PCEF Options History — July 2023 In July 2023, PCEF traded between $17.94 and $18.41. ATM implied volatility averaged 29.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 21.6% (HV 20d: 8.3%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.00.
Notable Days 2023-07-21 : Highest Volume — 5 contracts2023-07-10 : Largest IV spike — 170.6% change2023-07-05 : Highest IV Rank — 32.8%2023-07-05 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.24 $17.94 $18.41 $18.16 $18.41 Max Pain $19.00 $19.00 $19.00 $19.00 $19.00 ATM IV 29.9% 8.8% 41.3% 31.0% 40.7% Expected Move 9.1% 5.1% 11.8% 8.9% 11.7% HV 20d 8.3% 7.1% 9.3% 7.2% 8.6% HV 60d 8.8% 8.5% 9.1% 8.6% 8.6% IV Rank 21.7% 1.2% 32.8% 22.8% 32.2% IV Percentile 44.0% 0.8% 74.2% 41.7% 74.2% Term Structure -7.3% -15.9% 0.3% 0.3% -12.2% VWIV 39.6% 39.6% 39.6% 39.6% 39.6% Skew 25d 6.8% -22.4% 30.4% 21.9% 30.4% Skew 10d 4.2% -7.5% 20.9% -1.7% 10.6% Call IV 25d 21.2% 8.4% 40.6% 23.1% 10.7% Put IV 25d 28.0% 8.8% 53.0% 45.0% 41.1% Bid-Ask Spread % 159.79 113.14 171.89 157.00 160.89 Gamma HHI 0.36 0.28 0.55 0.29 0.41 Net GEX -59 -344 154 16 38 Net DEX 1.5K -964 3.3K -951 -964 Net VEX -29 -37 -17 -32 -22 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.00 0.00 4.00 0.00 4.00 Total Volume 0.5 0 5 2 0 Total OI 17.45 15 19 16 15
Daily Data (20 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 2023-07-03 $18.16 $19.00 31.0% 8.9% 7.2% 22.8% 0.0% 21.9% 0.3% 16 -951 -32 0.00 157.00 N/A N/A 0 2 7 9 2023-07-05 $18.16 $19.00 41.3% 11.8% 7.1% 32.8% 0.0% 20.9% -13.5% -109 1.4K -37 0.00 160.79 N/A N/A 0 0 7 11 2023-07-06 $17.94 $19.00 27.5% 8.2% 8.3% 19.4% 0.0% 5.3% -2.8% -344 1.7K -33 0.00 170.98 N/A N/A 0 0 7 11 2023-07-07 $18.02 $19.00 8.8% 9.8% 8.5% 1.2% 0.0% -0.3% -15.9% -126 2.7K -24 0.00 148.94 N/A N/A 0 0 7 11 2023-07-10 $18.11 $19.00 23.8% 8.4% 8.6% 15.8% 0.0% 5.8% -4.4% -20 2.4K -26 0.00 149.92 N/A N/A 0 0 7 11 2023-07-11 $18.13 $19.00 20.8% 7.6% 8.6% 12.9% 0.0% -6.8% -5.0% -100 2.1K -33 0.00 171.89 N/A N/A 2 0 7 11 2023-07-12 $18.29 $19.00 27.7% 8.0% 9.1% 19.6% 0.0% -7.0% -5.3% -48 1.1K -32 0.00 169.01 N/A N/A 0 1 7 11 2023-07-13 $18.38 $19.00 26.9% 7.7% 9.1% 18.8% 0.0% -9.5% -6.1% -149 2.2K -32 0.00 155.25 N/A N/A 0 0 7 12 2023-07-14 $18.30 $19.00 31.9% 9.1% 9.3% 23.7% 0.0% -5.6% -5.7% -105 2.6K -32 0.00 163.93 N/A N/A 0 0 7 12 2023-07-17 $18.31 $19.00 32.7% 9.4% 9.1% 24.5% 0.0% -11.0% -6.2% -82 2.8K -31 0.00 169.12 N/A N/A 0 0 7 12 2023-07-18 $18.38 $19.00 32.5% 9.3% 9.1% 24.3% 0.0% -22.4% -6.3% -73 2.6K -32 0.00 164.12 N/A N/A 0 0 7 12 2023-07-19 $18.41 $19.00 34.2% 9.8% 7.3% 25.9% 0.0% 16.7% -8.9% -59 2.3K -30 0.00 165.52 N/A N/A 0 0 7 12 2023-07-20 $18.34 $19.00 31.2% 9.0% 7.4% 23.0% 0.0% -4.0% -7.4% -10 2.9K -28 0.00 162.29 N/A N/A 0 0 7 12 2023-07-21 $18.37 $19.00 31.1% 8.9% 7.4% 22.9% 39.6% 12.5% -7.3% -162 3.3K -30 4.00 165.49 N/A N/A 1 4 7 12 2023-07-24 $18.19 $19.00 27.7% 7.9% 8.3% 19.5% 0.0% 19.9% -8.2% -125 2.4K -30 0.00 162.66 N/A N/A 0 0 6 11 2023-07-25 $18.20 $0.00 17.9% 5.1% 8.3% 10.0% 0.0% 0.3% -1.8% 38 91 -17 0.00 113.14 N/A N/A 0 0 6 9 2023-07-26 $18.23 $0.00 35.7% 10.2% 8.3% 27.4% 0.0% 25.3% -9.0% 47 -155 -26 0.00 161.58 N/A N/A 0 0 6 9 2023-07-27 $18.16 $0.00 36.6% 10.5% 8.3% 28.3% 0.0% 16.3% -9.9% 33 32 -25 0.00 161.10 N/A N/A 0 0 6 9 2023-07-28 $18.32 $0.00 37.9% 10.9% 8.8% 29.5% 0.0% 27.6% -11.1% 154 47 -20 0.00 162.10 N/A N/A 0 0 6 9 2023-07-31 $18.41 $0.00 40.7% 11.7% 8.6% 32.2% 0.0% 30.4% -12.2% 38 -964 -22 0.00 160.89 N/A N/A 0 0 6 9
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