PCEF Options History — November 2021

In November 2021, PCEF traded between $23.75 and $24.56. ATM implied volatility averaged 17.5%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 13.2% (HV 20d: 4.4%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2021-11-15: Highest Volume — 48 contracts
  • 2021-11-15: Largest IV spike — 64.8% change
  • 2021-11-04: Highest IV Rank — 22.5%
  • 2021-11-03: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.32$23.75$24.56$24.46$23.75
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV17.5%7.9%34.1%20.3%11.9%
Expected Move4.2%2.3%9.5%5.8%3.4%
HV 20d4.4%2.9%6.3%4.8%6.3%
HV 60d7.1%6.9%7.5%7.0%7.5%
IV Rank10.3%3.2%22.5%12.3%6.1%
IV Percentile23.0%1.2%68.3%29.4%6.3%
Term Structure1.6%-10.8%21.6%-10.1%12.5%
VWIV17.1%7.9%38.8%7.9%25.1%
Skew 25d3.7%-3.1%29.6%3.5%3.5%
Skew 10d4.8%-6.1%20.0%2.0%20.0%
Call IV 25d7.9%4.5%19.8%6.9%9.1%
Put IV 25d11.6%5.0%38.0%10.4%12.5%
Bid-Ask Spread %132.2775.80156.49137.63144.49
Gamma HHI0.390.260.530.490.31
Net GEX-9.4K-17.6K-5.5K-12.8K-8.7K
Net DEX68.2K33.4K99.9K74.8K99.9K
Net VEX-486-555-336-419-543
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.602.331.302.10
Total Volume28.04813481331
Total OI130.619100158100154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$24.46$0.0020.3%5.8%4.8%12.3%0.0%3.5%-10.1%-12.8K74.8K-4190.00137.63N/AN/A0130100
2021-11-02$24.46$0.0020.9%6.0%4.5%12.8%0.0%3.6%-10.0%-13.0K67.2K-3360.00144.68N/AN/A0130100
2021-11-03$24.46$0.0033.0%9.5%4.5%21.7%0.0%29.6%-10.8%-9.0K81.0K-4731.30146.82N/AN/A10130100
2021-11-04$24.46$24.0034.1%4.5%4.0%22.5%7.9%3.1%-7.1%-8.4K70.0K-4901.30145.10N/AN/A101310100
2021-11-05$24.43$24.0034.0%4.1%4.1%22.5%7.9%3.5%-7.7%-11.1K69.9K-4671.30126.72N/AN/A101310100
2021-11-08$24.56$24.0022.0%3.8%4.4%13.6%11.2%4.3%11.9%-9.3K58.9K-4171.30148.86N/AN/A101310100
2021-11-09$24.56$24.0022.3%3.4%4.4%13.9%8.8%3.3%12.2%-9.7K57.7K-4021.30126.89N/AN/A101310100
2021-11-10$24.48$24.0016.0%4.6%4.5%9.1%8.6%3.2%-8.4%-7.2K68.4K-4681.30144.82N/AN/A101310100
2021-11-11$24.50$24.0013.1%3.8%3.9%7.0%0.0%0.5%-6.3%-6.4K60.3K-3771.3083.93N/AN/A101310100
2021-11-12$24.55$24.0012.8%3.7%3.9%6.8%9.1%3.4%6.7%-11.1K62.4K-4402.30127.23N/AN/A102310100
2021-11-15$24.51$24.0021.2%6.1%3.2%13.0%19.6%3.2%-3.2%-8.0K80.5K-5440.60134.89N/AN/A301810110
2021-11-16$24.55$24.0018.5%5.3%2.9%11.0%15.1%-3.1%-4.7%-6.0K38.2K-5550.60124.17N/AN/A301840115
2021-11-17$24.47$24.0016.4%4.7%3.2%9.4%9.0%-0.8%-9.2%-5.5K41.9K-5321.50132.87N/AN/A121840115
2021-11-18$24.41$24.0017.2%4.9%3.2%10.1%38.8%1.3%-6.7%-5.6K33.4K-5531.50132.33N/AN/A121842115
2021-11-19$24.35$24.009.7%2.8%3.3%4.5%32.7%-1.8%9.6%-10.0K42.8K-5381.5075.80N/AN/A121843115
2021-11-22$24.11$24.007.9%2.3%4.8%3.2%9.2%2.8%13.9%-17.6K75.7K-5042.22129.21N/AN/A92040115
2021-11-23$23.97$24.008.5%2.4%5.2%3.6%20.8%2.7%15.1%-10.9K75.4K-5262.33145.22N/AN/A92140118
2021-11-24$24.01$24.008.4%2.4%5.2%3.5%27.6%3.3%21.6%-8.1K80.2K-5342.10156.49N/AN/A102134119
2021-11-26$23.83$24.0010.2%2.9%5.6%4.9%15.0%3.4%0.8%-9.7K99.5K-5552.10134.88N/AN/A102135119
2021-11-29$23.93$24.0010.0%2.9%5.9%4.7%24.0%4.7%12.7%-9.7K93.5K-5262.10134.58N/AN/A102135119
2021-11-30$23.75$24.0011.9%3.4%6.3%6.1%25.1%3.5%12.5%-8.7K99.9K-5432.10144.49N/AN/A102135119