PCEF Options History — April 2022

In April 2022, PCEF traded between $20.61 and $22.27. ATM implied volatility averaged 27.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 12.9% (HV 20d: 15.0%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2022-04-06: Highest Volume — 69 contracts
2022-04-06: Largest IV spike — 131.9% change
2022-04-11: Highest IV Rank — 62.3%
2022-04-21: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.32	$20.61	$22.27	$22.08	$20.61
Max Pain	$21.00	$21.00	$21.00	$21.00	$21.00
ATM IV	27.9%	9.7%	54.6%	9.7%	28.0%
Expected Move	7.1%	4.8%	8.8%	6.6%	8.0%
HV 20d	15.0%	12.3%	18.4%	18.4%	12.5%
HV 60d	16.2%	15.4%	16.8%	16.2%	15.4%
IV Rank	29.6%	7.4%	62.3%	7.4%	29.7%
IV Percentile	59.3%	6.3%	96.8%	6.3%	72.2%
Term Structure	-4.8%	-21.6%	20.7%	15.0%	-8.2%
VWIV	21.5%	9.0%	33.3%	16.8%	28.5%
Skew 25d	14.5%	-8.5%	36.0%	19.7%	28.2%
Skew 10d	21.6%	2.4%	44.0%	32.7%	42.3%
Call IV 25d	15.8%	6.3%	36.1%	8.7%	32.3%
Put IV 25d	30.3%	15.7%	60.5%	28.4%	60.5%
Bid-Ask Spread %	146.25	127.81	164.00	159.72	133.88
Gamma HHI	0.42	0.32	0.68	0.35	0.46
Net GEX	-2.4K	-4.0K	-170	-2.3K	-2.4K
Net DEX	36.5K	18.8K	48.3K	21.5K	46.9K
Net VEX	-146	-198	-52	-111	-133
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.73	1.30	0.90	0.75
Total Volume	57.895	0	69	57	63
Total OI	69.211	57	74	57	74

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
2022-04-01	$22.08	$0.00	9.7%	6.6%	18.4%	7.4%	0.0%	19.7%	15.0%	-2.3K	21.5K	-111	0.90	159.72	N/A	N/A	30	27	31	26
2022-04-04	$22.27	$0.00	12.3%	8.5%	17.0%	10.5%	0.0%	-8.5%	-20.8%	-2.6K	18.8K	-97	0.90	157.82	N/A	N/A	30	27	31	26
2022-04-05	$22.01	$0.00	14.4%	6.5%	17.6%	13.1%	0.0%	-7.3%	-19.8%	-4.0K	20.7K	-52	0.90	155.99	N/A	N/A	30	27	31	26
2022-04-06	$21.75	$0.00	33.4%	8.5%	18.0%	36.4%	0.0%	2.3%	-21.6%	-634	20.5K	-153	1.30	164.00	N/A	N/A	30	39	31	26
2022-04-07	$21.76	$0.00	35.7%	5.9%	17.7%	39.2%	0.0%	2.9%	-12.9%	-2.8K	36.3K	-174	0.90	139.36	N/A	N/A	30	27	31	38
2022-04-08	$21.65	$0.00	54.5%	7.2%	17.7%	62.1%	0.0%	14.4%	-18.0%	-4.0K	40.0K	-154	0.90	160.80	N/A	N/A	30	27	31	38
2022-04-11	$21.35	$0.00	54.6%	8.0%	16.4%	62.3%	0.0%	15.1%	-11.4%	-2.4K	39.7K	-174	0.90	149.95	N/A	N/A	30	27	31	38
2022-04-12	$21.38	$0.00	53.9%	8.6%	15.9%	61.5%	0.0%	17.0%	-10.2%	-2.2K	39.6K	-168	0.87	146.29	N/A	N/A	31	27	32	38
2022-04-14	$21.32	$0.00	18.8%	5.4%	15.0%	18.5%	16.8%	4.9%	5.6%	-2.8K	39.9K	-165	0.73	144.03	N/A	N/A	37	27	32	38
2022-04-18	$21.07	$21.00	16.7%	4.8%	13.7%	15.9%	11.5%	8.1%	20.7%	-170	33.0K	-198	0.75	146.07	N/A	N/A	36	27	36	38
2022-04-19	$21.25	$21.00	19.2%	5.5%	13.9%	19.1%	21.0%	16.9%	-1.8%	-2.6K	39.2K	-157	0.75	137.83	N/A	N/A	36	27	36	38
2022-04-20	$21.35	$21.00	24.1%	6.9%	13.0%	25.0%	24.0%	21.8%	-3.1%	-2.6K	32.7K	-163	0.75	135.11	N/A	N/A	36	27	36	38
2022-04-21	$21.19	$21.00	30.8%	8.8%	12.8%	33.2%	33.3%	12.0%	-5.4%	-1.7K	35.0K	-178	0.75	140.61	N/A	N/A	36	27	36	38
2022-04-22	$20.99	$21.00	24.3%	7.0%	13.1%	25.2%	27.1%	22.1%	-6.5%	-2.7K	41.7K	-153	0.75	141.27	N/A	N/A	36	27	36	38
2022-04-25	$20.91	$21.00	20.0%	5.7%	13.0%	20.0%	9.0%	29.3%	15.4%	-2.6K	46.0K	-137	0.75	146.52	N/A	N/A	36	27	36	38
2022-04-26	$20.68	$21.00	25.6%	7.3%	13.4%	26.9%	22.3%	22.7%	3.3%	-2.3K	48.3K	-136	0.75	148.66	N/A	N/A	36	27	36	38
2022-04-27	$20.66	$21.00	28.0%	8.0%	13.4%	29.7%	0.0%	36.0%	-8.3%	-2.2K	47.1K	-141	0.00	142.94	N/A	N/A	0	0	36	38
2022-04-28	$20.81	$21.00	25.6%	7.3%	12.3%	26.8%	21.8%	17.3%	-3.2%	-2.3K	46.1K	-138	0.75	127.81	N/A	N/A	36	27	36	38
2022-04-29	$20.61	$21.00	28.0%	8.0%	12.5%	29.7%	28.5%	28.2%	-8.2%	-2.4K	46.9K	-133	0.75	133.88	N/A	N/A	36	27	36	38