PCEF Options History — January 2024

In January 2024, PCEF traded between $17.91 and $18.32. ATM implied volatility averaged 34.9%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 27.4% (HV 20d: 7.5%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2024-01-25: Highest Volume — 11 contracts
2024-01-05: Largest IV spike — 65.8% change
2024-01-02: Highest IV Rank — 66.1%
2024-01-02: Largest Expected Move — 28.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.14	$17.91	$18.32	$17.95	$18.24
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	34.9%	22.0%	98.5%	98.5%	28.2%
Expected Move	9.7%	5.6%	28.2%	28.2%	8.1%
HV 20d	7.5%	6.2%	9.1%	8.9%	6.5%
HV 60d	10.9%	8.6%	11.7%	11.6%	8.6%
IV Rank	19.9%	10.5%	66.1%	66.1%	15.0%
IV Percentile	58.1%	29.0%	99.2%	99.2%	46.0%
Term Structure	-20.4%	-31.7%	-0.5%	-11.3%	-17.6%
VWIV	76.7%	70.7%	82.8%	70.7%	82.8%
Skew 25d	13.2%	0.3%	126.7%	126.7%	21.4%
Skew 10d	1.2%	-33.5%	8.2%	-33.5%	8.2%
Call IV 25d	33.0%	10.7%	68.7%	68.7%	17.9%
Put IV 25d	46.2%	12.5%	195.3%	195.3%	39.2%
Bid-Ask Spread %	171.11	139.67	176.69	173.40	169.54
Gamma HHI	0.46	0.34	0.86	0.48	0.35
Net GEX	-2.6K	-4.3K	-2.1K	-2.1K	-2.8K
Net DEX	19.4K	3.2K	33.3K	14.4K	33.3K
Net VEX	-103	-142	-54	-107	-142
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.00	10.00	0.00	0.00
Total Volume	1.476	0	11	0	0
Total OI	44.857	36	63	36	63

Daily Data (21 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
2024-01-02	$17.95	$18.00	98.5%	28.2%	8.9%	66.1%	0.0%	126.7%	-11.3%	-2.1K	14.4K	-107	0.00	173.40	N/A	N/A	0	0	5	31
2024-01-03	$17.91	$18.00	40.8%	11.7%	8.8%	24.2%	70.7%	22.9%	-12.5%	-2.2K	14.1K	-98	0.00	164.73	N/A	N/A	0	1	5	31
2024-01-04	$17.98	$0.00	25.8%	8.2%	8.9%	13.2%	0.0%	2.1%	-19.1%	-2.1K	13.2K	-98	0.00	174.26	N/A	N/A	0	0	5	31
2024-01-05	$17.99	$0.00	42.7%	8.4%	8.7%	25.5%	0.0%	1.9%	-20.4%	-2.2K	12.8K	-97	0.00	175.93	N/A	N/A	0	0	5	31
2024-01-08	$18.18	$0.00	33.6%	9.2%	9.1%	18.9%	0.0%	7.6%	-25.2%	-4.3K	3.2K	-54	0.00	171.94	N/A	N/A	0	0	5	31
2024-01-09	$18.16	$0.00	26.8%	5.6%	9.1%	14.0%	0.0%	18.8%	-0.5%	-2.2K	10.2K	-90	0.00	172.06	N/A	N/A	0	6	5	31
2024-01-10	$18.24	$0.00	32.2%	9.2%	9.1%	17.9%	0.0%	0.6%	-26.1%	-2.6K	16.5K	-99	0.00	176.69	N/A	N/A	0	0	5	37
2024-01-11	$18.21	$0.00	32.6%	9.4%	9.1%	18.2%	0.0%	0.4%	-25.5%	-2.5K	17.1K	-99	0.00	176.59	N/A	N/A	0	0	5	37
2024-01-12	$18.27	$0.00	33.0%	9.5%	7.7%	18.5%	0.0%	0.3%	-25.7%	-2.4K	16.6K	-98	0.00	176.59	N/A	N/A	0	0	5	37
2024-01-16	$18.13	$0.00	31.7%	9.1%	7.3%	17.5%	0.0%	9.0%	-23.8%	-2.7K	17.8K	-95	0.00	174.11	N/A	N/A	0	0	5	37
2024-01-17	$18.05	$0.00	32.9%	9.4%	7.4%	18.4%	0.0%	1.8%	-24.3%	-2.4K	17.6K	-58	0.00	139.67	N/A	N/A	0	0	5	37
2024-01-18	$18.12	$0.00	32.1%	9.2%	6.9%	17.9%	0.0%	1.1%	-24.5%	-2.8K	17.8K	-92	0.00	175.96	N/A	N/A	0	0	5	37
2024-01-19	$18.11	$0.00	34.0%	9.7%	6.9%	19.2%	0.0%	1.4%	-26.3%	-2.3K	15.0K	-80	0.00	175.76	N/A	N/A	1	0	5	37
2024-01-22	$18.07	$0.00	35.2%	10.1%	6.3%	20.1%	0.0%	12.8%	-29.1%	-2.6K	19.8K	-97	0.00	173.41	N/A	N/A	0	0	4	37
2024-01-23	$18.09	$0.00	36.5%	10.5%	6.2%	21.1%	0.0%	11.9%	-31.1%	-2.7K	19.2K	-98	0.00	172.94	N/A	N/A	0	9	4	37
2024-01-24	$18.13	$0.00	35.9%	10.3%	6.2%	20.6%	82.8%	11.2%	-31.7%	-3.1K	27.5K	-117	0.00	173.32	N/A	N/A	1	0	4	46
2024-01-25	$18.20	$0.00	22.0%	6.3%	6.2%	10.5%	0.0%	9.3%	-9.8%	-2.4K	29.5K	-126	10.00	169.22	N/A	N/A	1	10	4	46
2024-01-26	$18.23	$0.00	23.9%	6.8%	6.2%	11.9%	0.0%	7.8%	-12.3%	-2.9K	32.2K	-142	0.00	169.26	N/A	N/A	2	0	5	56
2024-01-29	$18.32	$0.00	26.2%	7.5%	6.3%	13.6%	0.0%	3.3%	-14.8%	-2.8K	29.9K	-138	0.00	168.43	N/A	N/A	0	0	7	56
2024-01-30	$18.32	$0.00	27.8%	8.0%	6.3%	14.7%	0.0%	5.8%	-16.4%	-2.8K	30.3K	-138	0.00	169.62	N/A	N/A	0	0	7	56
2024-01-31	$18.24	$0.00	28.2%	8.1%	6.5%	15.0%	0.0%	21.4%	-17.6%	-2.8K	33.3K	-142	0.00	169.54	N/A	N/A	0	0	7	56