PCEF Options History — March 2024 In March 2024, PCEF traded between $18.48 and $18.80. ATM implied volatility averaged 32.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 24.6% (HV 20d: 7.6%). 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 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-03-01 : Highest Volume — 2 contracts2024-03-13 : Largest IV drop — 59.9% change2024-03-12 : Highest IV Rank — 38.9%2024-03-01 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.66 $18.48 $18.80 $18.63 $18.80 Max Pain $18.10 $18.00 $20.00 $20.00 $18.00 ATM IV 32.2% 24.5% 61.1% 29.9% 26.9% Expected Move 7.4% 6.6% 8.6% 8.6% 7.7% HV 20d 7.6% 6.9% 8.5% 8.1% 6.9% HV 60d 7.5% 7.2% 8.1% 7.9% 7.3% IV Rank 17.9% 12.3% 38.9% 16.3% 14.1% IV Percentile 56.0% 35.7% 97.2% 50.4% 40.9% Term Structure 7.2% -8.2% 9.3% 4.5% 4.5% VWIV 14.8% 14.8% 14.8% 14.8% 14.8% Skew 25d -5.2% -14.4% 2.9% 2.9% -14.4% Skew 10d 4.5% -16.2% 13.1% -7.7% 8.6% Call IV 25d 33.5% 11.4% 42.9% 11.4% 42.9% Put IV 25d 28.3% 14.2% 40.1% 14.2% 28.5% Bid-Ask Spread % 169.39 151.74 171.99 151.74 169.89 Gamma HHI 0.37 0.32 0.41 0.35 0.41 Net GEX -1.9K -3.3K -617 -3.1K -760 Net DEX 32.7K 22.4K 47.3K 34.6K 24.1K Net VEX -77 -115 -37 -115 -42 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 0.25 0 2 2 0 Total OI 56.75 31 79 75 31
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 2024-03-01 $18.63 $20.00 29.9% 8.6% 8.1% 16.3% 0.0% 2.9% 4.5% -3.1K 34.6K -115 0.00 151.74 N/A N/A 0 2 7 68 2024-03-04 $18.62 $18.00 33.7% 6.7% 8.0% 19.0% 0.0% -5.6% 9.1% -2.9K 41.2K -79 0.00 166.89 N/A N/A 0 0 7 70 2024-03-05 $18.51 $18.00 37.0% 7.0% 8.3% 21.4% 0.0% -3.7% 7.8% -3.3K 42.8K -113 0.00 167.23 N/A N/A 0 0 7 70 2024-03-06 $18.63 $18.00 37.3% 6.9% 8.2% 21.6% 0.0% -4.4% 8.0% -3.1K 40.9K -109 0.00 166.83 N/A N/A 0 0 7 70 2024-03-07 $18.73 $18.00 37.6% 6.7% 8.4% 21.9% 14.8% -2.9% 7.5% -2.8K 40.0K -67 0.00 167.61 N/A N/A 0 1 7 70 2024-03-08 $18.73 $18.00 39.0% 6.6% 8.4% 22.9% 0.0% -4.8% 7.5% -3.1K 39.2K -102 0.00 171.66 N/A N/A 0 1 7 71 2024-03-11 $18.66 $18.00 52.7% 7.0% 8.5% 32.8% 0.0% -2.7% 7.1% -3.2K 43.0K -98 0.00 171.99 N/A N/A 0 0 7 72 2024-03-12 $18.73 $18.00 61.1% 7.1% 8.3% 38.9% 0.0% -6.0% 7.2% -3.1K 41.6K -71 0.00 171.99 N/A N/A 1 0 7 72 2024-03-13 $18.77 $18.00 24.5% 7.0% 7.1% 12.3% 0.0% -7.0% 7.2% -3.2K 38.7K -90 0.00 171.75 N/A N/A 0 0 7 72 2024-03-14 $18.63 $18.00 25.9% 7.4% 7.4% 13.3% 0.0% 2.5% 9.1% -3.0K 47.3K -88 0.00 171.90 N/A N/A 0 0 7 72 2024-03-15 $18.64 $18.00 26.2% 7.5% 7.3% 13.6% 0.0% -0.2% 9.0% -774 28.1K -94 0.00 171.76 N/A N/A 0 0 7 72 2024-03-18 $18.48 $18.00 24.7% 7.1% 7.9% 12.5% 0.0% 1.9% -8.2% -831 24.7K -72 0.00 170.46 N/A N/A 0 0 4 27 2024-03-19 $18.55 $18.00 27.3% 7.8% 6.9% 14.3% 0.0% -3.2% 9.1% -872 24.0K -74 0.00 171.48 N/A N/A 0 0 4 27 2024-03-20 $18.66 $18.00 26.0% 7.4% 7.1% 13.4% 0.0% -10.4% 9.2% -924 23.4K -66 0.00 170.79 N/A N/A 0 0 4 27 2024-03-21 $18.70 $18.00 25.9% 7.4% 6.9% 13.3% 0.0% -13.1% 9.3% -762 24.3K -44 0.00 170.95 N/A N/A 0 0 4 27 2024-03-22 $18.70 $18.00 25.7% 7.4% 6.9% 13.2% 0.0% -6.8% 9.2% -852 24.4K -58 0.00 170.99 N/A N/A 0 0 4 27 2024-03-25 $18.66 $18.00 27.2% 7.8% 6.9% 14.3% 0.0% -6.8% 8.9% -837 22.4K -85 0.00 170.76 N/A N/A 0 0 4 27 2024-03-26 $18.70 $18.00 27.1% 7.8% 6.9% 14.2% 0.0% -6.8% 8.9% -617 25.0K -37 0.00 170.71 N/A N/A 0 0 4 27 2024-03-27 $18.74 $18.00 28.3% 8.1% 6.9% 15.1% 0.0% -12.1% 8.9% -734 24.2K -42 0.00 170.47 N/A N/A 0 0 4 27 2024-03-28 $18.80 $18.00 26.9% 7.7% 6.9% 14.1% 0.0% -14.4% 4.5% -760 24.1K -42 0.00 169.89 N/A N/A 0 0 4 27
« Feb 2024 | All History | Apr 2024 » Home PCEF History March 2024