PCEF Options History — August 2022

In August 2022, PCEF traded between $19.64 and $21.09. ATM implied volatility averaged 23.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 9.3% (HV 20d: 14.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-08-04: Highest Volume — 75 contracts
  • 2022-08-30: Largest IV spike — 184.0% change
  • 2022-08-09: Highest IV Rank — 58.5%
  • 2022-08-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.33$19.64$21.09$20.25$19.64
Max Pain$20.74$19.00$21.00$19.00$21.00
ATM IV23.7%12.2%52.2%30.6%16.0%
Expected Move5.3%3.5%13.5%8.8%4.6%
HV 20d14.4%9.5%26.5%11.8%26.5%
HV 60d18.0%16.6%21.5%18.7%21.5%
IV Rank24.1%10.3%58.5%32.5%14.2%
IV Percentile43.1%11.5%95.6%71.8%27.8%
Term Structure7.6%-34.8%62.5%-5.0%22.0%
VWIV26.5%14.2%51.5%16.9%37.3%
Skew 25d19.8%-3.5%44.6%15.8%41.3%
Skew 10d13.1%-36.6%44.6%-11.9%11.2%
Call IV 25d13.4%7.8%46.1%9.8%13.6%
Put IV 25d33.2%14.1%64.4%25.6%55.0%
Bid-Ask Spread %137.33124.54159.38124.54129.30
Gamma HHI0.300.250.460.280.31
Net GEX-2.1K-6.0K2.4K-2.4K-6.0K
Net DEX1.3K-46.1K47.8K3.8K47.8K
Net VEX-439-516-264-434-409
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.331.440.951.44
Total Volume22.6520757461
Total OI145.87132156149133

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$20.25$19.0030.6%8.8%11.8%32.5%16.9%15.8%-5.0%-2.4K3.8K-4340.95124.54N/AN/A38365495
2022-08-02$20.29$19.0032.9%9.4%11.7%35.3%32.7%43.4%-7.2%-1.3K-29.1K-2640.95159.38N/AN/A38365595
2022-08-03$20.40$19.0047.2%13.5%11.5%52.5%51.5%44.6%-34.8%-1.7K-1.3K-5160.95155.14N/AN/A38365695
2022-08-04$20.38$21.0029.1%3.7%11.6%30.7%14.2%18.2%-7.5%-99-5.3K-5110.97140.81N/AN/A38375695
2022-08-05$20.25$21.0043.6%4.1%12.1%48.1%15.5%24.5%-1.4%-3.5K-19.0K-3120.97124.59N/AN/A38375696
2022-08-08$20.40$21.0049.7%3.9%11.6%55.5%24.1%15.0%-4.1%-831-5.0K-5030.97142.08N/AN/A38375696
2022-08-09$20.38$21.0052.2%3.9%11.7%58.5%20.1%9.7%-5.3%-1.1K-3.9K-5020.00146.10N/AN/A015696
2022-08-10$20.57$21.0013.6%3.9%11.8%12.0%0.0%5.6%-0.5%-1.8K-9.8K-4970.40147.19N/AN/A525497
2022-08-11$20.62$21.0013.4%3.8%11.2%11.7%0.0%5.7%1.1%2.4K-46.1K-3230.00127.74N/AN/A005997
2022-08-12$20.75$21.0013.3%3.8%11.1%11.6%0.0%9.8%-0.6%-876-26.6K-4860.00143.74N/AN/A005897
2022-08-15$20.78$21.0012.9%3.7%9.6%11.1%0.0%7.6%0.9%-409-39.5K-3550.00141.37N/AN/A005897
2022-08-16$20.69$21.0012.4%3.6%9.5%10.5%0.0%9.8%-0.1%-1.8K-23.0K-4670.00145.88N/AN/A005897
2022-08-17$21.09$21.0019.7%5.6%10.9%19.3%0.0%-3.5%1.6%-1.1K-23.3K-5100.00142.11N/AN/A005897
2022-08-18$20.50$21.0026.1%7.5%15.9%27.0%0.0%18.7%31.6%-1.8K-11.1K-4740.00140.21N/AN/A005897
2022-08-19$20.28$21.0012.2%3.5%16.4%10.3%0.0%23.8%62.5%-2.8K-12.0K-4660.33129.96N/AN/A315697
2022-08-22$19.86$21.0013.2%3.8%18.4%11.5%0.0%16.0%22.2%-3.4K37.4K-4580.00132.62N/AN/A013696
2022-08-23$19.94$21.0013.8%4.0%18.4%12.2%0.0%17.2%-3.5%-3.3K35.5K-4640.00126.00N/AN/A003697
2022-08-24$20.03$21.0013.4%3.8%17.7%11.7%0.0%23.6%17.8%-4.3K34.8K-4480.00131.21N/AN/A003697
2022-08-25$20.10$21.0012.6%3.6%17.3%10.8%0.0%25.1%21.6%-2.2K22.0K-3020.00136.63N/AN/A003697
2022-08-26$19.87$21.0013.0%3.7%17.2%11.3%0.0%30.8%21.8%-3.5K39.9K-4640.00128.85N/AN/A003697
2022-08-29$19.86$21.0014.1%4.0%17.0%11.8%0.0%33.5%20.8%-4.4K39.6K-4340.00135.35N/AN/A003697
2022-08-30$20.55$21.0040.0%11.5%21.1%43.3%0.0%18.3%21.5%-2.4K24.0K-4950.00127.85N/AN/A003697
2022-08-31$19.64$21.0016.0%4.6%26.5%14.2%37.3%41.3%22.0%-6.0K47.8K-4091.44129.30N/AN/A25363697