structure -5.2% -12.2% 9.7% -12.0% -9.5% Skew 25d 13.9% -2.6% 28.5% 27.1% 0.9% Skew 10d -1.2% -10.2% 7.3% 3.2% 0.1% Call IV 25d 13.4% 6.0% 27.0% 14.5% 6.0% Put IV 25d 27.4% 7.0% 41.6% 41.6% 7.0% Bid-Ask Spread % 157.88 101.61 178.12 158.92 101.61 Gamma HHI 0.39 0.33 0.47 0.47 0.37 Net GEX -1.9K -3.9K -81 -1.1K -745 Net DEX 21.4K 9.4K 30.9K 9.4K 19.7K Net VEX -101 -147 -57 -83 -57 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 0.952 0 8 5 0 Total OI 28.286 20 32 20 32
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 2021-07-01 $24.53 $26.00 32.7% 9.4% 4.8% 14.6% 0.0% 27.1% -12.0% -1.1K 9.4K -83 0.00 158.92 N/A N/A 0 5 2 18 2021-07-02 $24.56 $26.00 33.2% 9.5% 4.8% 14.9% 0.0% 4.7% -12.2% -1.8K 17.7K -81 0.00 148.19 N/A N/A 0 0 2 23 2021-07-06 $24.50 $25.00 40.9% 3.9% 4.8% 19.2% 0.0% 7.2% -2.9% -1.9K 17.9K -81 0.00 161.20 N/A N/A 0 0 2 23 2021-07-07 $24.52 $25.00 57.7% 8.3% 4.8% 29.5% 0.0% 28.5% -3.0% -1.2K 20.5K -105 0.00 178.12 N/A N/A 0 0 2 23 2021-07-08 $24.35 $25.00 62.0% 8.8% 5.2% 31.9% 0.0% 26.5% -4.3% -1.6K 19.6K -100 0.00 177.41 N/A N/A 0 0 2 23 2021-07-09 $24.46 $25.00 47.1% 6.5% 5.5% 23.3% 0.0% 0.7% -3.1% -1.7K 18.9K -85 0.00 163.17 N/A N/A 0 0 2 23 2021-07-12 $24.51 $25.00 48.5% 6.3% 5.4% 24.1% 0.0% -0.3% -4.1% -1.9K 17.8K -75 0.00 160.49 N/A N/A 5 0 2 23 2021-07-13 $24.54 $25.00 70.3% 6.7% 5.4% 45.6% 0.0% 17.4% -3.7% -1.2K 12.3K -79 0.00 160.13 N/A N/A 0 0 7 23 2021-07-14 $24.55 $25.00 23.5% 6.8% 5.4% 11.9% 0.0% 17.4% -3.9% -81 16.6K -89 0.00 160.10 N/A N/A 0 0 7 23 2021-07-15 $24.40 $25.00 32.1% 9.2% 5.7% 18.1% 0.0% 14.1% -5.4% -1.0K 14.5K -93 0.00 175.65 N/A N/A 0 0 7 23 2021-07-16 $24.29 $25.00 20.9% 6.0% 5.9% 10.0% 0.0% 12.0% -4.0% -1.5K 21.6K -85 0.00 157.29 N/A N/A 0 0 7 23 2021-07-19 $23.78 $25.00 37.6% 10.8% 9.3% 22.1% 0.0% 0.1% -8.3% -1.2K 24.1K -105 0.00 165.56 N/A N/A 0 8 1 23 2021-07-20 $24.05 $25.00 20.1% 5.8% 10.1% 9.4% 0.0% 10.2% 9.7% -2.4K 30.9K -147 0.00 170.03 N/A N/A 0 0 1 31 2021-07-21 $24.19 $25.00 28.1% 8.1% 10.3% 15.2% 0.0% 11.8% -6.2% -3.9K 26.2K -113 0.00 174.69 N/A N/A 0 2 1 31 2021-07-22 $24.19 $25.00 25.8% 7.4% 10.3% 13.5% 0.0% 23.1% -5.3% -2.8K 29.9K -139 0.00 156.24 N/A N/A 0 0 1 31 2021-07-23 $24.30 $25.00 26.1% 7.5% 10.4% 13.8% 0.0% 23.4% -5.5% -2.4K 28.7K -138 0.00 154.55 N/A N/A 0 0 1 31 2021-07-26 $24.26 $25.00 27.1% 7.8% 10.4% 14.5% 0.0% -2.6% -6.3% -1.9K 23.5K -108 0.00 125.31 N/A N/A 0 0 1 23 2021-07-27 $24.19 $25.00 23.8% 6.8% 10.2% 12.1% 0.0% 21.8% -5.9% -3.1K 27.3K -122 0.00 155.31 N/A N/A 0 0 1 31 2021-07-28 $24.33 $25.00 27.3% 7.8% 10.4% 14.6% 0.0% 25.8% -6.4% -2.1K 29.7K -139 0.00 153.36 N/A N/A 0 0 1 31 2021-07-29 $24.39 $25.00 23.5% 6.7% 10.4% 11.9% 0.0% 22.5% -7.6% -3.8K 21.8K -90 0.00 158.13 N/A N/A 0 0 1 31 2021-07-30 $24.38 $25.00 16.7% 4.8% 10.4% 7.0% 0.0% 0.9% -9.5% -745 19.7K -57 0.00 101.61 N/A N/A 0 0 1 31
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