PCEF Options History — December 2021

In December 2021, PCEF traded between $23.34 and $24.19. ATM implied volatility averaged 14.3%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.6% (HV 20d: 8.7%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.00.

Notable Days

  • 2021-12-14: Highest Volume — 55 contracts
  • 2021-12-03: Largest IV spike — 113.7% change
  • 2021-12-03: Highest IV Rank — 19.3%
  • 2021-12-03: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$23.34$24.19$23.72$24.19
Max Pain$23.77$23.00$25.00$24.00$23.00
ATM IV14.3%4.6%29.7%13.5%4.6%
Expected Move4.4%1.3%8.5%3.9%1.3%
HV 20d8.7%6.2%10.9%6.2%10.3%
HV 60d7.4%6.2%8.1%7.5%7.5%
IV Rank7.9%0.7%19.3%7.3%0.7%
IV Percentile19.1%0.4%67.9%10.7%0.4%
Term Structure-0.9%-19.4%18.6%10.3%16.7%
VWIV25.6%7.0%48.8%25.2%36.7%
Skew 25d12.4%0.1%30.2%2.4%4.3%
Skew 10d14.6%-4.3%42.9%22.2%35.5%
Call IV 25d8.6%4.4%12.8%10.3%5.9%
Put IV 25d21.0%8.2%42.6%12.7%10.3%
Bid-Ask Spread %136.3296.82156.86139.42146.93
Gamma HHI0.360.280.460.340.28
Net GEX-11.6K-22.1K-3.7K-13.6K-5.4K
Net DEX95.0K55.3K123.4K113.1K55.3K
Net VEX-438-541-300-517-342
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.776.002.106.00
Total Volume38.63626553128
Total OI144.545102180154117

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$23.72$24.0013.5%3.9%6.2%7.3%25.2%2.4%10.3%-13.6K113.1K-5172.10139.42N/AN/A102135119
2021-12-02$23.71$24.0013.9%4.0%6.2%7.6%26.1%3.5%10.2%-9.9K108.5K-5342.10134.63N/AN/A102135119
2021-12-03$23.50$24.0029.7%8.5%6.7%19.3%48.8%30.2%-18.9%-10.2K115.3K-5412.10140.86N/AN/A102135119
2021-12-06$23.67$25.0013.7%4.0%7.5%7.5%8.4%1.9%4.5%-18.0K123.4K-4332.10116.71N/AN/A102135119
2021-12-07$23.86$25.0010.1%6.0%7.8%4.8%7.7%17.8%-13.9%-22.1K107.2K-4230.86156.86N/AN/A282435119
2021-12-08$23.92$25.0012.4%6.4%8.0%6.5%7.0%14.9%-18.3%-10.3K93.6K-4970.80155.90N/AN/A302455122
2021-12-09$23.86$25.0011.3%4.1%7.9%5.7%7.9%11.9%-4.3%-12.3K99.1K-4930.80143.01N/AN/A302458122
2021-12-10$23.82$25.0012.0%6.3%7.9%6.2%0.0%19.3%-19.4%-12.1K96.9K-4890.80156.04N/AN/A302458122
2021-12-13$23.70$25.0019.0%4.2%7.9%11.4%0.0%0.1%-3.8%-12.8K112.6K-4950.80109.07N/AN/A302458122
2021-12-14$23.68$25.0021.8%5.6%7.9%13.5%23.5%1.6%-13.3%-12.3K106.6K-4610.77147.53N/AN/A312458122
2021-12-15$23.74$23.0022.8%6.5%8.0%14.2%25.8%17.0%-19.1%-13.0K105.3K-4600.77153.17N/AN/A312458122
2021-12-16$23.68$23.0013.1%3.8%7.9%7.0%26.7%17.4%10.5%-10.4K106.0K-4720.77142.97N/AN/A312458122
2021-12-17$23.74$23.0023.4%6.7%8.1%14.7%26.5%16.3%-3.4%-15.1K104.8K-4240.77150.37N/AN/A312458122
2021-12-20$23.34$23.0023.4%6.7%9.8%14.7%38.8%21.5%-7.7%-9.5K104.6K-4335.50153.28N/AN/A422597
2021-12-21$23.52$23.0013.7%3.9%9.9%7.5%11.4%11.2%11.7%-15.2K108.2K-3635.50140.25N/AN/A422597
2021-12-22$23.65$23.0013.8%4.0%10.0%7.5%28.4%5.0%1.1%-13.6K86.3K-3005.50110.11N/AN/A422597
2021-12-23$23.92$23.0012.7%3.6%10.9%6.7%29.6%10.3%18.6%-17.4K83.4K-3625.50120.97N/AN/A422597
2021-12-27$24.01$23.008.2%2.3%10.6%3.4%30.8%9.7%-0.8%-6.7K71.3K-4225.5099.31N/AN/A4221597
2021-12-28$23.97$23.007.4%2.1%10.5%2.8%33.0%19.4%2.1%-7.6K60.7K-3295.50139.39N/AN/A4221597
2021-12-29$24.04$23.006.6%1.9%10.2%2.2%32.7%10.0%1.6%-3.7K64.8K-4445.5096.82N/AN/A4221597
2021-12-30$24.07$23.006.7%1.9%10.2%2.3%36.9%27.2%15.0%-5.1K62.5K-3956.00145.34N/AN/A4241597
2021-12-31$24.19$23.004.6%1.3%10.3%0.7%36.7%4.3%16.7%-5.4K55.3K-3426.00146.93N/AN/A42415102