PCEF Options History — January 2023 In January 2023, PCEF traded between $18.29 and $19.57. ATM implied volatility averaged 36.5%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 24.0% (HV 20d: 12.5%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-01-27 : Highest Volume — 20 contracts2023-01-06 : Largest IV drop — 36.0% change2023-01-04 : Highest IV Rank — 47.5%2023-01-04 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $19.06 $18.29 $19.57 $18.29 $19.57 Max Pain $18.57 $18.00 $20.00 $20.00 $18.00 ATM IV 36.5% 24.1% 54.8% 52.9% 27.4% Expected Move 10.3% 6.9% 15.7% 15.2% 7.9% HV 20d 12.5% 8.9% 14.9% 13.4% 9.3% HV 60d 13.7% 13.3% 14.2% 14.2% 13.3% IV Rank 28.7% 16.0% 47.5% 45.7% 19.2% IV Percentile 61.7% 29.8% 92.1% 90.1% 37.7% Term Structure -8.2% -18.0% -2.5% -18.0% -2.5% VWIV 29.3% 29.3% 29.3% 29.3% 29.3% Skew 25d 13.7% 0.7% 51.7% 51.7% 16.2% Skew 10d 11.1% -21.7% 43.2% 17.2% 26.4% Call IV 25d 26.0% 12.6% 45.4% 13.8% 13.7% Put IV 25d 39.7% 15.4% 65.6% 65.6% 29.8% Bid-Ask Spread % 163.15 150.19 172.39 162.86 154.59 Gamma HHI 0.62 0.48 0.75 0.60 0.75 Net GEX 1.4K 821 2.1K 821 2.1K Net DEX -16.0K -23.8K -7.2K -9.0K -21.9K Net VEX -86 -95 -75 -95 -85 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 1.4 0 20 0 0 Total OI 37.25 32 42 37 38
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 2023-01-03 $18.29 $20.00 52.9% 15.2% 13.4% 45.7% 0.0% 51.7% -18.0% 821 -9.0K -95 0.00 162.86 N/A N/A 0 0 27 10 2023-01-04 $18.44 $20.00 54.8% 15.7% 13.2% 47.5% 0.0% 50.4% -16.7% 915 -10.1K -95 0.00 163.48 N/A N/A 0 0 27 10 2023-01-05 $18.35 $0.00 43.1% 7.1% 13.3% 36.5% 0.0% 1.3% -4.7% 935 -7.2K -82 0.00 163.74 N/A N/A 0 0 27 10 2023-01-06 $18.67 $0.00 27.6% 8.3% 14.7% 21.9% 0.0% 5.3% -3.3% 1.1K -10.7K -88 0.00 165.15 N/A N/A 0 0 27 10 2023-01-09 $18.74 $0.00 34.1% 10.4% 14.8% 28.0% 0.0% 5.0% -5.3% 1.1K -12.2K -93 0.00 172.15 N/A N/A 0 0 27 10 2023-01-10 $18.86 $0.00 33.9% 10.2% 14.4% 27.6% 0.0% 4.4% -5.2% 1.1K -13.5K -94 0.00 172.39 N/A N/A 0 0 27 10 2023-01-11 $19.08 $0.00 31.2% 8.9% 14.9% 23.0% 0.0% 19.3% -5.9% 1.5K -14.2K -88 0.00 162.72 N/A N/A 0 0 27 10 2023-01-12 $19.23 $0.00 35.6% 10.2% 14.7% 27.2% 0.0% 6.3% -5.7% 1.3K -16.9K -94 0.00 171.73 N/A N/A 5 0 27 10 2023-01-13 $19.20 $0.00 30.3% 8.7% 14.6% 22.0% 0.0% 5.9% -5.3% 2.0K -21.6K -91 0.00 164.88 N/A N/A 0 0 32 10 2023-01-17 $19.20 $0.00 39.0% 11.2% 14.4% 30.5% 0.0% 10.5% -7.3% 1.8K -21.9K -92 0.00 165.29 N/A N/A 0 0 32 10 2023-01-18 $19.18 $0.00 38.5% 11.0% 14.1% 30.0% 0.0% 7.5% -7.8% 1.7K -21.9K -90 0.00 170.37 N/A N/A 0 0 32 10 2023-01-19 $19.17 $0.00 38.6% 11.1% 11.4% 30.1% 0.0% 5.1% -7.5% 1.9K -21.0K -84 0.00 171.49 N/A N/A 0 0 32 10 2023-01-20 $19.30 $0.00 39.7% 11.4% 11.3% 31.2% 0.0% 6.4% -7.8% 986 -23.8K -82 0.00 169.53 N/A N/A 1 0 32 10 2023-01-23 $19.25 $0.00 41.9% 12.0% 11.5% 33.3% 0.0% 0.7% -9.4% 1.1K -13.9K -82 0.00 165.94 N/A N/A 0 0 22 10 2023-01-24 $19.27 $0.00 35.6% 10.2% 11.1% 27.2% 29.3% 1.7% -8.7% 1.2K -14.0K -75 0.00 155.99 N/A N/A 2 0 22 10 2023-01-25 $19.23 $18.00 35.8% 10.3% 11.2% 27.4% 0.0% 27.9% -9.9% 1.2K -15.3K -78 0.00 150.19 N/A N/A 0 0 23 10 2023-01-26 $19.34 $18.00 33.0% 9.5% 10.0% 24.7% 0.0% 6.8% -9.9% 1.6K -14.8K -76 0.00 151.60 N/A N/A 0 0 23 10 2023-01-27 $19.43 $18.00 33.6% 9.6% 8.9% 25.2% 0.0% 27.8% -10.0% 1.3K -17.2K -76 0.00 153.17 N/A N/A 20 0 23 10 2023-01-30 $19.38 $18.00 24.1% 6.9% 9.1% 16.0% 0.0% 14.5% -12.5% 2.1K -18.8K -84 0.00 155.75 N/A N/A 0 0 28 10 2023-01-31 $19.57 $18.00 27.4% 7.9% 9.3% 19.2% 0.0% 16.2% -2.5% 2.1K -21.9K -85 0.00 154.59 N/A N/A 0 0 28 10
« Dec 2022 | All History | Feb 2023 » Home PCEF History January 2023