PCEF Options History — November 2022

In November 2022, PCEF traded between $18.00 and $19.05. ATM implied volatility averaged 25.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 11.0% (HV 20d: 14.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.59.

Notable Days

2022-11-01: Highest Volume — 65 contracts
2022-11-09: Largest IV drop — 73.7% change
2022-11-07: Highest IV Rank — 55.9%
2022-11-02: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.52	$18.00	$19.05	$18.28	$19.05
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	25.4%	7.6%	63.7%	57.4%	7.6%
Expected Move	5.0%	2.2%	16.7%	16.4%	2.2%
HV 20d	14.5%	11.8%	16.4%	13.7%	15.8%
HV 60d	22.0%	18.9%	23.7%	22.7%	19.2%
IV Rank	19.9%	3.1%	55.9%	49.9%	3.1%
IV Percentile	38.7%	2.8%	96.8%	96.0%	2.8%
Term Structure	13.1%	-39.9%	75.2%	-34.8%	31.3%
VWIV	20.4%	1.5%	58.2%	57.5%	1.5%
Skew 25d	19.7%	3.0%	70.3%	42.4%	7.7%
Skew 10d	24.8%	-56.1%	131.9%	-26.7%	5.8%
Call IV 25d	11.0%	6.3%	20.8%	16.8%	6.3%
Put IV 25d	30.7%	13.3%	80.9%	59.2%	14.0%
Bid-Ask Spread %	125.14	87.57	150.47	148.81	118.68
Gamma HHI	0.42	0.34	0.77	0.34	0.77
Net GEX	-6.2K	-8.7K	-3.5K	-4.2K	-8.7K
Net DEX	43.4K	12.0K	70.8K	50.2K	12.0K
Net VEX	-205	-272	-122	-272	-135
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.00	1.71	1.71	0.00
Total Volume	52.333	0	65	65	2
Total OI	108.571	108	110	108	110

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
2022-11-01	$18.28	$0.00	57.4%	16.4%	13.7%	49.9%	57.5%	42.4%	-34.8%	-4.2K	50.2K	-272	1.71	148.81	N/A	N/A	24	41	36	72
2022-11-02	$18.11	$0.00	58.1%	16.7%	14.1%	50.7%	58.2%	38.1%	-39.9%	-5.4K	62.8K	-246	1.71	147.32	N/A	N/A	24	41	36	72
2022-11-03	$18.00	$20.00	56.7%	4.6%	13.7%	49.3%	21.5%	29.6%	18.5%	-4.7K	64.3K	-238	1.71	123.22	N/A	N/A	24	41	36	72
2022-11-04	$18.09	$20.00	49.3%	4.7%	11.9%	42.4%	17.4%	10.7%	11.3%	-6.4K	68.1K	-217	1.71	114.48	N/A	N/A	24	41	36	72
2022-11-07	$18.24	$20.00	63.7%	3.8%	11.9%	55.9%	17.0%	27.1%	20.0%	-8.0K	62.4K	-217	1.71	127.59	N/A	N/A	24	41	36	72
2022-11-08	$18.30	$20.00	57.1%	4.4%	11.8%	49.7%	16.6%	25.7%	11.5%	-7.2K	58.8K	-215	1.71	123.47	N/A	N/A	24	41	36	72
2022-11-09	$18.10	$20.00	15.0%	4.3%	12.7%	10.1%	16.6%	31.1%	14.6%	-7.7K	70.8K	-205	1.71	122.86	N/A	N/A	24	41	36	72
2022-11-10	$18.67	$20.00	16.1%	4.6%	16.4%	11.1%	19.7%	11.8%	14.9%	-4.7K	37.9K	-257	1.71	126.95	N/A	N/A	24	41	36	72
2022-11-11	$18.69	$20.00	13.6%	3.9%	15.3%	8.7%	16.8%	5.5%	15.9%	-7.3K	37.0K	-209	1.71	122.91	N/A	N/A	24	41	36	72
2022-11-14	$18.57	$20.00	13.3%	3.8%	15.3%	8.4%	15.8%	4.3%	-1.0%	-8.3K	48.1K	-126	1.71	87.57	N/A	N/A	24	41	36	72
2022-11-15	$18.74	$20.00	13.9%	4.0%	15.4%	9.0%	17.4%	5.2%	19.1%	-5.5K	34.6K	-227	1.71	131.71	N/A	N/A	24	41	37	72
2022-11-16	$18.72	$20.00	14.1%	4.0%	15.0%	9.2%	17.4%	4.8%	15.3%	-5.5K	35.5K	-229	1.71	118.94	N/A	N/A	24	41	37	72
2022-11-17	$18.57	$20.00	14.6%	4.2%	15.3%	9.6%	17.7%	70.3%	75.2%	-3.5K	36.7K	-259	1.71	150.47	N/A	N/A	24	41	37	72
2022-11-18	$18.65	$20.00	13.8%	4.0%	15.0%	8.9%	16.6%	3.0%	10.3%	-5.9K	38.9K	-218	1.71	127.36	N/A	N/A	24	41	37	72
2022-11-21	$18.51	$20.00	13.9%	4.0%	15.3%	9.0%	16.3%	3.1%	21.0%	-5.5K	40.9K	-213	1.58	122.66	N/A	N/A	24	38	37	72
2022-11-22	$18.68	$20.00	11.2%	3.2%	15.1%	6.5%	15.1%	5.2%	13.3%	-6.6K	33.5K	-165	1.58	118.64	N/A	N/A	24	38	37	72
2022-11-23	$18.76	$20.00	10.3%	3.0%	15.1%	5.6%	14.4%	6.1%	26.9%	-6.5K	29.2K	-182	1.58	123.71	N/A	N/A	24	38	37	72
2022-11-25	$18.77	$20.00	10.8%	3.1%	15.1%	6.0%	0.0%	6.5%	25.7%	-6.5K	27.7K	-179	0.00	127.38	N/A	N/A	0	0	37	72
2022-11-28	$18.70	$20.00	10.6%	3.0%	15.1%	5.9%	0.0%	6.9%	-1.5%	-7.1K	31.9K	-169	0.00	115.37	N/A	N/A	0	0	37	72
2022-11-29	$18.74	$20.00	13.1%	3.8%	15.0%	8.2%	13.6%	67.5%	8.5%	-4.5K	29.7K	-122	0.00	127.76	N/A	N/A	0	1	37	72
2022-11-30	$19.05	$20.00	7.6%	2.2%	15.8%	3.1%	1.5%	7.7%	31.3%	-8.7K	12.0K	-135	0.00	118.68	N/A	N/A	2	0	37	73