PCEF Options History — October 2021

In October 2021, PCEF traded between $23.86 and $24.43. ATM implied volatility averaged 25.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 17.4% (HV 20d: 8.3%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-10-12: Highest Volume — 40 contracts
2021-10-11: Largest IV spike — 139.6% change
2021-10-11: Highest IV Rank — 38.5%
2021-10-01: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.21	$23.86	$24.43	$23.97	$24.43
Max Pain	$21.00	$21.00	$21.00	$21.00	$21.00
ATM IV	25.7%	11.3%	58.3%	44.0%	23.4%
Expected Move	6.0%	2.2%	12.6%	12.6%	6.7%
HV 20d	8.3%	5.2%	10.9%	9.9%	5.2%
HV 60d	7.6%	7.0%	8.7%	8.5%	7.0%
IV Rank	15.8%	5.4%	38.5%	28.5%	14.6%
IV Percentile	38.5%	2.8%	89.7%	68.7%	40.1%
Term Structure	-10.4%	-19.3%	-1.4%	-13.6%	-7.4%
Skew 25d	12.8%	-0.5%	48.7%	48.7%	19.4%
Skew 10d	7.2%	-1.0%	22.0%	4.8%	17.4%
Call IV 25d	7.7%	4.8%	20.5%	12.4%	6.8%
Put IV 25d	20.5%	6.2%	61.1%	61.1%	26.2%
Bid-Ask Spread %	139.27	87.82	176.90	168.32	145.80
Gamma HHI	0.57	0.51	0.76	0.55	0.53
Net GEX	-11.6K	-16.2K	-7.8K	-12.4K	-13.0K
Net DEX	75.2K	57.3K	86.6K	86.6K	77.1K
Net VEX	-394	-455	-333	-413	-455
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	5.524	0	40	0	13
Total OI	84.667	80	100	82	100

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
2021-10-01	$23.97	$21.00	44.0%	12.6%	9.9%	28.5%	0.0%	48.7%	-13.6%	-12.4K	86.6K	-413	168.32	N/A	N/A	0	0	2	80
2021-10-04	$23.86	$0.00	50.5%	5.6%	10.0%	33.0%	0.0%	17.1%	-1.4%	-7.8K	86.2K	-431	176.90	N/A	N/A	0	0	2	80
2021-10-05	$23.99	$0.00	37.9%	6.0%	10.3%	24.1%	0.0%	19.6%	-13.8%	-8.8K	84.0K	-424	160.23	N/A	N/A	0	0	2	80
2021-10-06	$23.97	$0.00	26.6%	6.0%	10.3%	16.2%	0.0%	19.8%	-14.6%	-9.1K	84.3K	-420	157.60	N/A	N/A	0	0	2	80
2021-10-07	$24.12	$0.00	11.3%	6.1%	10.6%	5.4%	0.0%	2.5%	-15.4%	-16.2K	78.9K	-387	120.85	N/A	N/A	0	0	2	80
2021-10-08	$24.13	$0.00	24.3%	5.4%	10.6%	14.6%	0.0%	-0.5%	-15.8%	-12.6K	76.8K	-391	114.85	N/A	N/A	0	0	2	80
2021-10-11	$24.14	$0.00	58.3%	6.2%	10.6%	38.5%	0.0%	19.9%	-16.3%	-8.6K	80.8K	-418	158.31	N/A	N/A	0	0	2	80
2021-10-12	$24.11	$0.00	19.9%	2.2%	10.6%	11.4%	0.0%	0.4%	-2.6%	-13.9K	75.6K	-372	99.43	N/A	N/A	0	40	2	80
2021-10-13	$24.18	$0.00	22.0%	6.3%	10.5%	12.9%	0.0%	17.0%	-15.9%	-14.2K	70.9K	-361	148.47	N/A	N/A	1	0	2	80
2021-10-14	$24.35	$0.00	22.6%	6.5%	10.9%	13.4%	0.0%	20.2%	-3.7%	-12.7K	60.8K	-336	153.07	N/A	N/A	0	0	2	80
2021-10-15	$24.37	$0.00	22.1%	6.3%	10.8%	13.0%	0.0%	8.6%	-5.3%	-12.8K	57.3K	-333	127.13	N/A	N/A	1	0	3	80
2021-10-18	$24.22	$0.00	16.6%	4.8%	6.8%	9.6%	0.0%	4.5%	-16.3%	-11.0K	74.3K	-362	146.34	N/A	N/A	0	0	0	80
2021-10-19	$24.32	$0.00	16.7%	4.8%	6.5%	9.7%	0.0%	17.1%	-3.8%	-13.2K	67.6K	-350	154.48	N/A	N/A	0	0	0	80
2021-10-20	$24.32	$0.00	13.7%	3.9%	6.3%	7.5%	0.0%	2.8%	-6.0%	-11.5K	69.5K	-368	98.26	N/A	N/A	0	8	0	80
2021-10-21	$24.26	$0.00	24.8%	7.1%	6.3%	15.7%	0.0%	23.5%	-18.8%	-11.9K	70.5K	-387	149.19	N/A	N/A	0	8	0	85
2021-10-22	$24.28	$0.00	25.7%	7.4%	6.3%	16.3%	0.0%	8.3%	-19.3%	-12.0K	78.0K	-420	146.47	N/A	N/A	0	8	0	90
2021-10-25	$24.32	$0.00	26.6%	7.6%	6.1%	17.0%	0.0%	9.8%	-5.4%	-11.3K	76.9K	-412	128.32	N/A	N/A	0	8	0	90
2021-10-26	$24.35	$0.00	17.9%	5.1%	5.2%	10.6%	0.0%	3.8%	-6.3%	-11.7K	75.1K	-405	146.24	N/A	N/A	0	8	0	90
2021-10-27	$24.35	$0.00	15.6%	4.5%	5.2%	8.8%	0.0%	2.5%	-8.6%	-10.4K	75.9K	-415	87.82	N/A	N/A	0	8	0	90
2021-10-28	$24.40	$0.00	18.5%	5.3%	5.2%	11.0%	0.0%	3.7%	-9.2%	-9.4K	71.2K	-405	136.63	N/A	N/A	0	13	0	90
2021-10-29	$24.43	$0.00	23.4%	6.7%	5.2%	14.6%	0.0%	19.4%	-7.4%	-13.0K	77.1K	-455	145.80	N/A	N/A	0	13	0	100