PCEF Options History — November 2023

In November 2023, PCEF traded between $16.52 and $17.54. ATM implied volatility averaged 28.1%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 13.1% (HV 20d: 15.0%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-11-30: Highest Volume — 18 contracts
  • 2023-11-03: Largest IV spike — 99.9% change
  • 2023-11-30: Highest IV Rank — 55.9%
  • 2023-11-30: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.18$16.52$17.54$16.52$17.54
Max Pain$19.76$17.00$21.00$17.00$18.00
ATM IV28.1%8.1%50.1%14.2%50.1%
Expected Move8.7%4.1%14.4%4.1%14.4%
HV 20d15.0%12.3%17.2%12.5%12.3%
HV 60d11.9%10.2%12.3%10.2%11.9%
IV Rank26.9%0.7%55.9%8.8%55.9%
IV Percentile48.6%0.8%95.6%17.5%95.6%
Term Structure-9.3%-25.9%46.0%16.4%-18.0%
VWIV49.3%45.2%53.4%53.4%45.2%
Skew 25d2.2%-32.2%32.1%32.1%-32.2%
Skew 10d-2.0%-38.9%45.4%45.4%-9.1%
Call IV 25d30.7%6.6%57.6%9.1%57.6%
Put IV 25d32.9%10.1%45.6%41.1%25.4%
Bid-Ask Spread %156.7097.42167.64150.02165.82
Gamma HHI0.610.420.870.670.47
Net GEX-1.6K-2.4K-689-1.1K-1.7K
Net DEX17.4K9.0K22.6K20.0K20.0K
Net VEX-81-102-59-70-101
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.238018018
Total OI26.42922322232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$16.52$17.0014.2%4.1%12.5%8.8%0.0%32.1%16.4%-1.1K20.0K-700.00150.02N/AN/A00022
2023-11-02$16.91$21.008.1%7.4%15.1%0.7%0.0%0.9%-8.9%-1.6K18.1K-710.00163.11N/AN/A00022
2023-11-03$17.09$21.0016.2%9.2%15.4%11.3%0.0%2.9%-25.9%-1.3K17.0K-710.00167.64N/AN/A10022
2023-11-06$16.94$21.0017.3%7.5%15.7%12.8%0.0%0.7%-22.9%-1.2K17.1K-700.00163.00N/AN/A00122
2023-11-07$17.01$21.0014.4%5.8%15.7%9.0%0.0%0.5%-16.0%-1.2K16.5K-690.00161.34N/AN/A10122
2023-11-08$17.01$21.0023.3%6.7%15.7%20.7%0.0%0.6%-17.6%-1.6K16.3K-590.00162.59N/AN/A00022
2023-11-09$16.82$21.0031.4%9.0%16.0%31.3%0.0%2.8%-24.4%-1.8K19.7K-620.00165.75N/AN/A30022
2023-11-10$16.91$21.0028.8%8.2%16.0%27.9%0.0%2.6%-18.2%-1.7K15.9K-750.00163.65N/AN/A00322
2023-11-13$16.94$21.0030.1%8.6%16.1%29.6%0.0%6.0%-19.1%-1.8K15.7K-740.00163.96N/AN/A00322
2023-11-14$17.26$21.0025.1%7.2%17.2%23.1%0.0%-0.1%-14.7%-1.4K12.7K-750.00160.13N/AN/A00322
2023-11-15$17.29$21.0027.4%7.9%16.8%26.1%0.0%4.8%-18.7%-1.4K12.0K-710.00164.86N/AN/A00322
2023-11-16$17.32$21.0027.2%7.8%16.3%25.7%0.0%1.8%46.0%-1.1K12.6K-750.00165.39N/AN/A08322
2023-11-17$17.40$21.0038.8%11.1%15.9%41.1%0.0%-22.4%43.6%-6899.0K-660.00167.23N/AN/A013319
2023-11-20$17.37$21.0035.2%10.1%15.1%36.3%0.0%3.8%-10.7%-1.7K21.8K-1020.00137.31N/AN/A01329
2023-11-21$17.34$21.0041.1%11.8%15.2%44.0%0.0%-2.5%-12.5%-1.7K22.6K-1020.00156.41N/AN/A00329
2023-11-22$17.38$17.0021.5%6.2%13.8%18.4%0.0%28.1%-1.2%-1.9K19.5K-1000.00139.93N/AN/A01328
2023-11-24$17.44$17.0042.0%12.0%13.4%45.2%0.0%22.5%-15.5%-1.8K19.0K-1000.00163.95N/AN/A00328
2023-11-27$17.44$17.0035.4%10.1%13.4%36.6%0.0%11.3%-17.6%-1.8K18.9K-970.00163.42N/AN/A00328
2023-11-28$17.44$17.0030.8%8.8%13.4%30.5%53.4%-18.8%-19.7%-1.7K19.4K-970.00147.87N/AN/A01328
2023-11-29$17.48$18.0031.2%8.9%13.3%31.0%0.0%-0.1%-20.4%-2.4K21.1K-880.0097.42N/AN/A00329
2023-11-30$17.54$18.0050.1%14.4%12.3%55.9%45.2%-32.2%-18.0%-1.7K20.0K-1010.00165.82N/AN/A180329