PCEF Options History — September 2023 In September 2023, PCEF traded between $16.98 and $17.95. ATM implied volatility averaged 22.3%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 14.2% (HV 20d: 8.1%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.70.
Notable Days 2023-09-15 : Highest Volume — 22 contracts2023-09-28 : Largest IV spike — 240.4% change2023-09-29 : Highest IV Rank — 43.3%2023-09-29 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $17.47 $16.98 $17.95 $17.95 $17.13 Max Pain $18.05 $18.00 $19.00 $19.00 $18.00 ATM IV 22.3% 10.3% 40.5% 12.4% 40.5% Expected Move 6.1% 3.0% 11.6% 3.6% 11.6% HV 20d 8.1% 7.2% 8.7% 8.6% 7.8% HV 60d 8.2% 7.7% 8.5% 8.3% 8.3% IV Rank 18.1% 3.7% 43.3% 4.7% 43.3% IV Percentile 31.7% 3.2% 78.2% 6.3% 78.2% Term Structure -1.9% -37.5% 18.2% -5.3% -37.5% VWIV 16.3% 11.5% 26.5% 12.7% 26.5% Skew 25d 16.8% -3.8% 37.6% 23.2% 36.9% Skew 10d 13.8% -6.7% 39.8% 37.3% 8.5% Call IV 25d 11.6% 6.1% 17.9% 12.2% 10.2% Put IV 25d 28.4% 8.2% 47.4% 35.5% 47.1% Bid-Ask Spread % 155.88 69.70 173.34 150.37 157.81 Gamma HHI 0.56 0.44 0.84 0.55 0.72 Net GEX -596 -1.5K -287 -604 -809 Net DEX 8.7K 6.0K 19.5K 6.4K 13.5K Net VEX -23 -55 -12 -20 -52 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.00 3.40 0.00 3.40 Total Volume 2.05 0 22 7 0 Total OI 14.5 6 19 19 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 2023-09-01 $17.95 $19.00 12.4% 3.6% 8.6% 4.7% 12.7% 23.2% -5.3% -604 6.4K -20 0.00 150.37 N/A N/A 7 0 6 13 2023-09-05 $17.89 $18.00 12.5% 3.8% 8.5% 4.8% 0.0% 12.3% 7.0% -636 6.7K -19 0.00 173.34 N/A N/A 0 0 6 13 2023-09-06 $17.80 $18.00 14.1% 3.6% 8.6% 6.4% 0.0% 14.4% 15.0% -528 6.9K -19 0.00 172.57 N/A N/A 0 0 6 13 2023-09-07 $17.74 $18.00 14.6% 3.7% 8.6% 6.9% 0.0% 15.3% 14.9% -503 7.0K -19 0.00 171.79 N/A N/A 0 0 6 13 2023-09-08 $17.74 $18.00 14.3% 3.8% 8.6% 6.6% 0.0% 13.9% 8.7% -596 7.3K -17 0.00 171.44 N/A N/A 0 0 6 13 2023-09-11 $17.70 $18.00 20.3% 3.9% 8.6% 12.3% 0.0% 16.0% -0.8% -534 7.1K -17 0.00 169.96 N/A N/A 0 0 6 13 2023-09-12 $17.63 $18.00 24.6% 3.8% 8.7% 16.5% 0.0% 17.3% 9.6% -472 7.3K -18 0.00 170.17 N/A N/A 0 0 6 13 2023-09-13 $17.61 $18.00 13.2% 3.8% 8.4% 5.5% 0.0% 0.4% 9.5% -491 7.4K -17 0.00 166.44 N/A N/A 0 0 6 13 2023-09-14 $17.63 $18.00 16.4% 4.7% 8.2% 8.6% 0.0% -3.8% 10.8% -974 6.1K -12 0.00 156.80 N/A N/A 0 0 6 13 2023-09-15 $17.55 $18.00 12.7% 3.7% 7.8% 6.8% 0.0% 26.5% 18.2% -287 7.9K -16 3.40 172.10 N/A N/A 5 17 6 13 2023-09-18 $17.41 $18.00 23.8% 6.8% 8.2% 21.4% 14.5% 2.8% -8.1% -307 6.0K -18 0.00 156.13 N/A N/A 0 1 0 6 2023-09-19 $17.43 $18.00 36.6% 10.5% 7.4% 38.1% 0.0% 19.9% -8.7% -419 7.1K -19 0.00 153.46 N/A N/A 0 0 0 7 2023-09-20 $17.45 $18.00 24.3% 7.0% 7.4% 22.0% 0.0% 5.5% -9.0% -468 7.2K -19 0.00 163.88 N/A N/A 0 0 0 7 2023-09-21 $17.23 $18.00 35.0% 10.0% 7.9% 36.0% 0.0% 30.7% -8.9% -429 7.8K -18 0.00 150.18 N/A N/A 0 1 0 7 2023-09-22 $17.29 $18.00 25.4% 7.3% 7.7% 23.5% 0.0% 24.9% -6.6% -465 8.3K -23 0.00 159.80 N/A N/A 0 0 0 8 2023-09-25 $17.20 $18.00 38.4% 11.0% 7.6% 40.5% 11.5% 34.0% -11.1% -433 8.4K -22 0.00 152.16 N/A N/A 0 1 0 8 2023-09-26 $16.99 $18.00 21.6% 6.2% 8.5% 18.4% 26.5% 8.1% -3.3% -580 9.5K -19 0.00 120.74 N/A N/A 0 9 0 8 2023-09-27 $16.98 $18.00 10.3% 3.0% 7.2% 3.7% 0.0% 1.0% -2.2% -1.5K 19.5K -45 0.00 69.70 N/A N/A 0 0 0 17 2023-09-28 $17.05 $18.00 35.2% 10.1% 7.5% 36.3% 0.0% 37.6% -29.9% -893 16.3K -55 0.00 158.74 N/A N/A 0 0 0 17 2023-09-29 $17.13 $18.00 40.5% 11.6% 7.8% 43.3% 0.0% 36.9% -37.5% -809 13.5K -52 0.00 157.81 N/A N/A 0 0 0 15
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