PCEF Options History — February 2024 In February 2024, PCEF traded between $18.29 and $18.62. ATM implied volatility averaged 26.3%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 18.6% (HV 20d: 7.8%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-02-14 : Highest Volume — 4 contracts2024-02-26 : Largest IV spike — 99.7% change2024-02-06 : Highest IV Rank — 20.5%2024-02-27 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $18.45 $18.29 $18.62 $18.41 $18.55 Max Pain $18.10 $18.00 $20.00 $18.00 $20.00 ATM IV 26.3% 15.1% 35.8% 28.3% 30.4% Expected Move 7.0% 4.3% 9.1% 6.1% 8.7% HV 20d 7.8% 6.6% 8.9% 7.0% 8.6% HV 60d 8.1% 7.2% 8.6% 8.6% 7.9% IV Rank 13.7% 5.5% 20.5% 15.1% 16.6% IV Percentile 41.2% 16.3% 73.4% 46.0% 52.0% Term Structure -3.9% -28.3% 77.0% -14.5% 1.9% VWIV 29.1% 29.1% 29.1% 29.1% 29.1% Skew 25d 4.5% 2.5% 14.2% 4.5% 3.1% Skew 10d 21.6% 4.2% 44.6% 15.6% 11.1% Call IV 25d 8.8% 7.4% 11.2% 7.4% 11.2% Put IV 25d 13.3% 11.0% 23.1% 11.8% 14.3% Bid-Ask Spread % 156.23 151.62 160.26 159.72 152.10 Gamma HHI 0.36 0.32 0.46 0.33 0.34 Net GEX -2.6K -3.1K -2.2K -2.7K -3.1K Net DEX 33.7K 27.6K 40.1K 30.7K 35.6K Net VEX -114 -139 -85 -139 -120 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.65 0 4 0 0 Total OI 67.25 63 76 63 76
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 2024-02-01 $18.41 $18.00 28.3% 6.1% 7.0% 15.1% 0.0% 4.5% -14.5% -2.7K 30.7K -139 0.00 159.72 N/A N/A 0 0 7 56 2024-02-02 $18.34 $18.00 30.6% 6.1% 7.2% 16.7% 0.0% 4.2% -14.2% -2.7K 32.3K -136 0.00 160.26 N/A N/A 0 0 7 56 2024-02-05 $18.29 $18.00 31.8% 6.2% 7.3% 17.6% 0.0% 4.1% -14.5% -2.7K 33.8K -136 0.00 160.20 N/A N/A 0 0 7 56 2024-02-06 $18.41 $18.00 35.8% 6.2% 6.7% 20.5% 0.0% 3.4% -15.2% -2.7K 31.9K -131 0.00 158.57 N/A N/A 0 0 7 56 2024-02-07 $18.46 $18.00 22.9% 6.6% 6.8% 11.2% 0.0% 3.6% -17.5% -2.7K 30.6K -126 0.00 158.19 N/A N/A 0 0 7 56 2024-02-08 $18.45 $18.00 23.3% 6.7% 6.6% 11.4% 0.0% 3.5% -18.6% -2.2K 32.9K -87 0.00 159.28 N/A N/A 0 1 7 56 2024-02-09 $18.51 $18.00 23.0% 6.6% 6.6% 11.2% 0.0% 3.3% 14.2% -2.4K 31.4K -90 0.00 159.68 N/A N/A 0 0 7 57 2024-02-12 $18.62 $18.00 23.1% 6.6% 6.8% 11.3% 0.0% 3.4% 14.3% -2.7K 27.6K -117 0.00 155.44 N/A N/A 0 0 7 57 2024-02-13 $18.41 $18.00 24.0% 6.9% 7.5% 12.0% 0.0% 5.4% -19.1% -2.3K 37.6K -126 0.00 156.82 N/A N/A 0 0 7 57 2024-02-14 $18.52 $18.00 24.8% 7.1% 7.5% 12.5% 0.0% 4.5% 17.0% -2.2K 35.7K -103 0.00 155.67 N/A N/A 0 4 7 57 2024-02-15 $18.59 $18.00 23.6% 6.8% 7.5% 11.6% 0.0% 14.2% 5.2% -2.6K 33.7K -137 0.00 155.09 N/A N/A 0 2 7 61 2024-02-16 $18.52 $18.00 25.0% 7.2% 7.7% 12.7% 0.0% 4.2% 77.0% -2.4K 38.2K -103 0.00 157.20 N/A N/A 0 0 7 63 2024-02-20 $18.32 $18.00 25.8% 7.4% 8.7% 13.3% 0.0% 4.9% -10.6% -2.4K 40.1K -97 0.00 155.94 N/A N/A 0 0 7 63 2024-02-21 $18.35 $18.00 26.2% 7.5% 8.7% 13.6% 0.0% 4.7% -28.3% -2.4K 39.3K -97 0.00 155.44 N/A N/A 1 0 7 63 2024-02-22 $18.45 $18.00 20.8% 5.9% 8.9% 9.6% 0.0% 4.1% -10.0% -2.7K 32.4K -103 0.00 151.62 N/A N/A 0 0 8 63 2024-02-23 $18.48 $18.00 15.1% 4.3% 8.8% 5.5% 0.0% 3.2% 10.8% -2.9K 30.0K -114 0.00 151.95 N/A N/A 0 0 8 63 2024-02-26 $18.43 $18.00 30.2% 8.6% 8.9% 16.4% 0.0% 2.5% -17.6% -2.6K 34.3K -85 0.00 154.80 N/A N/A 0 1 8 63 2024-02-27 $18.45 $18.00 31.8% 9.1% 8.7% 17.6% 0.0% 5.6% -18.4% -2.9K 32.9K -120 0.00 154.39 N/A N/A 0 0 8 64 2024-02-28 $18.48 $18.00 30.7% 8.8% 8.7% 16.8% 29.1% 2.7% -20.3% -2.8K 32.9K -119 0.00 152.18 N/A N/A 0 4 8 64 2024-02-29 $18.55 $20.00 30.4% 8.7% 8.6% 16.6% 0.0% 3.1% 1.9% -3.1K 35.6K -120 0.00 152.10 N/A N/A 0 0 8 68
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