PCEF Options History — October 2023 In October 2023, PCEF traded between $15.98 and $17.04. ATM implied volatility averaged 32.0%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 21.9% (HV 20d: 10.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days.
Notable Days 2023-10-20 : Highest Volume — 4 contracts2023-10-20 : Largest IV spike — 102.2% change2023-10-09 : Highest IV Rank — 57.1%2023-10-31 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.59 $15.98 $17.04 $16.96 $16.24 Max Pain $17.14 $17.00 $18.00 $18.00 $17.00 ATM IV 32.0% 12.2% 51.1% 37.4% 50.3% Expected Move 7.5% 3.1% 14.4% 10.7% 14.4% HV 20d 10.1% 8.0% 11.1% 8.0% 10.7% HV 60d 8.8% 8.4% 9.4% 8.4% 9.4% IV Rank 32.1% 6.1% 57.1% 39.2% 56.1% IV Percentile 55.5% 6.3% 93.3% 72.6% 93.3% Term Structure -1.9% -33.7% 19.1% -33.7% -18.2% Skew 25d 17.0% -1.4% 45.0% 39.5% 45.0% Skew 10d 16.8% -5.0% 51.2% 48.3% 51.2% Call IV 25d 15.7% 7.0% 31.5% 11.4% 11.0% Put IV 25d 32.7% 8.5% 56.0% 50.9% 56.0% Bid-Ask Spread % 150.21 108.04 166.16 157.95 160.24 Gamma HHI 0.77 0.66 0.90 0.74 0.66 Net GEX -996 -1.7K -675 -816 -816 Net DEX 18.5K 14.2K 24.5K 14.2K 20.6K Net VEX -54 -71 -37 -51 -71 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.636 0 4 0 0 Total OI 18 15 22 15 22
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 2023-10-02 $16.96 $18.00 37.4% 10.7% 8.0% 39.2% 0.0% 39.5% -33.7% -816 14.2K -51 0.00 157.95 N/A N/A 0 0 0 15 2023-10-03 $16.73 $18.00 27.0% 7.7% 8.9% 25.5% 0.0% 4.0% -5.9% -1.1K 17.6K -41 0.00 120.80 N/A N/A 0 0 0 15 2023-10-04 $16.79 $18.00 45.1% 12.9% 9.2% 49.3% 0.0% 38.2% -29.8% -710 14.8K -50 0.00 163.84 N/A N/A 0 0 0 15 2023-10-05 $16.75 $17.00 49.4% 3.7% 9.2% 54.9% 0.0% 7.8% 17.3% -1.4K 17.4K -41 0.00 165.74 N/A N/A 0 0 0 15 2023-10-06 $16.87 $17.00 30.1% 3.1% 9.8% 29.7% 0.0% 3.1% 12.8% -924 15.1K -48 0.00 131.40 N/A N/A 0 1 0 15 2023-10-09 $16.93 $17.00 51.1% 3.6% 10.1% 57.1% 0.0% 7.8% 16.7% -830 15.2K -53 0.00 166.16 N/A N/A 0 1 0 16 2023-10-10 $17.00 $17.00 45.7% 3.2% 10.3% 50.1% 0.0% 17.1% 4.5% -1.3K 16.9K -55 0.00 147.41 N/A N/A 0 1 0 17 2023-10-11 $17.04 $17.00 12.2% 3.5% 10.4% 6.1% 0.0% 8.2% 8.8% -1.1K 16.8K -61 0.00 148.02 N/A N/A 0 0 0 18 2023-10-12 $16.91 $17.00 12.6% 3.6% 10.6% 6.6% 0.0% 10.3% 10.9% -1.0K 17.4K -60 0.00 165.47 N/A N/A 0 0 0 18 2023-10-13 $16.86 $17.00 12.5% 3.6% 10.5% 6.5% 0.0% 4.7% 10.8% -928 17.5K -60 0.00 163.69 N/A N/A 0 0 0 18 2023-10-16 $16.88 $17.00 12.4% 3.6% 10.3% 6.4% 0.0% 10.7% 10.9% -934 17.4K -59 0.00 158.62 N/A N/A 0 3 0 18 2023-10-17 $16.80 $17.00 13.1% 3.8% 10.3% 7.3% 0.0% 1.3% 12.1% -1.4K 19.9K -61 0.00 111.79 N/A N/A 0 0 0 20 2023-10-18 $16.66 $17.00 13.7% 3.9% 10.5% 8.0% 0.0% -1.4% 1.4% -1.7K 22.7K -50 0.00 108.04 N/A N/A 0 0 0 20 2023-10-19 $16.51 $17.00 15.5% 4.4% 10.1% 10.4% 0.0% 33.8% 19.1% -759 19.3K -63 0.00 165.84 N/A N/A 0 1 0 20 2023-10-20 $16.39 $17.00 31.3% 9.0% 10.0% 31.2% 0.0% 21.6% -8.0% -1.3K 24.5K -41 0.00 154.31 N/A N/A 0 4 0 20 2023-10-23 $16.20 $17.00 40.1% 11.5% 10.5% 42.7% 0.0% 36.0% -15.8% -1.1K 23.0K -37 0.00 150.71 N/A N/A 0 0 0 19 2023-10-24 $16.29 $17.00 45.3% 13.0% 10.3% 49.5% 0.0% 19.9% -12.3% -780 18.7K -60 0.00 152.24 N/A N/A 0 0 0 19 2023-10-25 $16.07 $17.00 41.2% 11.8% 11.1% 44.2% 0.0% 11.0% -9.7% -721 19.3K -57 0.00 150.87 N/A N/A 0 0 0 19 2023-10-26 $15.98 $17.00 41.5% 11.9% 10.8% 44.6% 0.0% 7.3% -10.3% -675 19.4K -57 0.00 151.29 N/A N/A 0 0 0 19 2023-10-27 $15.98 $17.00 41.7% 11.9% 10.5% 44.8% 0.0% 7.2% -11.5% -682 19.4K -56 0.00 155.52 N/A N/A 0 0 0 19 2023-10-30 $16.10 $17.00 35.0% 10.0% 10.9% 36.1% 0.0% 42.0% -11.4% -778 19.7K -55 0.00 154.75 N/A N/A 0 3 0 19 2023-10-31 $16.24 $17.00 50.3% 14.4% 10.7% 56.1% 0.0% 45.0% -18.2% -816 20.6K -71 0.00 160.24 N/A N/A 0 0 0 22
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