PCEF Options History — September 2021

In September 2021, PCEF traded between $23.87 and $24.68. ATM implied volatility averaged 26.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 19.3% (HV 20d: 6.7%). Max pain ranged from $21.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-09-14: Highest Volume — 12 contracts
2021-09-15: Largest IV spike — 259.6% change
2021-09-15: Highest IV Rank — 57.6%
2021-09-15: Largest Expected Move — 24.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.34	$23.87	$24.68	$24.66	$23.94
Max Pain	$21.30	$21.00	$27.00	$27.00	$21.00
ATM IV	26.0%	7.7%	85.5%	17.4%	7.7%
Expected Move	7.5%	2.2%	24.5%	5.0%	2.2%
HV 20d	6.7%	4.1%	10.1%	4.2%	9.9%
HV 60d	7.6%	6.8%	8.6%	7.0%	8.6%
IV Rank	15.7%	2.9%	57.6%	9.7%	2.9%
IV Percentile	34.7%	0.8%	98.0%	18.3%	0.8%
Term Structure	-5.6%	-37.8%	19.1%	16.6%	-2.6%
VWIV	48.9%	48.9%	48.9%	48.9%	48.9%
Skew 25d	13.6%	-0.9%	46.5%	29.3%	1.7%
Skew 10d	7.6%	-1.5%	32.7%	32.7%	1.8%
Call IV 25d	19.7%	4.3%	108.9%	7.8%	8.0%
Put IV 25d	33.3%	4.2%	123.3%	37.1%	9.7%
Bid-Ask Spread %	150.85	89.67	185.96	142.29	141.34
Gamma HHI	0.49	0.35	0.58	0.43	0.53
Net GEX	-7.4K	-13.4K	-2.6K	-5.3K	-9.9K
Net DEX	68.6K	50.4K	87.5K	70.0K	86.2K
Net VEX	-408	-455	-338	-410	-427
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	0.81	0	12	0	0
Total OI	83.286	78	95	78	82

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-09-01	$24.66	$27.00	17.4%	5.0%	4.2%	9.7%	0.0%	29.3%	16.6%	-5.3K	70.0K	-410	142.29	N/A	N/A	0	0	2	76
2021-09-02	$24.68	$0.00	17.4%	6.0%	4.1%	9.7%	0.0%	0.7%	-4.2%	-5.3K	69.5K	-406	163.62	N/A	N/A	0	0	2	76
2021-09-03	$24.63	$21.00	18.5%	6.1%	4.1%	10.4%	0.0%	0.7%	-4.9%	-5.4K	55.6K	-407	155.24	N/A	N/A	0	0	8	76
2021-09-07	$24.57	$21.00	20.8%	5.1%	4.2%	12.1%	0.0%	-0.4%	-5.5%	-6.8K	55.1K	-380	160.32	N/A	N/A	0	0	7	76
2021-09-08	$24.57	$21.00	21.5%	6.2%	4.2%	12.6%	0.0%	-0.4%	-6.9%	-5.8K	57.8K	-385	148.40	N/A	N/A	0	0	7	76
2021-09-09	$24.61	$21.00	13.6%	3.9%	4.1%	7.0%	0.0%	-0.2%	-0.8%	-8.3K	50.7K	-351	98.27	N/A	N/A	0	0	7	76
2021-09-10	$24.61	$21.00	21.3%	6.1%	4.1%	12.5%	0.0%	2.4%	-9.7%	-5.6K	57.2K	-391	161.91	N/A	N/A	0	0	7	76
2021-09-13	$24.57	$21.00	12.2%	3.5%	4.1%	6.0%	0.0%	-0.1%	-0.3%	-8.5K	50.4K	-338	89.67	N/A	N/A	0	0	7	76
2021-09-14	$24.48	$21.00	23.8%	6.8%	4.3%	14.2%	0.0%	-0.4%	-5.4%	-6.3K	56.7K	-371	156.16	N/A	N/A	0	12	7	76
2021-09-15	$24.57	$21.00	85.5%	24.5%	4.4%	57.6%	0.0%	14.4%	-37.8%	-2.6K	63.4K	-406	179.86	N/A	N/A	0	0	7	76
2021-09-16	$24.53	$21.00	20.2%	5.8%	4.5%	11.6%	0.0%	-0.9%	7.3%	-9.6K	62.3K	-392	145.69	N/A	N/A	0	0	7	88
2021-09-17	$24.44	$21.00	25.5%	7.3%	4.4%	15.4%	0.0%	8.6%	-6.6%	-9.2K	69.2K	-405	158.80	N/A	N/A	0	0	7	88
2021-09-20	$23.87	$21.00	24.0%	6.9%	9.4%	14.3%	48.9%	23.1%	-6.3%	-6.1K	80.8K	-451	156.96	N/A	N/A	3	0	5	78
2021-09-21	$24.04	$21.00	39.7%	11.4%	9.9%	25.4%	0.0%	42.8%	19.1%	-6.2K	72.8K	-451	185.96	N/A	N/A	0	2	5	78
2021-09-22	$24.17	$21.00	25.9%	7.4%	10.1%	15.6%	0.0%	25.6%	-6.5%	-8.5K	75.7K	-429	158.23	N/A	N/A	0	0	2	78
2021-09-23	$24.20	$21.00	26.9%	7.7%	10.1%	16.4%	0.0%	26.0%	-7.6%	-8.8K	76.9K	-438	158.07	N/A	N/A	0	0	2	80
2021-09-24	$24.19	$21.00	16.6%	4.8%	9.9%	9.2%	0.0%	-0.9%	-22.2%	-13.4K	76.0K	-413	107.23	N/A	N/A	0	0	2	80
2021-09-27	$24.09	$21.00	25.2%	7.2%	9.7%	15.2%	0.0%	21.2%	-11.0%	-12.0K	79.5K	-416	154.88	N/A	N/A	0	0	2	80
2021-09-28	$23.89	$21.00	40.0%	11.5%	10.0%	25.6%	0.0%	45.0%	-10.2%	-5.4K	87.5K	-455	171.78	N/A	N/A	0	0	2	80
2021-09-29	$23.90	$21.00	41.9%	12.0%	9.9%	26.9%	0.0%	46.5%	-11.8%	-5.3K	87.3K	-453	173.08	N/A	N/A	0	0	2	80
2021-09-30	$23.94	$21.00	7.7%	2.2%	9.9%	2.9%	0.0%	1.7%	-2.6%	-9.9K	86.2K	-427	141.34	N/A	N/A	0	0	2	80