PCEF Options History — December 2023 In December 2023, PCEF traded between $17.59 and $18.11. ATM implied volatility averaged 41.8%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 32.7% (HV 20d: 9.1%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2023-12-01 : Highest Volume — 3 contracts2023-12-06 : Largest IV spike — 89.7% change2023-12-11 : Highest IV Rank — 100.0%2023-12-13 : Largest Expected Move — 19.1%Monthly Statistics Metric Avg Min Max Open Close Price $17.85 $17.59 $18.11 $17.73 $17.99 Max Pain $18.00 $18.00 $18.00 $18.00 $18.00 ATM IV 41.8% 12.2% 145.2% 37.5% 25.4% Expected Move 8.4% 3.5% 19.1% 10.7% 7.3% HV 20d 9.1% 7.5% 10.2% 10.2% 9.5% HV 60d 12.2% 11.6% 12.6% 12.1% 11.6% IV Rank 31.9% 3.4% 100.0% 39.3% 13.0% IV Percentile 53.7% 4.4% 100.0% 76.2% 35.7% Term Structure -11.3% -25.5% 18.3% -16.0% -8.8% VWIV 16.9% 5.8% 28.0% 5.8% 28.0% Skew 25d 23.3% -40.1% 122.0% -40.1% 122.0% Skew 10d 32.6% -43.1% 136.2% -43.1% 136.2% Call IV 25d 30.7% 9.4% 52.3% 52.3% 47.8% Put IV 25d 54.0% 7.6% 169.9% 12.2% 169.9% Bid-Ask Spread % 164.92 124.76 180.52 150.94 177.21 Gamma HHI 0.52 0.42 0.77 0.55 0.47 Net GEX -653 -2.4K 4.3K -622 -1.9K Net DEX 7.0K -19.5K 14.8K 3.3K 11.4K Net VEX -111 -129 -79 -121 -79 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 1.00 0.00 1.00 Total Volume 0.5 0 3 3 0 Total OI 45.5 34 57 50 36
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 2023-12-01 $17.73 $18.00 37.5% 10.7% 10.2% 39.3% 0.0% -40.1% -16.0% -622 3.3K -121 0.00 150.94 N/A N/A 0 3 21 29 2023-12-04 $17.66 $0.00 42.2% 9.0% 10.0% 45.5% 0.0% 1.6% -19.9% -1.2K 6.1K -125 0.00 173.43 N/A N/A 0 0 21 32 2023-12-05 $17.66 $0.00 22.1% 8.3% 9.2% 19.2% 0.0% -5.9% -14.0% 506 6.9K -112 0.00 124.76 N/A N/A 1 0 21 32 2023-12-06 $17.59 $0.00 42.0% 9.3% 9.4% 45.2% 0.0% -1.4% -21.5% -515 7.1K -123 0.00 172.26 N/A N/A 0 0 22 32 2023-12-07 $17.70 $0.00 49.5% 9.3% 9.5% 55.1% 0.0% 1.6% -20.5% -525 4.9K -127 0.00 173.43 N/A N/A 0 0 22 32 2023-12-08 $17.66 $0.00 68.3% 9.4% 8.3% 79.7% 0.0% 1.5% -20.0% -438 5.5K -127 0.00 172.83 N/A N/A 0 1 22 32 2023-12-11 $17.63 $0.00 125.8% 12.4% 8.4% 100.0% 0.0% 7.5% -21.1% -256 7.5K -129 0.00 175.79 N/A N/A 0 0 22 33 2023-12-12 $17.64 $0.00 145.2% 12.6% 8.4% 100.0% 0.0% 30.9% -22.1% -598 6.6K -122 0.00 176.64 N/A N/A 0 0 22 33 2023-12-13 $17.91 $0.00 66.5% 19.1% 7.5% 42.9% 0.0% 53.6% -19.6% -704 2.4K -123 0.00 177.73 N/A N/A 0 0 22 33 2023-12-14 $18.11 $0.00 12.2% 3.5% 8.2% 3.4% 5.8% 89.0% 18.3% 3.9K -6.9K -108 1.00 173.31 N/A N/A 1 1 22 33 2023-12-15 $18.11 $18.00 16.3% 4.7% 8.2% 6.4% 0.0% 88.9% 10.5% 4.3K -19.5K -105 0.00 180.52 N/A N/A 0 0 23 34 2023-12-18 $17.96 $18.00 21.2% 6.1% 9.0% 9.9% 0.0% 33.6% -5.6% -1.7K 11.6K -96 0.00 173.38 N/A N/A 0 0 5 29 2023-12-19 $17.98 $18.00 22.1% 6.3% 8.9% 10.6% 0.0% -2.3% -5.5% -1.7K 12.2K -104 0.00 154.83 N/A N/A 0 0 5 29 2023-12-20 $17.84 $18.00 21.3% 6.1% 9.5% 10.0% 28.0% 113.4% -4.7% -1.8K 14.1K -106 0.00 175.67 N/A N/A 0 1 5 29 2023-12-21 $17.91 $18.00 22.3% 6.4% 9.5% 10.7% 0.0% -11.9% -6.9% -1.9K 14.8K -108 0.00 169.35 N/A N/A 0 0 5 30 2023-12-22 $17.95 $18.00 23.3% 6.7% 9.5% 11.4% 0.0% -16.3% -7.4% -2.0K 13.9K -106 0.00 163.31 N/A N/A 0 1 5 30 2023-12-26 $18.02 $18.00 24.4% 7.0% 9.5% 12.2% 0.0% 1.2% -25.5% -1.9K 13.7K -105 0.00 155.61 N/A N/A 0 0 5 31 2023-12-27 $18.01 $18.00 23.0% 6.6% 9.5% 11.2% 0.0% -2.2% -6.2% -2.4K 10.8K -93 0.00 138.45 N/A N/A 0 1 5 30 2023-12-28 $18.01 $18.00 25.5% 7.3% 9.5% 13.0% 0.0% 1.0% -8.6% -1.7K 12.5K -95 0.00 138.93 N/A N/A 0 0 5 31 2023-12-29 $17.99 $18.00 25.4% 7.3% 9.5% 13.0% 0.0% 122.0% -8.8% -1.9K 11.4K -79 0.00 177.21 N/A N/A 0 0 5 31
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