PCEF Options History — May 2023

In May 2023, PCEF traded between $17.38 and $18.01. ATM implied volatility averaged 36.9%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 27.5% (HV 20d: 9.4%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.50.

Notable Days

2023-05-08: Highest Volume — 11 contracts
2023-05-24: Largest IV spike — 103.2% change
2023-05-24: Highest IV Rank — 49.0%
2023-05-24: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.71	$17.38	$18.01	$18.01	$17.60
Max Pain	$18.62	$15.00	$19.00	$15.00	$19.00
ATM IV	36.9%	18.3%	58.0%	41.2%	41.8%
Expected Move	9.8%	5.3%	16.6%	11.8%	12.0%
HV 20d	9.4%	8.6%	10.2%	8.6%	9.1%
HV 60d	11.7%	10.8%	12.4%	12.1%	11.2%
IV Rank	28.5%	10.5%	49.0%	32.7%	33.2%
IV Percentile	57.9%	21.8%	94.8%	71.0%	70.6%
Term Structure	-7.8%	-36.2%	15.1%	-16.1%	-11.9%
VWIV	25.5%	11.4%	42.0%	42.0%	17.8%
Skew 25d	15.1%	-16.7%	59.5%	41.0%	39.0%
Skew 10d	27.9%	-2.5%	44.1%	35.3%	42.7%
Call IV 25d	21.9%	11.0%	33.4%	11.1%	18.2%
Put IV 25d	37.0%	9.6%	78.3%	52.1%	57.2%
Bid-Ask Spread %	151.98	127.85	158.83	151.50	148.76
Gamma HHI	0.29	0.23	0.39	0.33	0.25
Net GEX	305	32	597	416	147
Net DEX	-7.8K	-14.3K	-2.3K	-9.8K	-11.1K
Net VEX	-43	-69	-24	-31	-69
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	2.00	1.00	0.00
Total Volume	1.773	0	11	2	0
Total OI	22	12	29	12	29

Daily Data (22 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
2023-05-01	$18.01	$0.00	41.2%	11.8%	8.6%	32.7%	42.0%	41.0%	-16.1%	416	-9.8K	-31	1.00	151.50	N/A	N/A	1	1	12	0
2023-05-02	$17.86	$15.00	29.9%	8.6%	9.0%	21.7%	16.2%	0.8%	13.6%	403	-9.6K	-31	0.00	157.90	N/A	N/A	5	0	12	1
2023-05-03	$17.79	$15.00	43.4%	12.5%	8.7%	34.9%	0.0%	-5.0%	-14.8%	388	-9.4K	-31	0.00	149.65	N/A	N/A	0	0	12	1
2023-05-04	$17.69	$19.00	45.8%	9.0%	8.8%	37.2%	0.0%	-16.7%	-7.5%	328	-8.8K	-32	0.00	155.54	N/A	N/A	0	6	12	1
2023-05-05	$17.93	$19.00	45.4%	8.9%	10.1%	36.8%	0.0%	16.1%	-7.0%	243	-8.0K	-46	0.00	158.57	N/A	N/A	0	0	12	7
2023-05-08	$17.82	$19.00	51.3%	9.2%	10.2%	42.5%	0.0%	-9.5%	-8.6%	228	-7.6K	-44	0.00	152.63	N/A	N/A	11	0	12	7
2023-05-09	$17.79	$19.00	42.2%	8.3%	9.8%	33.7%	0.0%	-4.8%	-1.4%	564	-9.0K	-47	0.00	155.62	N/A	N/A	0	1	17	7
2023-05-10	$17.79	$19.00	33.1%	9.5%	9.7%	24.8%	39.9%	12.1%	-9.4%	494	-9.0K	-50	0.00	158.46	N/A	N/A	0	1	17	8
2023-05-11	$17.70	$19.00	33.0%	9.5%	9.5%	24.8%	11.4%	-8.1%	-9.8%	186	-5.0K	-44	0.00	127.85	N/A	N/A	1	0	17	9
2023-05-12	$17.66	$19.00	18.3%	5.3%	9.4%	10.5%	0.0%	3.8%	-2.8%	335	-5.7K	-46	0.00	149.94	N/A	N/A	0	0	17	9
2023-05-15	$17.69	$19.00	32.0%	9.2%	9.5%	23.8%	0.0%	0.4%	-10.0%	565	-8.9K	-24	0.00	158.72	N/A	N/A	0	0	17	9
2023-05-16	$17.69	$19.00	33.1%	9.5%	9.5%	24.8%	0.0%	0.1%	-11.0%	597	-9.3K	-24	0.00	158.37	N/A	N/A	0	0	17	9
2023-05-17	$17.78	$19.00	34.9%	10.0%	9.8%	26.5%	0.0%	33.5%	-10.1%	416	-6.8K	-44	0.00	155.71	N/A	N/A	0	0	17	9
2023-05-18	$17.80	$19.00	35.4%	10.2%	9.7%	27.1%	0.0%	33.9%	3.4%	432	-7.1K	-43	0.00	156.38	N/A	N/A	0	0	17	9
2023-05-19	$17.82	$19.00	36.1%	10.3%	9.8%	27.7%	0.0%	32.8%	-8.4%	173	-6.2K	-41	2.00	154.63	N/A	N/A	1	2	17	9
2023-05-22	$17.64	$19.00	23.9%	6.9%	9.7%	15.9%	0.0%	34.2%	15.1%	122	-4.7K	-43	0.00	144.33	N/A	N/A	0	0	12	7
2023-05-23	$17.55	$19.00	28.5%	8.2%	9.2%	20.4%	0.0%	8.3%	-2.7%	91	-3.8K	-45	0.00	147.54	N/A	N/A	0	0	12	7
2023-05-24	$17.43	$19.00	58.0%	16.6%	9.5%	49.0%	0.0%	59.5%	-17.9%	152	-4.6K	-46	0.00	158.83	N/A	N/A	0	2	12	7
2023-05-25	$17.38	$19.00	42.1%	12.1%	8.8%	33.6%	0.0%	27.3%	-12.3%	32	-2.3K	-57	0.00	148.23	N/A	N/A	6	0	12	10
2023-05-26	$17.57	$19.00	32.0%	9.2%	9.4%	23.8%	0.0%	5.6%	-4.7%	215	-14.3K	-49	0.00	145.64	N/A	N/A	0	0	18	10
2023-05-30	$17.59	$19.00	30.5%	8.8%	9.5%	22.3%	17.8%	28.9%	-36.2%	185	-11.5K	-67	0.00	148.86	N/A	N/A	0	1	18	10
2023-05-31	$17.60	$19.00	41.8%	12.0%	9.1%	33.2%	0.0%	39.0%	-11.9%	147	-11.1K	-69	0.00	148.76	N/A	N/A	0	0	18	11