PCEF Options History — April 2023 In April 2023, PCEF traded between $17.77 and $18.30. ATM implied volatility averaged 29.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 18.1% (HV 20d: 11.3%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.40.
Notable Days 2023-04-21 : Highest Volume — 8 contracts2023-04-12 : Largest IV spike — 334.9% change2023-04-13 : Highest IV Rank — 74.0%2023-04-13 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.07 $17.77 $18.30 $18.16 $18.04 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 29.5% 7.5% 83.7% 9.8% 37.0% Expected Move 9.3% 2.8% 24.0% 2.8% 10.6% HV 20d 11.3% 8.6% 15.0% 14.9% 9.6% HV 60d 12.3% 12.2% 12.9% 12.9% 12.2% IV Rank 21.3% 0.0% 74.0% 2.1% 28.6% IV Percentile 41.8% 0.0% 99.2% 1.2% 61.1% Term Structure -3.7% -50.2% 21.0% 18.0% -7.4% VWIV 24.0% 13.2% 34.8% 34.8% 13.2% Skew 25d -1.6% -26.7% 29.9% -26.7% 29.9% Skew 10d 5.4% -37.2% 55.3% -28.7% 14.8% Call IV 25d 32.7% 9.5% 96.4% 36.0% 9.5% Put IV 25d 31.1% 9.3% 115.1% 9.3% 39.4% Bid-Ask Spread % 163.55 139.97 194.06 139.97 156.20 Gamma HHI 0.66 0.26 0.89 0.81 0.38 Net GEX -679 -2.2K 326 -1.1K 226 Net DEX 2.9K -3.2K 8.2K 3.6K -1.9K Net VEX -13 -19 -5 -19 -11 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.00 2.00 0.00 0.00 Total Volume 1.421 0 8 0 6 Total OI 11.368 5 16 12 6
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 2023-04-03 $18.16 $18.00 9.8% 2.8% 14.9% 2.1% 0.0% -26.7% 18.0% -1.1K 3.6K -19 0.00 139.97 N/A N/A 0 0 5 7 2023-04-04 $18.02 $18.00 13.7% 3.9% 15.0% 5.9% 0.0% -23.4% 19.2% -1.0K 4.8K -18 0.00 147.12 N/A N/A 0 0 5 7 2023-04-05 $17.94 $18.00 14.9% 4.3% 15.0% 7.1% 0.0% -21.1% 21.0% -1.0K 5.4K -17 0.00 147.41 N/A N/A 0 0 5 7 2023-04-06 $17.97 $0.00 15.4% 7.9% 14.3% 7.6% 0.0% -15.8% -3.7% -1.1K 5.4K -16 0.00 163.24 N/A N/A 0 0 5 7 2023-04-10 $18.05 $0.00 17.9% 10.7% 13.5% 10.0% 0.0% -10.6% -5.4% -961 4.4K -17 0.00 175.54 N/A N/A 1 0 5 7 2023-04-11 $18.18 $0.00 7.5% 9.6% 12.8% 0.0% 0.0% 3.4% -5.4% -2.0K 702 -14 0.00 166.05 N/A N/A 0 0 6 7 2023-04-12 $18.19 $0.00 32.8% 9.4% 12.5% 24.5% 0.0% -25.9% -4.7% -789 2.7K -16 0.00 159.94 N/A N/A 0 0 6 7 2023-04-13 $18.30 $0.00 83.7% 24.0% 11.7% 74.0% 0.0% 18.7% -50.2% -521 1.3K -19 0.00 194.06 N/A N/A 0 0 6 7 2023-04-14 $18.23 $0.00 33.1% 9.5% 11.5% 24.8% 0.0% -20.1% -4.8% -445 2.9K -15 2.00 167.23 N/A N/A 1 2 6 7 2023-04-17 $18.21 $0.00 29.9% 8.6% 10.5% 21.7% 0.0% -20.8% -5.7% -721 7.6K -12 0.00 167.52 N/A N/A 0 0 5 9 2023-04-18 $18.20 $0.00 21.4% 6.1% 9.0% 13.5% 0.0% -1.6% -6.4% -2.2K 5.9K -10 0.00 169.47 N/A N/A 0 0 5 9 2023-04-19 $18.20 $0.00 33.9% 9.7% 8.6% 25.6% 0.0% 4.7% -6.1% -699 8.0K -9 0.00 170.15 N/A N/A 0 0 5 9 2023-04-20 $18.13 $0.00 35.2% 10.1% 8.8% 26.9% 0.0% 20.4% -7.6% -763 8.2K -8 0.00 167.81 N/A N/A 0 3 5 9 2023-04-21 $18.14 $0.00 34.5% 9.9% 8.6% 26.2% 0.0% 18.6% -7.4% -849 6.7K -5 0.00 167.69 N/A N/A 0 8 5 11 2023-04-24 $17.95 $0.00 34.7% 9.9% 9.5% 26.3% 34.8% -12.0% -7.4% 177 -1.1K -7 0.00 161.38 N/A N/A 2 0 5 0 2023-04-25 $17.77 $18.00 43.0% 12.3% 10.0% 34.5% 0.0% 24.3% -11.8% 269 -3.2K -14 0.00 167.86 N/A N/A 0 0 7 0 2023-04-26 $17.77 $18.00 36.2% 10.4% 10.0% 27.9% 0.0% 20.0% -8.2% 278 -2.6K -12 0.00 160.39 N/A N/A 0 0 7 0 2023-04-27 $17.93 $18.00 24.9% 7.1% 9.7% 16.8% 13.2% 7.6% 13.4% 326 -3.0K -13 0.00 158.31 N/A N/A 4 0 7 0 2023-04-28 $18.04 $0.00 37.0% 10.6% 9.6% 28.6% 0.0% 29.9% -7.4% 226 -1.9K -11 0.00 156.20 N/A N/A 6 0 6 0
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