PCEF Options History — May 2022

In May 2022, PCEF traded between $19.40 and $20.85. ATM implied volatility averaged 30.7%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 15.1% (HV 20d: 15.6%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.13.

Notable Days

2022-05-17: Highest Volume — 91 contracts
2022-05-04: Largest IV spike — 100.8% change
2022-05-09: Highest IV Rank — 56.3%
2022-05-04: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.95	$19.40	$20.85	$20.45	$20.44
Max Pain	$22.70	$19.00	$24.00	$21.00	$24.00
ATM IV	30.7%	18.2%	49.8%	29.5%	27.2%
Expected Move	8.2%	5.2%	12.9%	8.5%	7.8%
HV 20d	15.6%	11.6%	18.9%	11.6%	18.9%
HV 60d	16.2%	15.2%	16.8%	15.4%	16.7%
IV Rank	33.1%	17.8%	56.3%	31.6%	28.8%
IV Percentile	73.4%	36.1%	95.6%	75.0%	67.5%
Term Structure	-4.2%	-12.9%	19.6%	5.6%	19.6%
VWIV	33.2%	23.9%	49.5%	36.0%	42.4%
Skew 25d	15.3%	-0.4%	39.6%	28.1%	30.2%
Skew 10d	14.4%	-9.3%	32.8%	21.5%	3.7%
Call IV 25d	21.2%	9.6%	34.0%	15.9%	21.9%
Put IV 25d	36.6%	25.8%	52.2%	44.0%	52.2%
Bid-Ask Spread %	131.20	119.15	141.13	141.13	136.75
Gamma HHI	0.27	0.19	0.39	0.36	0.19
Net GEX	-1.9K	-2.7K	-1.2K	-1.7K	-2.2K
Net DEX	63.5K	48.8K	76.6K	52.0K	55.6K
Net VEX	-171	-227	-126	-138	-206
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.90	1.44	1.12	1.44
Total Volume	76.5	70	91	70	83
Total OI	86.5	76	99	76	82

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
2022-05-02	$20.45	$21.00	29.5%	8.5%	11.6%	31.6%	36.0%	28.1%	5.6%	-1.7K	52.0K	-138	1.12	141.13	N/A	N/A	33	37	36	40
2022-05-03	$20.54	$19.00	22.4%	6.4%	11.9%	23.0%	35.8%	7.0%	-9.2%	-2.5K	59.1K	-172	1.12	133.48	N/A	N/A	33	37	37	48
2022-05-04	$20.85	$19.00	45.0%	12.9%	12.9%	50.6%	49.5%	30.0%	-12.3%	-2.0K	48.8K	-201	1.12	138.64	N/A	N/A	33	37	37	48
2022-05-05	$20.40	$24.00	26.2%	7.4%	14.2%	27.6%	23.9%	15.8%	-8.6%	-2.4K	53.0K	-184	1.12	123.79	N/A	N/A	33	37	37	48
2022-05-06	$20.24	$24.00	42.8%	10.8%	14.0%	47.9%	28.9%	31.9%	-12.9%	-1.4K	52.7K	-199	1.12	135.32	N/A	N/A	33	37	37	48
2022-05-09	$19.82	$24.00	49.8%	6.4%	15.2%	56.3%	24.5%	0.4%	-8.1%	-2.0K	66.7K	-141	1.12	124.13	N/A	N/A	33	37	37	48
2022-05-10	$19.79	$24.00	30.2%	6.7%	15.2%	32.5%	29.4%	-0.4%	3.6%	-1.7K	68.9K	-135	1.03	122.87	N/A	N/A	36	37	37	48
2022-05-11	$19.65	$23.00	24.1%	6.9%	14.9%	24.9%	24.6%	1.0%	-8.7%	-1.4K	65.6K	-138	1.03	129.35	N/A	N/A	36	37	40	48
2022-05-12	$19.40	$23.00	25.9%	7.4%	15.0%	27.2%	24.2%	0.4%	-11.0%	-1.2K	69.7K	-131	1.03	124.34	N/A	N/A	36	37	40	49
2022-05-13	$19.68	$23.00	26.9%	7.7%	16.5%	28.4%	29.6%	3.0%	-7.2%	-1.5K	65.9K	-145	0.90	123.40	N/A	N/A	41	37	40	49
2022-05-16	$19.67	$22.00	18.2%	5.2%	16.3%	17.8%	24.2%	1.3%	-8.9%	-1.4K	69.8K	-126	0.90	126.60	N/A	N/A	41	37	37	49
2022-05-17	$19.95	$22.00	27.4%	7.8%	16.9%	29.0%	32.5%	8.8%	-6.9%	-2.0K	64.2K	-143	1.22	129.45	N/A	N/A	41	50	37	49
2022-05-18	$19.70	$22.00	37.9%	10.9%	17.0%	41.8%	38.3%	13.8%	-12.9%	-1.9K	66.8K	-223	1.07	140.83	N/A	N/A	41	44	37	61
2022-05-19	$19.68	$22.00	36.8%	10.6%	16.9%	40.6%	37.7%	13.3%	-6.9%	-2.0K	69.5K	-227	1.05	140.21	N/A	N/A	41	43	37	62
2022-05-20	$19.66	$22.00	27.1%	7.8%	16.8%	28.6%	34.8%	0.9%	-6.4%	-2.7K	76.6K	-195	1.05	130.56	N/A	N/A	41	43	37	62
2022-05-23	$19.62	$24.00	30.6%	8.8%	16.8%	33.0%	33.3%	23.7%	-8.1%	-2.1K	67.6K	-176	1.26	119.15	N/A	N/A	34	43	30	52
2022-05-24	$19.63	$24.00	28.1%	8.1%	16.6%	29.9%	36.2%	18.7%	-7.6%	-2.1K	69.3K	-171	1.26	127.39	N/A	N/A	34	43	30	52
2022-05-25	$19.75	$24.00	30.7%	8.8%	16.9%	33.0%	39.4%	39.6%	9.5%	-2.4K	65.9K	-185	1.26	139.20	N/A	N/A	34	43	30	52
2022-05-26	$20.10	$24.00	28.0%	8.0%	18.0%	29.7%	37.9%	39.1%	13.2%	-2.3K	63.5K	-184	1.26	137.46	N/A	N/A	34	43	30	52
2022-05-27	$20.44	$24.00	27.2%	7.8%	18.9%	28.8%	42.4%	30.2%	19.6%	-2.2K	55.6K	-206	1.44	136.75	N/A	N/A	34	49	30	52