PCEF Options History — December 2022 In December 2022, PCEF traded between $17.85 and $19.14. ATM implied volatility averaged 30.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 16.8% (HV 20d: 13.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2022-12-12 : Highest Volume — 8 contracts2022-12-08 : Largest IV spike — 115.2% change2022-12-30 : Highest IV Rank — 41.7%2022-12-30 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $18.49 $17.85 $19.14 $19.14 $18.12 Max Pain $19.67 $19.00 $20.00 $19.00 $20.00 ATM IV 30.3% 9.6% 48.6% 15.5% 48.6% Expected Move 9.6% 2.7% 13.9% 4.5% 13.9% HV 20d 13.5% 11.5% 16.1% 15.2% 12.7% HV 60d 17.1% 14.2% 19.3% 19.2% 14.3% IV Rank 24.4% 4.9% 41.7% 10.5% 41.7% IV Percentile 53.5% 4.0% 86.1% 27.4% 86.1% Term Structure -0.8% -19.8% 44.9% 22.9% -12.6% Skew 25d 16.4% -13.4% 47.3% 6.2% 47.3% Skew 10d 14.3% -27.7% 44.3% 5.0% 16.8% Call IV 25d 19.4% 7.4% 30.2% 9.4% 13.3% Put IV 25d 35.8% 11.8% 60.6% 15.6% 60.6% Bid-Ask Spread % 163.65 118.26 181.99 129.09 163.49 Gamma HHI 0.46 0.31 0.59 0.31 0.59 Net GEX -3.0K -8.2K 751 -3.2K 751 Net DEX 14.4K -7.8K 42.3K 10.0K -7.8K Net VEX -117 -186 -80 -186 -94 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.857 0 8 0 0 Total OI 78.857 32 116 112 37
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 2022-12-01 $19.14 $19.00 15.5% 4.5% 15.2% 10.5% 0.0% 6.2% 22.9% -3.2K 10.0K -186 0.00 129.09 N/A N/A 0 0 39 73 2022-12-02 $19.04 $19.00 9.6% 2.7% 15.2% 4.9% 0.0% 8.8% 31.6% -4.7K 12.7K -157 0.00 118.26 N/A N/A 0 0 39 73 2022-12-05 $18.80 $0.00 13.1% 9.8% 16.1% 8.2% 0.0% -4.7% -7.9% -7.0K 26.8K -145 0.00 174.08 N/A N/A 0 0 39 73 2022-12-06 $18.74 $0.00 15.5% 8.4% 16.0% 10.5% 0.0% -11.3% -6.2% -7.1K 31.3K -140 0.00 172.37 N/A N/A 0 0 39 73 2022-12-07 $18.80 $0.00 15.5% 8.2% 16.0% 10.5% 0.0% 11.2% -6.5% -7.2K 28.3K -135 0.00 168.56 N/A N/A 0 0 39 73 2022-12-08 $18.79 $0.00 33.3% 5.9% 15.4% 27.3% 0.0% 6.2% 19.4% -4.7K 31.8K -156 0.00 176.04 N/A N/A 0 0 39 73 2022-12-09 $18.59 $0.00 20.2% 10.4% 11.5% 14.9% 0.0% 18.0% -8.8% -7.0K 41.9K -144 0.00 174.15 N/A N/A 0 0 39 73 2022-12-12 $18.66 $0.00 32.2% 10.7% 11.6% 26.2% 0.0% -13.4% -9.1% -6.3K 38.5K -132 0.00 175.58 N/A N/A 8 0 39 73 2022-12-13 $18.86 $0.00 25.2% 10.6% 11.9% 19.6% 0.0% 18.6% -19.8% -7.6K 26.2K -107 0.00 175.45 N/A N/A 0 0 39 73 2022-12-14 $18.77 $0.00 36.5% 10.5% 11.7% 30.3% 0.0% 21.9% -8.7% -8.2K 31.5K -110 0.00 175.12 N/A N/A 4 0 39 73 2022-12-15 $18.69 $0.00 37.6% 10.8% 11.8% 31.3% 0.0% 21.0% 44.9% -6.8K 35.2K -125 0.00 176.04 N/A N/A 0 0 43 73 2022-12-16 $18.55 $0.00 45.9% 13.1% 11.7% 39.1% 0.0% 31.9% -8.7% 542 42.3K -105 0.00 181.99 N/A N/A 0 1 43 73 2022-12-19 $18.17 $0.00 31.7% 9.1% 13.7% 25.8% 0.0% 36.8% -8.0% 541 -6.9K -95 0.00 170.05 N/A N/A 0 0 22 10 2022-12-20 $18.13 $0.00 23.8% 6.8% 13.5% 18.4% 0.0% 32.6% 4.7% 560 -5.9K -89 0.00 164.67 N/A N/A 0 0 22 10 2022-12-21 $18.20 $0.00 41.2% 11.8% 13.1% 34.7% 0.0% -0.5% -9.0% 548 -7.1K -97 0.00 165.19 N/A N/A 0 0 22 10 2022-12-22 $18.10 $0.00 34.6% 9.9% 13.0% 28.5% 0.0% 29.9% -9.2% 558 -5.1K -86 0.00 155.14 N/A N/A 0 0 22 10 2022-12-23 $18.20 $0.00 36.3% 10.4% 13.2% 30.1% 0.0% 31.8% -8.7% 595 -5.9K -87 0.00 154.78 N/A N/A 1 0 22 10 2022-12-27 $18.00 $20.00 45.0% 12.9% 13.6% 38.3% 0.0% 13.4% -11.0% 537 -5.8K -91 0.00 161.34 N/A N/A 4 0 23 10 2022-12-28 $17.85 $20.00 45.4% 13.0% 13.7% 38.6% 0.0% 18.1% -12.4% 635 -5.7K -91 0.00 157.63 N/A N/A 0 0 27 10 2022-12-29 $18.01 $20.00 29.1% 8.3% 12.6% 23.3% 0.0% 21.3% 5.7% 651 -4.7K -80 0.00 147.64 N/A N/A 0 0 27 10 2022-12-30 $18.12 $20.00 48.6% 13.9% 12.7% 41.7% 0.0% 47.3% -12.6% 751 -7.8K -94 0.00 163.49 N/A N/A 0 0 27 10
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