PCEF Options History — February 2022

In February 2022, PCEF traded between $21.42 and $23.14. ATM implied volatility averaged 18.8%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.9% (HV 20d: 15.9%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.95.

Notable Days

2022-02-25: Highest Volume — 93 contracts
2022-02-23: Largest IV spike — 87.4% change
2022-02-01: Highest IV Rank — 38.0%
2022-02-01: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.31	$21.42	$23.14	$23.00	$21.86
Max Pain	$24.47	$22.00	$25.00	$22.00	$24.00
ATM IV	18.8%	10.8%	34.7%	34.7%	12.8%
Expected Move	4.6%	2.7%	10.0%	10.0%	3.7%
HV 20d	15.9%	14.9%	17.2%	15.2%	16.2%
HV 60d	12.3%	11.2%	13.6%	11.2%	13.6%
IV Rank	18.5%	8.8%	38.0%	38.0%	11.2%
IV Percentile	39.1%	9.5%	89.3%	89.3%	15.9%
Term Structure	1.4%	-30.8%	11.8%	-30.8%	10.3%
VWIV	22.3%	12.3%	36.0%	36.0%	29.6%
Skew 25d	16.4%	6.1%	30.5%	28.8%	22.5%
Skew 10d	23.9%	0.3%	48.8%	34.5%	34.2%
Call IV 25d	10.3%	6.9%	17.3%	8.8%	10.7%
Put IV 25d	26.7%	15.6%	43.1%	37.6%	33.2%
Bid-Ask Spread %	125.49	83.77	146.02	146.02	127.76
Gamma HHI	0.28	0.21	0.51	0.26	0.34
Net GEX	-8.1K	-11.7K	2.0K	-10.9K	2.0K
Net DEX	146.4K	113.4K	172.7K	113.4K	137.6K
Net VEX	-297	-461	-86	-450	-237
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.55	1.17	0.80	1.10
Total Volume	60.947	54	93	54	63
Total OI	134.789	126	156	138	156

Daily Data (19 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
2022-02-01	$23.00	$22.00	34.7%	10.0%	15.2%	38.0%	36.0%	28.8%	-30.8%	-10.9K	113.4K	-450	0.80	146.02	N/A	N/A	30	24	30	108
2022-02-02	$23.14	$22.00	31.7%	9.1%	15.5%	34.3%	12.3%	7.9%	-15.7%	-11.7K	122.6K	-451	0.80	99.15	N/A	N/A	30	24	30	108
2022-02-03	$22.82	$25.00	32.3%	2.7%	15.7%	35.0%	16.1%	9.1%	11.0%	-10.9K	137.1K	-382	0.80	136.76	N/A	N/A	30	24	30	108
2022-02-04	$22.69	$25.00	19.6%	3.0%	15.7%	19.5%	24.1%	11.6%	11.0%	-10.8K	123.0K	-461	0.80	132.40	N/A	N/A	30	24	30	108
2022-02-07	$22.65	$25.00	20.3%	2.9%	15.6%	20.4%	22.5%	11.4%	8.0%	-11.3K	129.5K	-400	0.80	131.38	N/A	N/A	30	24	30	108
2022-02-08	$22.69	$25.00	23.2%	3.0%	15.7%	23.9%	29.1%	11.8%	11.8%	-10.7K	127.2K	-425	0.80	131.00	N/A	N/A	30	24	30	108
2022-02-09	$22.90	$25.00	10.8%	3.1%	15.9%	8.8%	13.2%	6.1%	-18.7%	-10.7K	136.4K	-379	0.80	83.77	N/A	N/A	30	24	30	108
2022-02-10	$22.62	$25.00	11.1%	3.2%	16.2%	9.1%	25.1%	11.8%	2.2%	-11.1K	126.6K	-418	0.80	125.34	N/A	N/A	30	24	30	108
2022-02-11	$22.35	$25.00	18.1%	5.2%	16.5%	17.6%	27.6%	26.4%	10.9%	-6.5K	143.5K	-384	0.83	145.75	N/A	N/A	30	25	30	108
2022-02-14	$22.08	$25.00	17.0%	4.9%	16.8%	16.4%	33.6%	30.5%	-3.9%	-10.0K	172.7K	-212	1.17	144.02	N/A	N/A	30	35	30	110
2022-02-15	$22.17	$25.00	12.3%	3.5%	16.6%	10.6%	19.8%	13.2%	-2.7%	-7.0K	166.7K	-196	1.17	137.10	N/A	N/A	30	35	30	99
2022-02-16	$22.34	$25.00	11.2%	3.2%	17.0%	9.2%	12.3%	7.0%	-3.6%	-9.0K	164.4K	-86	1.17	133.61	N/A	N/A	30	35	30	99
2022-02-17	$22.13	$25.00	13.8%	4.0%	17.2%	12.4%	13.6%	11.8%	10.1%	-8.8K	167.0K	-126	1.17	122.95	N/A	N/A	30	35	30	99
2022-02-18	$22.03	$25.00	13.0%	3.7%	14.9%	11.4%	13.8%	20.6%	10.8%	-6.6K	171.7K	-150	1.17	117.51	N/A	N/A	30	35	30	99
2022-02-22	$21.57	$25.00	15.6%	4.5%	15.1%	14.6%	24.4%	23.1%	8.8%	-4.9K	158.2K	-258	1.13	115.83	N/A	N/A	30	34	30	98
2022-02-23	$21.42	$24.00	29.2%	8.4%	15.2%	31.3%	26.1%	23.8%	-5.4%	-4.5K	159.8K	-228	1.10	115.12	N/A	N/A	30	33	30	97
2022-02-24	$21.53	$24.00	15.9%	4.6%	15.4%	15.0%	28.5%	18.9%	8.0%	-5.1K	160.6K	-215	1.10	122.78	N/A	N/A	30	33	30	96
2022-02-25	$21.86	$24.00	14.4%	4.1%	16.3%	13.1%	15.3%	15.5%	4.0%	-5.6K	164.1K	-188	0.55	116.14	N/A	N/A	60	33	30	96
2022-02-28	$21.86	$24.00	12.8%	3.7%	16.2%	11.2%	29.6%	22.5%	10.3%	2.0K	137.6K	-237	1.10	127.76	N/A	N/A	30	33	60	96