PCEF Options History — July 2022

In July 2022, PCEF traded between $18.87 and $20.10. ATM implied volatility averaged 44.6%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 28.4% (HV 20d: 16.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2022-07-27: Highest Volume — 84 contracts
2022-07-20: Largest IV spike — 167.8% change
2022-07-11: Highest IV Rank — 100.0%
2022-07-18: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.24	$18.87	$20.10	$19.08	$20.10
Max Pain	$19.31	$19.00	$20.00	$20.00	$19.00
ATM IV	44.6%	15.1%	86.7%	33.4%	22.0%
Expected Move	10.0%	4.3%	16.4%	9.6%	6.3%
HV 20d	16.2%	10.4%	23.1%	23.1%	12.1%
HV 60d	18.2%	18.0%	18.7%	18.4%	18.7%
IV Rank	49.6%	13.8%	100.0%	36.3%	22.1%
IV Percentile	81.4%	21.8%	100.0%	79.0%	42.9%
Term Structure	-9.9%	-44.2%	4.9%	-0.6%	4.9%
VWIV	12.4%	3.7%	18.2%	13.1%	3.7%
Skew 25d	7.5%	-33.4%	42.7%	8.2%	13.1%
Skew 10d	10.7%	-31.8%	47.6%	39.8%	4.3%
Call IV 25d	29.3%	8.3%	57.8%	38.2%	8.3%
Put IV 25d	36.8%	12.9%	56.9%	46.4%	21.4%
Bid-Ask Spread %	159.16	138.80	179.34	141.51	138.80
Gamma HHI	0.40	0.27	0.58	0.57	0.30
Net GEX	-2.5K	-5.3K	-724	-4.5K	-1.2K
Net DEX	45.6K	3.2K	67.2K	67.2K	10.0K
Net VEX	-365	-552	-255	-280	-539
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.38	5.00	5.00	0.75
Total Volume	55.3	30	84	30	84
Total OI	105.8	81	149	81	149

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
2022-07-01	$19.08	$20.00	33.4%	9.6%	23.1%	36.3%	13.1%	8.2%	-0.6%	-4.5K	67.2K	-280	5.00	141.51	N/A	N/A	5	25	6	75
2022-07-05	$19.05	$0.00	49.8%	10.3%	23.0%	56.4%	0.0%	5.2%	-7.2%	-2.0K	62.0K	-315	5.00	174.91	N/A	N/A	5	25	6	75
2022-07-06	$19.01	$0.00	42.0%	8.9%	22.9%	46.9%	0.0%	3.7%	-5.8%	-5.3K	65.0K	-255	1.39	160.88	N/A	N/A	18	25	6	75
2022-07-07	$19.12	$0.00	68.8%	10.5%	22.8%	79.6%	0.0%	4.7%	-6.0%	-2.2K	57.2K	-365	1.39	158.99	N/A	N/A	18	25	19	75
2022-07-08	$19.14	$0.00	73.5%	10.6%	22.9%	85.4%	17.9%	5.4%	-6.3%	-2.5K	54.7K	-365	1.00	163.52	N/A	N/A	25	25	19	75
2022-07-11	$19.01	$20.00	86.7%	9.3%	22.8%	100.0%	11.6%	-1.7%	-5.3%	-4.2K	63.3K	-305	1.00	155.55	N/A	N/A	25	25	19	75
2022-07-12	$19.06	$20.00	74.3%	8.1%	22.4%	85.1%	11.4%	-2.3%	-14.4%	-2.0K	53.8K	-371	1.00	151.82	N/A	N/A	25	25	19	75
2022-07-13	$19.06	$20.00	32.5%	9.3%	16.8%	34.8%	11.6%	-3.1%	-6.2%	-2.4K	55.4K	-368	1.00	158.66	N/A	N/A	25	25	19	75
2022-07-14	$18.93	$20.00	29.5%	8.5%	16.8%	31.2%	14.3%	25.0%	-6.2%	-2.7K	63.2K	-338	1.04	169.04	N/A	N/A	25	26	19	75
2022-07-15	$19.08	$19.00	43.7%	12.5%	16.7%	48.3%	13.7%	4.4%	-8.2%	-2.1K	53.0K	-376	0.72	179.34	N/A	N/A	36	26	19	76
2022-07-18	$18.87	$19.00	57.3%	16.4%	10.9%	64.6%	15.4%	-33.4%	-44.2%	-1.1K	38.4K	-396	0.87	176.05	N/A	N/A	30	26	36	76
2022-07-19	$19.13	$19.00	15.1%	4.3%	11.8%	13.8%	11.0%	11.1%	-10.9%	-724	47.7K	-388	0.87	155.97	N/A	N/A	30	26	36	76
2022-07-20	$19.30	$19.00	40.5%	11.6%	12.0%	44.4%	11.8%	-18.9%	-31.3%	-895	37.6K	-387	0.87	154.68	N/A	N/A	30	26	36	76
2022-07-21	$19.39	$19.00	41.0%	11.8%	11.9%	45.0%	11.5%	5.8%	-24.5%	-2.9K	36.0K	-289	0.87	161.34	N/A	N/A	30	26	36	76
2022-07-22	$19.29	$19.00	41.3%	11.8%	12.1%	45.4%	12.4%	-22.9%	-7.8%	-2.0K	41.4K	-367	0.87	159.68	N/A	N/A	30	26	36	76
2022-07-25	$19.36	$19.00	43.6%	12.5%	10.4%	48.1%	18.2%	19.6%	-9.3%	-1.9K	43.9K	-313	0.63	151.92	N/A	N/A	30	19	36	76
2022-07-26	$19.33	$19.00	44.5%	12.8%	10.5%	49.3%	13.0%	40.7%	-9.6%	-2.7K	38.9K	-343	0.38	163.48	N/A	N/A	48	18	36	77
2022-07-27	$19.62	$19.00	27.4%	7.9%	11.3%	28.6%	10.8%	42.7%	-0.5%	-3.3K	3.2K	-388	0.75	156.19	N/A	N/A	48	36	54	77
2022-07-28	$19.85	$19.00	25.9%	7.4%	11.6%	26.8%	8.8%	42.6%	1.9%	-2.3K	20.2K	-552	0.75	150.83	N/A	N/A	48	36	54	95
2022-07-29	$20.10	$19.00	22.0%	6.3%	12.1%	22.1%	3.7%	13.1%	4.9%	-1.2K	10.0K	-539	0.75	138.80	N/A	N/A	48	36	54	95