PCEF Options History — September 2022

In September 2022, PCEF traded between $17.43 and $19.70. ATM implied volatility averaged 47.6%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 20.3% (HV 20d: 27.3%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.41.

Notable Days

2022-09-29: Highest Volume — 75 contracts
2022-09-13: Largest IV spike — 433.7% change
2022-09-13: Highest IV Rank — 100.0%
2022-09-01: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.70	$17.43	$19.70	$19.41	$17.45
Max Pain	$18.17	$17.00	$21.00	$21.00	$17.00
ATM IV	47.6%	19.1%	110.5%	56.2%	54.5%
Expected Move	11.6%	6.9%	16.1%	16.1%	15.6%
HV 20d	27.3%	22.6%	29.6%	26.7%	22.6%
HV 60d	20.5%	19.0%	21.7%	21.5%	21.7%
IV Rank	44.5%	17.9%	100.0%	63.0%	47.2%
IV Percentile	81.2%	35.3%	100.0%	96.8%	94.4%
Term Structure	-12.3%	-27.4%	21.9%	-21.5%	-15.9%
VWIV	47.2%	22.4%	54.7%	53.0%	54.7%
Skew 25d	4.4%	-31.1%	22.8%	22.8%	3.5%
Skew 10d	12.2%	-31.3%	49.5%	0.3%	11.2%
Call IV 25d	43.1%	15.2%	61.7%	15.2%	61.7%
Put IV 25d	47.6%	16.6%	65.2%	38.1%	65.2%
Bid-Ask Spread %	155.29	125.21	168.09	125.21	146.53
Gamma HHI	0.33	0.27	0.42	0.30	0.28
Net GEX	-3.4K	-8.6K	-1.1K	-3.6K	-1.7K
Net DEX	49.7K	37.5K	65.5K	52.2K	60.4K
Net VEX	-363	-463	-300	-463	-331
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	1.32	1.68	1.44	1.32
Total Volume	29.3	0	75	0	65
Total OI	117.25	100	133	133	113

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
2022-09-01	$19.41	$21.00	56.2%	16.1%	26.7%	63.0%	0.0%	22.8%	-21.5%	-3.6K	52.2K	-463	0.00	125.21	N/A	N/A	0	0	36	97
2022-09-06	$19.30	$0.00	67.1%	10.9%	26.7%	76.2%	0.0%	3.6%	-25.3%	-7.0K	60.8K	-378	1.44	161.95	N/A	N/A	25	36	36	97
2022-09-07	$19.45	$0.00	67.1%	10.8%	26.8%	76.3%	0.0%	1.6%	-24.7%	-8.6K	54.4K	-348	1.44	160.92	N/A	N/A	25	36	36	97
2022-09-08	$19.43	$0.00	71.3%	10.7%	26.8%	81.3%	0.0%	7.5%	-27.4%	-3.5K	49.9K	-432	0.00	163.53	N/A	N/A	0	0	36	95
2022-09-09	$19.59	$0.00	19.1%	9.6%	26.7%	17.9%	0.0%	3.1%	-26.1%	-4.2K	40.1K	-386	0.00	168.09	N/A	N/A	0	0	36	95
2022-09-12	$19.64	$0.00	20.7%	8.3%	26.7%	19.8%	0.0%	12.0%	-15.3%	-2.4K	46.4K	-404	0.00	164.93	N/A	N/A	0	0	36	95
2022-09-13	$19.24	$0.00	110.5%	11.8%	27.2%	100.0%	0.0%	3.3%	-25.8%	-7.1K	52.5K	-359	1.44	152.80	N/A	N/A	25	36	36	95
2022-09-14	$19.70	$0.00	34.7%	10.0%	28.9%	28.6%	0.0%	3.8%	-27.0%	-3.0K	43.3K	-430	0.00	167.09	N/A	N/A	0	0	36	95
2022-09-15	$19.38	$0.00	24.2%	6.9%	29.3%	18.7%	0.0%	4.7%	21.9%	-2.9K	56.2K	-398	0.00	165.25	N/A	N/A	0	0	36	95
2022-09-16	$18.93	$0.00	40.6%	11.6%	28.9%	34.1%	0.0%	4.1%	-5.7%	-6.2K	65.5K	-335	1.44	150.75	N/A	N/A	25	36	36	95
2022-09-19	$18.76	$0.00	39.3%	11.3%	27.6%	32.9%	0.0%	-0.3%	-6.4%	-2.7K	39.8K	-385	0.00	164.00	N/A	N/A	0	6	36	70
2022-09-20	$18.60	$0.00	41.1%	11.8%	27.6%	34.7%	0.0%	8.9%	-7.0%	-2.1K	37.5K	-357	0.00	159.02	N/A	N/A	0	0	36	64
2022-09-21	$18.55	$0.00	40.7%	11.7%	26.9%	34.2%	0.0%	-31.1%	-7.6%	-2.8K	40.5K	-347	0.00	158.25	N/A	N/A	0	0	36	64
2022-09-22	$18.36	$0.00	39.0%	11.2%	26.8%	32.6%	0.0%	3.4%	-7.6%	-2.5K	42.9K	-345	0.00	152.97	N/A	N/A	0	0	36	64
2022-09-23	$17.89	$0.00	43.6%	12.5%	27.7%	36.9%	53.0%	4.0%	-8.4%	-2.6K	54.8K	-317	0.00	155.25	N/A	N/A	0	1	36	64
2022-09-26	$17.54	$20.00	31.3%	9.0%	27.9%	25.4%	22.4%	10.8%	18.4%	-1.8K	58.8K	-308	1.32	145.26	N/A	N/A	28	37	36	65
2022-09-27	$17.47	$17.00	53.8%	15.4%	27.8%	46.6%	53.5%	4.3%	-6.9%	-1.1K	44.3K	-324	1.32	151.20	N/A	N/A	28	37	40	63
2022-09-28	$17.86	$17.00	50.0%	14.3%	29.6%	43.0%	48.8%	5.8%	-7.1%	-1.3K	45.3K	-317	1.32	148.29	N/A	N/A	28	37	40	63
2022-09-29	$17.43	$17.00	47.0%	13.5%	26.3%	40.2%	51.1%	12.6%	-19.6%	-1.7K	49.2K	-300	1.68	144.61	N/A	N/A	28	47	40	63
2022-09-30	$17.45	$17.00	54.5%	15.6%	22.6%	47.2%	54.7%	3.5%	-15.9%	-1.7K	60.4K	-331	1.32	146.53	N/A	N/A	28	37	40	73