PCEF Options History — March 2022

In March 2022, PCEF traded between $20.73 and $22.08. ATM implied volatility averaged 28.2%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.8% (HV 20d: 17.4%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2022-03-01: Highest Volume — 63 contracts
  • 2022-03-07: Largest IV spike — 163.5% change
  • 2022-03-07: Highest IV Rank — 53.9%
  • 2022-03-17: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.58$20.73$22.08$21.84$22.07
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV28.2%12.3%47.7%13.8%12.3%
Expected Move8.2%3.7%19.2%4.0%6.6%
HV 20d17.4%14.7%20.1%15.1%18.8%
HV 60d15.1%13.6%16.3%13.6%16.3%
IV Rank30.0%10.6%53.9%12.4%10.6%
IV Percentile66.6%12.3%96.0%23.4%12.3%
Term Structure-3.3%-23.1%49.6%9.3%13.5%
VWIV30.6%16.8%54.9%19.0%19.3%
Skew 25d16.2%-0.4%44.7%7.9%23.1%
Skew 10d18.2%1.1%40.8%13.4%35.3%
Call IV 25d22.0%8.0%44.6%12.2%9.1%
Put IV 25d38.2%20.0%56.9%20.0%32.2%
Bid-Ask Spread %143.95117.56178.72117.56168.26
Gamma HHI0.330.220.790.390.37
Net GEX86-2.8K15.8K2.4K-2.7K
Net DEX90.8K20.5K151.4K141.7K23.0K
Net VEX-184-309-108-194-110
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.871.101.100.87
Total Volume60.43557636358
Total OI116.8265615715656

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$21.84$24.0013.8%4.0%15.1%12.4%19.0%7.9%9.3%2.4K141.7K-1941.10117.56N/AN/A30336096
2022-03-02$22.08$24.0014.7%4.2%15.3%13.5%16.8%0.8%-15.2%4.2K128.7K-2421.10123.05N/AN/A30336096
2022-03-03$22.00$24.0012.9%3.7%15.0%11.3%23.2%9.7%-13.7%3.0K131.2K-1731.10126.75N/AN/A30336096
2022-03-04$21.79$24.0018.1%5.2%14.7%17.7%18.3%29.6%-23.1%-178136.9K-2251.10127.45N/AN/A30336096
2022-03-07$21.37$24.0047.7%13.7%15.9%53.9%45.4%30.6%-12.2%-2.3K103.8K-3091.10124.64N/AN/A30336096
2022-03-08$21.33$24.0030.0%12.3%15.9%32.2%37.6%0.3%-2.6%-1.1K132.6K-2431.10127.42N/AN/A30336097
2022-03-09$21.52$24.0028.1%6.8%16.3%29.9%38.6%4.3%-12.2%-1.1K131.6K-2531.10124.42N/AN/A30336097
2022-03-10$21.34$24.0027.7%15.9%15.8%29.4%52.5%0.3%-7.6%-2.2K129.1K-2401.10125.41N/AN/A30336097
2022-03-11$21.20$24.0036.9%17.3%15.5%40.7%54.9%0.6%-10.4%-1.7K131.9K-2351.10127.60N/AN/A30336097
2022-03-14$20.73$24.0034.8%4.9%16.7%38.1%17.0%6.9%-18.0%-1.5K149.9K-1601.10124.90N/AN/A30336097
2022-03-15$20.97$24.0038.4%7.8%17.2%42.4%24.2%-0.4%-8.3%-1.0K131.8K-2081.10123.43N/AN/A30336094
2022-03-16$21.30$24.0034.2%7.4%18.3%37.3%19.3%-0.4%-7.7%-1.9K121.1K-2041.03139.20N/AN/A30316094
2022-03-17$21.72$0.0026.3%19.2%19.6%27.7%0.0%0.9%49.6%4.5K151.4K-1431.03178.72N/AN/A30316095
2022-03-18$21.85$0.0031.3%6.2%19.5%33.8%0.0%10.7%-4.5%15.8K151.3K-1571.03152.08N/AN/A30316095
2022-03-21$21.52$0.0039.1%7.8%20.1%43.4%0.0%21.3%-11.2%-74422.5K-1650.90167.16N/AN/A30273026
2022-03-22$21.71$0.0030.2%6.5%19.0%32.4%0.0%29.4%-7.4%-1.1K23.4K-1540.90158.35N/AN/A30273026
2022-03-23$21.61$0.0044.4%9.3%18.9%49.8%0.0%44.7%-11.8%-88023.5K-1610.90164.89N/AN/A30273026
2022-03-24$21.65$0.0033.4%5.0%18.8%36.3%0.0%20.2%-11.0%-1.7K26.2K-1310.90152.69N/AN/A30273026
2022-03-25$21.53$0.0026.0%6.1%18.0%27.4%0.0%24.1%-8.3%-1.5K25.7K-1340.90160.67N/AN/A30273026
2022-03-28$21.53$0.0030.2%8.1%18.0%32.5%0.0%40.3%9.4%-65720.5K-1700.90167.09N/AN/A30273026
2022-03-29$21.86$0.0018.9%6.6%18.9%18.6%0.0%34.2%19.4%-2.6K25.4K-1140.90165.38N/AN/A30273026
2022-03-30$21.85$0.0018.8%4.9%18.4%18.5%0.0%34.1%8.0%-2.8K26.2K-1080.90163.80N/AN/A30273026
2022-03-31$22.07$0.0012.3%6.6%18.8%10.6%0.0%23.1%13.5%-2.7K23.0K-1100.87168.26N/AN/A31273026