PCEF Options History — February 2023 In February 2023, PCEF traded between $18.77 and $19.85. ATM implied volatility averaged 29.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 18.7% (HV 20d: 10.4%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2023-02-21 : Highest Volume — 2 contracts2023-02-15 : Largest IV spike — 71.9% change2023-02-28 : Highest IV Rank — 31.4%2023-02-28 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $19.35 $18.77 $19.85 $19.76 $18.91 Max Pain $16.11 $16.00 $18.00 $18.00 $16.00 ATM IV 29.1% 18.2% 39.9% 26.2% 39.9% Expected Move 8.0% 5.1% 11.4% 7.5% 11.4% HV 20d 10.4% 8.3% 13.8% 9.3% 13.7% HV 60d 12.5% 11.5% 13.5% 13.3% 12.5% IV Rank 20.8% 10.3% 31.4% 18.0% 31.4% IV Percentile 44.6% 21.8% 69.8% 33.7% 69.8% Term Structure -2.8% -22.6% 43.3% -5.6% -12.6% VWIV 45.1% 45.1% 45.1% 45.1% 45.1% Skew 25d 21.2% 1.0% 41.3% 5.4% 41.3% Skew 10d 21.9% -20.9% 50.0% 24.0% 50.0% Call IV 25d 15.3% 7.0% 37.8% 12.1% 10.8% Put IV 25d 36.5% 15.1% 52.5% 17.4% 52.2% Bid-Ask Spread % 142.71 135.63 150.04 150.04 141.82 Gamma HHI 0.80 0.70 0.92 0.80 0.79 Net GEX 2.1K 1.5K 3.1K 2.3K 1.8K Net DEX -18.8K -25.8K -9.3K -25.0K -12.3K Net VEX -65 -86 -46 -81 -46 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 0.105 0 2 0 0 Total OI 37.684 37 38 38 37
Daily Data (19 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 2023-02-01 $19.76 $18.00 26.2% 7.5% 9.3% 18.0% 0.0% 5.4% -5.6% 2.3K -25.0K -81 0.00 150.04 N/A N/A 0 0 28 10 2023-02-02 $19.85 $16.00 24.0% 7.5% 9.2% 15.9% 0.0% 24.1% -17.6% 2.0K -25.8K -86 0.00 137.97 N/A N/A 0 0 28 10 2023-02-03 $19.71 $16.00 27.1% 7.9% 9.5% 19.0% 0.0% 26.3% -18.1% 1.9K -24.0K -85 0.00 141.67 N/A N/A 0 0 28 10 2023-02-06 $19.53 $16.00 32.1% 7.2% 9.0% 23.8% 0.0% 12.0% -10.6% 2.5K -21.2K -72 0.00 143.57 N/A N/A 0 0 28 10 2023-02-07 $19.66 $16.00 33.9% 5.1% 9.2% 25.6% 0.0% 27.8% 3.2% 2.5K -23.2K -73 0.00 146.46 N/A N/A 0 0 28 10 2023-02-08 $19.59 $16.00 29.8% 8.5% 9.3% 21.6% 0.0% 1.0% -20.5% 2.0K -22.4K -78 0.00 135.63 N/A N/A 0 0 28 10 2023-02-09 $19.52 $16.00 18.2% 5.2% 8.7% 10.3% 0.0% 27.7% 3.7% 2.6K -20.8K -69 0.00 143.06 N/A N/A 0 0 28 10 2023-02-10 $19.51 $16.00 18.4% 5.3% 8.3% 10.5% 0.0% 29.8% 3.6% 2.4K -20.9K -68 0.00 146.15 N/A N/A 0 0 28 10 2023-02-13 $19.59 $16.00 19.5% 5.6% 8.4% 11.5% 0.0% 13.8% 1.2% 3.1K -20.4K -65 0.00 135.79 N/A N/A 0 0 28 10 2023-02-14 $19.59 $16.00 19.2% 5.5% 8.4% 11.3% 0.0% 25.4% 3.5% 2.8K -21.2K -66 0.00 141.79 N/A N/A 0 0 28 10 2023-02-15 $19.56 $16.00 33.0% 9.5% 8.4% 24.7% 0.0% 27.0% -22.6% 1.9K -22.7K -68 0.00 147.83 N/A N/A 0 0 28 10 2023-02-16 $19.38 $16.00 33.7% 9.6% 9.1% 25.3% 0.0% 22.8% 41.1% 1.8K -20.4K -66 0.00 145.82 N/A N/A 0 0 28 10 2023-02-17 $19.33 $16.00 29.5% 8.5% 8.9% 21.3% 0.0% 26.4% 43.3% 2.4K -18.1K -58 0.00 141.71 N/A N/A 0 0 28 10 2023-02-21 $18.79 $16.00 34.3% 9.8% 13.5% 25.9% 45.1% 33.3% -10.3% 1.7K -10.3K -48 0.00 138.90 N/A N/A 2 0 27 10 2023-02-22 $18.77 $16.00 29.0% 8.3% 13.4% 20.8% 0.0% 28.7% -10.5% 1.8K -9.3K -46 0.00 142.30 N/A N/A 0 0 27 10 2023-02-23 $18.92 $16.00 32.3% 9.3% 13.8% 24.0% 0.0% 8.8% -1.3% 1.7K -13.7K -53 0.00 141.68 N/A N/A 0 0 27 10 2023-02-24 $18.81 $16.00 33.1% 9.5% 13.7% 24.8% 0.0% 5.6% -10.9% 1.6K -12.5K -52 0.00 143.67 N/A N/A 0 0 27 10 2023-02-27 $18.88 $16.00 38.8% 11.1% 13.7% 30.3% 0.0% 15.5% -11.9% 1.5K -14.0K -53 0.00 145.73 N/A N/A 0 0 27 10 2023-02-28 $18.91 $16.00 39.9% 11.4% 13.7% 31.4% 0.0% 41.3% -12.6% 1.8K -12.3K -46 0.00 141.82 N/A N/A 0 0 27 10
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