PCEF Options History — January 2022

In January 2022, PCEF traded between $22.24 and $24.19. ATM implied volatility averaged 21.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 10.0% (HV 20d: 11.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.09.

Notable Days

2022-01-18: Highest Volume — 91 contracts
2022-01-12: Largest IV spike — 187.5% change
2022-01-26: Highest IV Rank — 64.3%
2022-01-26: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.35	$22.24	$24.19	$24.19	$22.81
Max Pain	$22.50	$22.00	$23.00	$23.00	$22.00
ATM IV	21.2%	4.4%	56.3%	4.4%	29.6%
Expected Move	6.5%	1.3%	16.1%	1.3%	8.5%
HV 20d	11.2%	9.5%	14.7%	9.6%	14.7%
HV 60d	8.7%	7.4%	11.1%	7.4%	11.1%
IV Rank	20.0%	0.5%	64.3%	0.5%	31.7%
IV Percentile	44.9%	0.4%	96.4%	0.4%	79.8%
Term Structure	-10.8%	-43.4%	17.0%	17.0%	-21.1%
VWIV	30.4%	7.3%	57.5%	36.4%	17.1%
Skew 25d	4.0%	-7.4%	39.3%	1.2%	15.2%
Skew 10d	14.1%	-0.7%	51.7%	14.4%	36.2%
Call IV 25d	26.4%	6.6%	44.8%	6.6%	11.5%
Put IV 25d	30.4%	7.8%	72.7%	7.8%	26.7%
Bid-Ask Spread %	151.88	136.07	176.72	141.17	136.07
Gamma HHI	0.28	0.23	0.54	0.54	0.25
Net GEX	-6.8K	-15.2K	6.9K	6.9K	-10.3K
Net DEX	92.9K	38.2K	163.1K	38.2K	113.0K
Net VEX	-468	-638	-333	-333	-451
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.32	6.25	4.17	0.80
Total Volume	65.65	29	91	31	54
Total OI	156.9	117	194	117	137

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$24.19	$23.00	4.4%	1.3%	9.6%	0.5%	36.4%	1.2%	17.0%	6.9K	38.2K	-333	4.17	141.17	N/A	N/A	6	25	15	102
2022-01-04	$24.12	$23.00	4.6%	1.3%	9.5%	0.7%	48.1%	12.1%	15.8%	1.7K	56.3K	-352	6.25	146.60	N/A	N/A	4	25	17	108
2022-01-05	$23.85	$23.00	7.5%	2.2%	10.0%	2.9%	7.3%	39.3%	13.8%	-8.3K	76.4K	-383	0.79	148.45	N/A	N/A	34	27	18	108
2022-01-06	$23.89	$0.00	11.3%	6.1%	10.0%	5.7%	0.0%	2.3%	-14.3%	-12.4K	57.0K	-540	0.74	162.58	N/A	N/A	34	25	48	110
2022-01-07	$23.92	$0.00	10.7%	4.2%	9.9%	5.2%	0.0%	-7.4%	-3.2%	-4.0K	44.1K	-466	0.74	148.63	N/A	N/A	34	25	48	110
2022-01-10	$23.85	$0.00	8.9%	3.9%	10.0%	3.9%	0.0%	-5.3%	-3.4%	-3.9K	57.1K	-638	0.74	150.36	N/A	N/A	34	25	48	110
2022-01-11	$24.01	$0.00	10.8%	5.7%	10.1%	5.3%	0.0%	1.2%	-13.2%	-3.9K	42.1K	-575	0.62	156.01	N/A	N/A	34	21	48	110
2022-01-12	$24.07	$0.00	31.2%	8.9%	10.1%	20.4%	0.0%	1.5%	-18.9%	-12.7K	44.4K	-594	0.32	176.72	N/A	N/A	65	21	48	112
2022-01-13	$23.93	$0.00	15.3%	4.4%	10.3%	14.2%	0.0%	1.9%	-3.3%	-5.3K	56.2K	-465	0.35	156.24	N/A	N/A	65	23	77	112
2022-01-14	$23.82	$0.00	21.0%	6.0%	10.4%	21.3%	0.0%	1.1%	-19.0%	-4.6K	53.6K	-547	0.38	154.62	N/A	N/A	65	25	77	114
2022-01-18	$23.51	$0.00	25.4%	7.3%	11.4%	26.6%	0.0%	0.9%	-21.2%	-4.8K	75.8K	-596	0.40	154.58	N/A	N/A	65	26	77	116
2022-01-19	$23.38	$0.00	20.0%	5.7%	9.8%	20.0%	0.0%	-4.2%	-15.7%	-15.2K	115.4K	-419	0.40	141.60	N/A	N/A	65	26	77	117
2022-01-20	$23.27	$0.00	19.8%	5.7%	9.5%	19.7%	0.0%	-4.0%	-14.2%	-13.1K	124.8K	-479	0.40	142.86	N/A	N/A	65	26	77	117
2022-01-21	$22.68	$0.00	35.1%	10.1%	12.8%	38.5%	0.0%	2.1%	-20.8%	-9.7K	163.1K	-436	0.40	157.57	N/A	N/A	65	26	77	117
2022-01-24	$22.24	$0.00	21.9%	6.3%	13.2%	22.4%	0.0%	0.1%	2.5%	-8.0K	156.9K	-424	1.13	149.71	N/A	N/A	30	34	30	112
2022-01-25	$22.30	$0.00	32.1%	9.2%	13.1%	34.8%	0.0%	-5.8%	-6.9%	-6.6K	127.8K	-491	0.73	148.07	N/A	N/A	30	22	30	105
2022-01-26	$22.28	$0.00	56.3%	16.1%	13.1%	64.3%	57.5%	27.9%	-43.4%	-5.5K	150.3K	-409	0.80	170.42	N/A	N/A	30	24	30	105
2022-01-27	$22.41	$22.00	30.8%	8.8%	13.4%	33.2%	30.9%	1.7%	-19.7%	-7.7K	153.4K	-380	0.80	146.86	N/A	N/A	30	24	30	107
2022-01-28	$22.47	$22.00	26.6%	7.6%	13.4%	28.0%	15.5%	-2.4%	-27.0%	-8.1K	151.8K	-386	0.80	148.50	N/A	N/A	30	24	30	107
2022-01-31	$22.81	$22.00	29.6%	8.5%	14.7%	31.7%	17.1%	15.2%	-21.1%	-10.3K	113.0K	-451	0.80	136.07	N/A	N/A	30	24	30	107