PCEF Options History — August 2021

In August 2021, PCEF traded between $24.34 and $24.70. ATM implied volatility averaged 21.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 14.9% (HV 20d: 6.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-08-04: Highest Volume — 41 contracts
  • 2021-08-25: Largest IV spike — 569.2% change
  • 2021-08-04: Highest IV Rank — 17.8%
  • 2021-08-04: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.55$24.34$24.70$24.34$24.63
Max Pain$26.73$25.00$27.00$25.00$27.00
ATM IV21.7%3.6%31.8%27.8%17.4%
Expected Move6.2%1.0%9.1%8.0%5.0%
HV 20d6.8%3.2%10.5%10.4%4.2%
HV 60d7.3%6.8%8.7%8.7%7.0%
IV Rank11.2%0.0%17.8%15.0%9.7%
IV Percentile26.0%0.0%44.8%36.9%17.9%
Term Structure-4.4%-24.7%34.2%-8.9%-0.1%
VWIV21.3%14.5%28.1%14.5%28.1%
Skew 25d5.8%-10.3%29.8%28.1%1.7%
Skew 10d7.3%-0.4%31.8%11.8%25.2%
Call IV 25d17.8%5.4%31.3%7.7%6.6%
Put IV 25d23.6%5.7%38.2%35.8%8.2%
Bid-Ask Spread %138.2299.11157.17148.51116.89
Gamma HHI0.440.320.520.380.47
Net GEX-5.7K-9.1K-2.4K-2.4K-8.0K
Net DEX60.8K25.2K77.0K28.3K62.5K
Net VEX-343-434-106-126-365
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.86404110
Total OI67.68232833278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$24.34$25.0027.8%8.0%10.4%15.0%0.0%28.1%-8.9%-2.4K28.3K-1260.00148.51N/AN/A01131
2021-08-03$24.42$25.0023.0%6.6%10.5%11.5%0.0%12.3%-10.6%-2.9K25.5K-1060.00152.73N/AN/A01131
2021-08-04$24.47$25.0031.8%9.1%10.5%17.8%0.0%29.8%-9.8%-3.1K25.2K-1060.00150.21N/AN/A041131
2021-08-05$24.53$27.0019.4%5.9%10.2%8.9%0.0%2.2%-6.9%-2.5K25.7K-1160.00151.90N/AN/A02131
2021-08-06$24.58$27.0019.0%5.9%10.1%8.6%0.0%0.9%-5.6%-5.0K66.7K-3770.00151.45N/AN/A01166
2021-08-09$24.61$27.0028.8%6.6%10.1%15.7%0.0%-0.2%1.3%-4.3K67.9K-3860.00157.17N/AN/A10167
2021-08-10$24.62$27.0021.8%6.3%10.1%10.7%0.0%0.0%-5.1%-4.9K67.4K-3810.00152.79N/AN/A00167
2021-08-11$24.69$27.0021.2%6.1%10.1%10.2%0.0%-0.2%-7.6%-5.5K64.0K-3650.00148.72N/AN/A00267
2021-08-12$24.68$27.0022.3%6.4%9.9%11.0%0.0%0.0%-5.8%-4.8K65.7K-3780.00153.22N/AN/A010267
2021-08-13$24.70$27.0021.4%6.1%9.7%10.4%14.5%-0.3%-3.5%-5.0K64.5K-3680.00150.60N/AN/A20267
2021-08-16$24.68$27.0013.9%4.0%5.2%4.9%0.0%-0.1%-1.4%-8.3K66.7K-3820.00103.41N/AN/A00277
2021-08-17$24.61$27.0021.8%6.2%4.1%10.6%0.0%-0.4%-8.1%-6.9K67.5K-4110.00138.08N/AN/A00477
2021-08-18$24.61$27.0024.4%7.0%3.7%12.5%0.0%0.5%-8.3%-5.6K71.2K-4340.00151.63N/AN/A02477
2021-08-19$24.51$27.0025.7%7.4%4.1%13.4%0.0%0.4%-14.5%-5.5K73.7K-4340.00151.69N/AN/A00477
2021-08-20$24.53$27.0025.7%7.4%3.8%13.4%0.0%0.4%-21.7%-8.0K77.0K-4160.00149.07N/AN/A00479
2021-08-23$24.46$27.0023.9%6.9%3.9%12.2%0.0%17.4%-5.9%-6.2K72.7K-4170.00129.33N/AN/A00277
2021-08-24$24.48$27.003.6%1.0%3.7%0.0%0.0%0.5%34.2%-5.4K73.2K-4160.00119.05N/AN/A00277
2021-08-25$24.49$27.0024.4%7.0%3.2%14.6%0.0%3.5%-7.8%-6.9K68.0K-4050.00126.20N/AN/A00276
2021-08-26$24.36$27.0014.9%4.3%3.7%7.9%0.0%13.0%11.7%-9.1K67.8K-3820.00113.03N/AN/A00276
2021-08-27$24.51$27.0028.2%8.1%4.3%17.3%28.1%-10.3%-24.7%-8.2K64.8K-3790.0099.11N/AN/A20276
2021-08-30$24.56$27.0017.8%5.1%4.3%10.0%0.0%27.9%11.3%-7.0K70.8K-3960.00125.94N/AN/A00076
2021-08-31$24.63$27.0017.4%5.0%4.2%9.7%0.0%1.7%-0.1%-8.0K62.5K-3650.00116.89N/AN/A00276