PCEF Options History — June 2023 In June 2023, PCEF traded between $17.75 and $18.27. ATM implied volatility averaged 32.1%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 23.5% (HV 20d: 8.6%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-06-20 : Highest Volume — 12 contracts2023-06-14 : Largest IV spike — 67.5% change2023-06-08 : Highest IV Rank — 45.2%2023-06-08 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.99 $17.75 $18.27 $17.75 $18.11 Max Pain $19.00 $19.00 $19.00 $19.00 $19.00 ATM IV 32.1% 16.6% 54.1% 37.9% 33.2% Expected Move 8.8% 5.6% 18.3% 10.9% 9.5% HV 20d 8.6% 7.8% 10.0% 9.6% 7.8% HV 60d 9.7% 8.6% 11.5% 11.3% 8.6% IV Rank 23.8% 8.8% 45.2% 29.5% 24.9% IV Percentile 44.8% 19.4% 90.5% 60.3% 50.8% Term Structure -6.1% -15.0% 0.4% -13.2% -7.4% Skew 25d 14.8% -0.6% 32.5% 26.0% 21.7% Skew 10d 3.5% -33.9% 41.1% 32.4% -31.0% Call IV 25d 19.1% 7.4% 41.6% 17.8% 24.4% Put IV 25d 33.9% 10.9% 50.2% 43.8% 46.1% Bid-Ask Spread % 159.31 139.22 180.68 144.06 155.24 Gamma HHI 0.35 0.25 1.00 0.26 0.31 Net GEX -152 -315 96 96 -128 Net DEX -8.8K -17.4K 66 -13.1K -1.4K Net VEX -41 -63 -27 -58 -30 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 0.762 0 12 0 0 Total OI 22.571 15 29 29 16
Daily Data (21 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 2023-06-01 $17.75 $19.00 37.9% 10.9% 9.6% 29.5% 0.0% 26.0% -13.2% 96 -13.1K -58 0.00 144.06 N/A N/A 0 0 18 11 2023-06-02 $17.91 $19.00 27.6% 7.9% 9.9% 19.5% 0.0% 32.5% -15.0% 91 -12.7K -63 0.00 150.47 N/A N/A 0 0 18 11 2023-06-05 $17.86 $0.00 28.1% 7.5% 8.7% 19.9% 0.0% 18.3% -5.3% -43 -13.4K -51 0.00 164.28 N/A N/A 0 0 17 11 2023-06-06 $17.94 $0.00 28.4% 7.3% 8.5% 20.3% 0.0% 16.8% -6.0% -29 -13.6K -51 0.00 163.83 N/A N/A 0 0 17 11 2023-06-07 $17.95 $0.00 34.4% 5.6% 8.5% 26.1% 0.0% 23.8% -5.0% 8 -12.6K -58 0.00 165.70 N/A N/A 0 0 17 11 2023-06-08 $18.00 $0.00 54.1% 18.3% 8.5% 45.2% 0.0% 2.2% 0.4% -149 -13.3K -58 0.00 180.68 N/A N/A 0 0 17 11 2023-06-09 $18.03 $0.00 48.9% 8.3% 8.3% 40.2% 0.0% 20.4% -5.1% -24 -15.0K -45 0.00 155.04 N/A N/A 0 0 17 11 2023-06-12 $18.05 $0.00 36.4% 8.6% 8.2% 28.0% 0.0% 0.6% -5.8% -280 -14.7K -44 0.00 165.88 N/A N/A 1 0 17 11 2023-06-13 $18.13 $0.00 16.6% 7.9% 8.3% 8.8% 0.0% 2.4% -6.5% -315 -14.8K -42 0.00 139.22 N/A N/A 0 0 17 11 2023-06-14 $18.16 $0.00 27.9% 8.0% 8.2% 19.8% 0.0% 3.9% -6.6% -96 -16.4K -39 0.00 165.17 N/A N/A 0 0 17 11 2023-06-15 $18.27 $0.00 28.7% 8.2% 8.3% 20.6% 0.0% 7.9% -5.3% -75 -17.4K -33 0.00 165.38 N/A N/A 0 0 17 11 2023-06-16 $18.21 $0.00 28.0% 8.0% 8.5% 19.9% 0.0% 8.7% -6.6% -153 -17.0K -32 0.00 164.37 N/A N/A 0 2 17 11 2023-06-20 $17.96 $0.00 28.1% 8.1% 10.0% 20.0% 0.0% 8.1% -5.3% -301 -7.0K -29 0.00 162.13 N/A N/A 12 0 6 9 2023-06-21 $17.91 $0.00 28.0% 8.0% 9.3% 19.9% 0.0% -0.6% -5.5% -281 -11 -35 0.00 159.98 N/A N/A 0 0 6 9 2023-06-22 $17.91 $0.00 24.7% 7.1% 9.0% 16.7% 0.0% 31.1% -6.4% -277 66 -30 0.00 152.56 N/A N/A 0 0 6 9 2023-06-23 $17.87 $0.00 32.2% 9.2% 8.6% 23.9% 0.0% 10.0% -6.0% -308 -91 -33 0.00 161.85 N/A N/A 0 0 6 9 2023-06-26 $17.88 $0.00 30.0% 8.6% 8.5% 21.8% 0.0% 29.6% -1.3% -314 -513 -31 0.00 157.96 N/A N/A 0 0 6 9 2023-06-27 $17.94 $0.00 33.3% 9.6% 7.8% 25.1% 0.0% 0.2% -7.8% -276 -663 -27 0.00 155.95 N/A N/A 0 0 6 9 2023-06-28 $18.01 $0.00 34.7% 9.9% 7.9% 26.4% 0.0% 20.2% -7.4% -73 -54 -33 0.00 161.54 N/A N/A 0 0 6 9 2023-06-29 $17.98 $0.00 31.9% 9.2% 7.9% 23.7% 0.0% 26.2% -1.0% -268 -777 -29 0.00 154.13 N/A N/A 1 0 6 9 2023-06-30 $18.11 $19.00 33.2% 9.5% 7.8% 24.9% 0.0% 21.7% -7.4% -128 -1.4K -30 0.00 155.24 N/A N/A 0 0 7 9
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