PCEF Options History — June 2022

In June 2022, PCEF traded between $18.49 and $20.54. ATM implied volatility averaged 37.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 16.7% (HV 20d: 20.8%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 6.66.

Notable Days

2022-06-10: Highest Volume — 99 contracts
2022-06-10: Largest IV spike — 57.9% change
2022-06-16: Highest IV Rank — 58.9%
2022-06-16: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.38	$18.49	$20.54	$20.38	$18.85
Max Pain	$20.27	$20.00	$24.00	$24.00	$20.00
ATM IV	37.5%	23.4%	51.8%	27.0%	40.2%
Expected Move	10.7%	7.2%	14.9%	7.7%	11.5%
HV 20d	20.8%	14.6%	25.1%	18.7%	22.7%
HV 60d	17.5%	16.0%	18.7%	16.7%	18.2%
IV Rank	41.3%	24.1%	58.9%	28.5%	44.7%
IV Percentile	83.4%	50.0%	96.4%	66.3%	89.3%
Term Structure	-4.9%	-32.1%	41.6%	11.8%	-7.5%
VWIV	38.0%	13.8%	56.3%	41.1%	14.8%
Skew 25d	7.8%	-0.7%	37.3%	34.6%	19.8%
Skew 10d	8.7%	-19.3%	45.7%	33.5%	23.4%
Call IV 25d	39.2%	10.8%	60.6%	10.8%	25.5%
Put IV 25d	47.1%	23.7%	61.7%	45.4%	45.2%
Bid-Ask Spread %	153.65	127.88	167.56	127.88	137.09
Gamma HHI	0.39	0.22	0.64	0.27	0.60
Net GEX	-3.4K	-4.9K	-2.2K	-2.7K	-4.5K
Net DEX	78.7K	61.5K	114.5K	63.0K	71.0K
Net VEX	-273	-350	-155	-158	-282
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.66	1.47	25.00	1.47	5.00
Total Volume	64.762	26	99	84	30
Total OI	94.81	76	127	79	81

Daily Data (21 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
2022-06-01	$20.38	$24.00	27.0%	7.7%	18.7%	28.5%	41.1%	34.6%	11.8%	-2.7K	63.0K	-158	1.47	127.88	N/A	N/A	34	50	30	49
2022-06-02	$20.54	$0.00	28.7%	9.5%	18.9%	30.7%	0.0%	12.7%	-23.8%	-2.9K	61.5K	-166	1.47	167.56	N/A	N/A	34	50	30	50
2022-06-03	$20.33	$0.00	23.4%	7.2%	18.3%	24.1%	0.0%	-0.6%	-6.5%	-2.2K	63.6K	-155	1.47	157.47	N/A	N/A	34	50	30	50
2022-06-06	$20.35	$0.00	36.2%	9.5%	16.7%	39.8%	0.0%	-0.2%	-6.9%	-2.8K	68.1K	-209	1.47	161.11	N/A	N/A	34	50	30	62
2022-06-07	$20.50	$0.00	37.2%	9.5%	16.6%	41.0%	0.0%	8.7%	-6.2%	-3.0K	67.0K	-207	1.47	164.39	N/A	N/A	34	50	30	62
2022-06-08	$20.43	$0.00	28.6%	8.2%	14.6%	30.5%	0.0%	-0.4%	-7.0%	-3.4K	70.8K	-204	1.47	159.08	N/A	N/A	34	50	30	62
2022-06-09	$20.22	$0.00	25.4%	7.3%	15.2%	26.6%	18.0%	1.6%	5.0%	-3.1K	73.1K	-247	1.51	152.91	N/A	N/A	35	53	30	72
2022-06-10	$19.93	$20.00	40.1%	11.5%	15.9%	44.6%	39.5%	0.0%	-32.1%	-3.4K	83.7K	-315	1.83	167.37	N/A	N/A	35	64	31	85
2022-06-13	$19.11	$20.00	34.4%	9.9%	21.6%	37.5%	34.8%	-0.7%	-13.0%	-3.8K	101.3K	-347	1.54	154.02	N/A	N/A	35	54	31	96
2022-06-14	$18.98	$20.00	38.6%	11.1%	20.9%	42.7%	42.4%	1.4%	-8.7%	-3.8K	103.5K	-346	1.54	159.28	N/A	N/A	35	54	31	96
2022-06-15	$19.17	$20.00	44.8%	12.8%	21.3%	50.3%	47.7%	1.6%	-17.7%	-3.6K	96.4K	-350	1.54	156.20	N/A	N/A	35	54	31	96
2022-06-16	$18.49	$20.00	51.8%	14.9%	23.8%	58.9%	56.3%	1.1%	29.9%	-3.9K	106.0K	-321	1.54	161.93	N/A	N/A	35	54	31	96
2022-06-17	$18.54	$20.00	45.1%	12.9%	23.7%	50.6%	49.4%	3.4%	41.6%	-3.2K	114.5K	-316	1.54	158.63	N/A	N/A	35	54	31	96
2022-06-21	$18.55	$20.00	46.7%	13.4%	23.7%	52.7%	51.8%	3.8%	-9.8%	-3.3K	76.7K	-306	25.00	158.86	N/A	N/A	1	25	1	75
2022-06-22	$18.49	$20.00	44.2%	12.7%	23.7%	49.6%	45.4%	4.2%	-10.7%	-3.7K	79.5K	-294	25.00	147.02	N/A	N/A	1	25	1	75
2022-06-23	$18.60	$20.00	37.6%	10.8%	23.9%	41.5%	36.8%	0.7%	-7.3%	-4.9K	79.2K	-271	25.00	151.19	N/A	N/A	1	25	1	75
2022-06-24	$18.95	$20.00	49.4%	14.1%	25.1%	55.9%	50.4%	4.0%	-11.3%	-3.2K	67.3K	-323	25.00	151.76	N/A	N/A	1	25	1	75
2022-06-27	$18.96	$20.00	42.9%	12.3%	24.9%	48.0%	52.0%	-0.0%	-12.3%	-3.4K	67.6K	-316	5.00	138.11	N/A	N/A	5	25	1	75
2022-06-28	$18.86	$20.00	30.6%	8.8%	23.8%	33.0%	13.8%	37.3%	-13.3%	-4.3K	70.6K	-288	5.00	152.79	N/A	N/A	5	25	6	75
2022-06-29	$18.81	$20.00	34.0%	9.7%	22.6%	37.0%	14.6%	31.5%	2.5%	-3.0K	67.7K	-319	5.00	141.99	N/A	N/A	5	25	6	75
2022-06-30	$18.85	$20.00	40.2%	11.5%	22.7%	44.7%	14.8%	19.8%	-7.5%	-4.5K	71.0K	-282	5.00	137.09	N/A	N/A	5	25	6	75