PCEF Options History — March 2023

In March 2023, PCEF traded between $17.61 and $18.98. ATM implied volatility averaged 29.2%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 15.7% (HV 20d: 13.5%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2023-03-07: Highest Volume — 6 contracts
2023-03-15: Largest IV drop — 76.1% change
2023-03-14: Highest IV Rank — 64.7%
2023-03-03: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.19	$17.61	$18.98	$18.88	$18.23
Max Pain	$17.68	$16.00	$18.00	$16.00	$18.00
ATM IV	29.2%	10.5%	74.2%	40.3%	14.8%
Expected Move	6.0%	3.0%	12.3%	11.6%	4.2%
HV 20d	13.5%	11.8%	15.6%	13.1%	14.9%
HV 60d	12.8%	12.2%	13.2%	12.5%	13.0%
IV Rank	21.0%	2.8%	64.7%	31.8%	6.9%
IV Percentile	41.5%	1.6%	98.8%	71.0%	14.3%
Term Structure	11.7%	-15.3%	71.6%	-13.8%	16.5%
VWIV	25.3%	20.8%	31.5%	20.8%	31.5%
Skew 25d	-3.1%	-26.9%	33.8%	4.3%	-26.9%
Skew 10d	-0.4%	-41.4%	46.7%	46.5%	-19.1%
Call IV 25d	29.4%	12.2%	40.9%	14.2%	40.9%
Put IV 25d	26.3%	8.4%	47.7%	18.5%	14.0%
Bid-Ask Spread %	151.16	129.24	166.65	129.24	155.08
Gamma HHI	0.68	0.32	0.89	0.83	0.67
Net GEX	280	-1.0K	2.3K	1.9K	-604
Net DEX	-282	-12.1K	6.9K	-11.0K	3.6K
Net VEX	-26	-42	-17	-41	-21
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	0.565	0	6	0	0
Total OI	27	9	42	37	12

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-03-01	$18.88	$16.00	40.3%	11.6%	13.1%	31.8%	0.0%	4.3%	-13.8%	1.9K	-11.0K	-41	129.24	N/A	N/A	0	0	27	10
2023-03-02	$18.87	$16.00	41.7%	11.9%	12.4%	33.1%	0.0%	33.8%	-14.2%	1.8K	-10.9K	-42	130.08	N/A	N/A	0	0	27	10
2023-03-03	$18.98	$16.00	43.1%	12.3%	12.5%	34.5%	0.0%	0.0%	-15.3%	2.1K	-12.1K	-41	141.42	N/A	N/A	0	0	27	10
2023-03-06	$18.98	$0.00	38.1%	6.4%	12.3%	29.6%	0.0%	-19.4%	4.7%	2.3K	-10.4K	-34	158.15	N/A	N/A	0	0	27	10
2023-03-07	$18.86	$0.00	44.0%	8.6%	12.2%	35.4%	0.0%	-23.4%	-8.1%	1.9K	-10.7K	-34	158.20	N/A	N/A	0	6	27	10
2023-03-08	$18.84	$0.00	50.6%	8.2%	11.8%	41.8%	0.0%	-8.6%	-6.5%	1.9K	-9.8K	-32	163.58	N/A	N/A	0	0	27	10
2023-03-09	$18.57	$0.00	53.7%	8.8%	12.5%	44.8%	0.0%	-4.9%	-6.6%	1.5K	-7.4K	-28	159.37	N/A	N/A	0	0	27	10
2023-03-10	$18.28	$18.00	49.6%	4.9%	13.4%	40.8%	0.0%	1.6%	13.6%	504	-867	-37	161.70	N/A	N/A	0	0	27	15
2023-03-13	$18.03	$18.00	42.4%	4.9%	13.8%	33.8%	0.0%	15.9%	16.8%	-354	3.1K	-23	164.33	N/A	N/A	0	0	27	15
2023-03-14	$18.16	$18.00	74.2%	4.8%	14.1%	64.7%	0.0%	-0.9%	15.2%	279	198	-31	166.65	N/A	N/A	0	0	27	15
2023-03-15	$17.93	$18.00	17.7%	5.1%	14.4%	9.8%	0.0%	8.2%	14.8%	-227	3.9K	-24	157.09	N/A	N/A	0	0	27	15
2023-03-16	$18.08	$18.00	13.4%	3.8%	15.0%	5.6%	0.0%	3.0%	71.6%	-552	3.3K	-21	158.83	N/A	N/A	0	2	27	15
2023-03-17	$17.85	$18.00	17.4%	5.0%	15.3%	9.5%	0.0%	4.5%	16.3%	-299	3.8K	-19	153.87	N/A	N/A	0	1	27	15
2023-03-20	$17.61	$18.00	16.3%	4.7%	15.6%	8.4%	20.8%	-1.4%	18.0%	-360	4.2K	-17	141.84	N/A	N/A	0	2	4	5
2023-03-21	$17.76	$18.00	16.1%	4.6%	13.5%	8.2%	0.0%	7.7%	17.9%	-523	5.6K	-22	149.30	N/A	N/A	0	0	4	7
2023-03-22	$17.75	$18.00	13.3%	3.8%	13.5%	5.5%	0.0%	-11.0%	17.9%	-133	4.9K	-22	144.26	N/A	N/A	0	0	4	7
2023-03-23	$17.69	$18.00	17.2%	4.9%	12.9%	9.3%	23.5%	3.9%	17.9%	-553	5.9K	-21	138.79	N/A	N/A	1	0	4	7
2023-03-24	$17.64	$18.00	11.6%	3.3%	12.9%	3.9%	0.0%	-14.2%	19.5%	-820	5.0K	-20	144.32	N/A	N/A	0	0	5	7
2023-03-27	$17.75	$18.00	15.9%	4.6%	13.1%	8.0%	0.0%	9.7%	18.5%	-617	5.9K	-20	151.02	N/A	N/A	0	0	4	7
2023-03-28	$17.70	$18.00	10.5%	3.0%	13.0%	2.8%	0.0%	-11.5%	18.8%	-1.0K	6.9K	-18	150.01	N/A	N/A	0	0	4	7
2023-03-29	$17.89	$18.00	14.5%	4.2%	13.9%	6.7%	0.0%	-20.7%	18.0%	-841	5.6K	-19	152.61	N/A	N/A	0	0	4	7
2023-03-30	$18.02	$18.00	14.8%	4.3%	14.3%	7.0%	31.5%	-20.2%	18.6%	-820	4.8K	-20	146.90	N/A	N/A	1	0	4	7
2023-03-31	$18.23	$18.00	14.8%	4.2%	14.9%	6.9%	0.0%	-26.9%	16.5%	-604	3.6K	-21	155.08	N/A	N/A	0	0	5	7