PCEF Options History — June 2024

In June 2024, PCEF traded between $18.55 and $18.80. ATM implied volatility averaged 33.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 26.7% (HV 20d: 6.3%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.17.

Notable Days

2024-06-25: Highest Volume — 10 contracts
2024-06-12: Largest IV drop — 53.7% change
2024-06-11: Highest IV Rank — 33.5%
2024-06-05: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.69	$18.55	$18.80	$18.55	$18.80
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	33.0%	22.6%	54.1%	42.6%	22.6%
Expected Move	8.1%	6.5%	12.7%	12.2%	6.5%
HV 20d	6.3%	5.3%	7.2%	7.2%	5.3%
HV 60d	8.5%	8.3%	8.7%	8.7%	8.4%
IV Rank	18.2%	10.6%	33.5%	25.2%	10.6%
IV Percentile	53.6%	22.6%	95.2%	88.9%	22.6%
Term Structure	5.8%	-23.6%	21.0%	-22.5%	21.0%
Skew 25d	14.0%	-30.4%	31.4%	-30.4%	2.8%
Skew 10d	13.0%	2.9%	43.7%	43.7%	9.3%
Call IV 25d	25.9%	12.7%	50.0%	50.0%	43.8%
Put IV 25d	39.9%	19.6%	46.6%	19.6%	46.6%
Bid-Ask Spread %	168.40	155.68	172.96	155.88	168.59
Gamma HHI	0.43	0.26	1.00	0.26	1.00
Net GEX	-98	-277	0	-71	-277
Net DEX	2.0K	-2.0K	17.0K	-378	17.0K
Net VEX	-9	-15	0	-15	-12
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	0.33	0.00	0.33
Total Volume	0.842	0	10	0	0
Total OI	12.895	0	16	15	10

Daily Data (19 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
2024-06-03	$18.55	$17.00	42.6%	12.2%	7.2%	25.2%	0.0%	-30.4%	-22.5%	-71	-378	-15	0.00	155.88	N/A	N/A	0	0	5	10
2024-06-04	$18.59	$17.00	34.4%	9.9%	6.8%	19.2%	0.0%	-21.9%	-6.0%	-45	-1.0K	-13	0.00	156.20	N/A	N/A	0	0	5	10
2024-06-05	$18.69	$17.00	44.4%	12.7%	7.0%	26.5%	0.0%	-19.1%	-23.6%	-70	-1.3K	-13	0.00	155.68	N/A	N/A	0	0	5	10
2024-06-06	$18.69	$0.00	44.2%	6.9%	7.0%	26.3%	0.0%	25.1%	6.4%	-63	-1.3K	-13	0.00	172.96	N/A	N/A	0	0	5	10
2024-06-07	$18.68	$0.00	46.6%	7.3%	6.9%	28.1%	0.0%	24.7%	6.3%	-63	-1.4K	-12	0.00	172.49	N/A	N/A	0	0	5	10
2024-06-10	$18.67	$0.00	50.6%	7.4%	6.8%	31.0%	0.0%	25.6%	5.3%	-60	-1.4K	-11	0.00	172.61	N/A	N/A	0	0	5	10
2024-06-11	$18.70	$0.00	54.1%	7.7%	6.8%	33.5%	0.0%	24.7%	5.9%	-71	-1.2K	-11	0.00	172.49	N/A	N/A	0	0	5	10
2024-06-12	$18.79	$0.00	25.1%	7.2%	6.8%	12.4%	0.0%	22.3%	6.0%	-61	-2.0K	-9	0.00	171.84	N/A	N/A	1	0	5	10
2024-06-13	$18.77	$0.00	25.4%	7.3%	6.3%	12.6%	0.0%	26.3%	5.9%	-56	-1.4K	-9	0.00	170.92	N/A	N/A	0	1	5	10
2024-06-14	$18.74	$0.00	26.3%	7.5%	6.3%	13.3%	0.0%	28.8%	5.0%	-108	480	-10	0.00	171.41	N/A	N/A	0	0	5	11
2024-06-17	$18.76	$0.00	28.6%	8.2%	6.3%	15.0%	0.0%	29.0%	4.6%	-127	20	-7	0.00	171.99	N/A	N/A	0	0	5	11
2024-06-18	$18.77	$0.00	28.5%	8.2%	6.0%	14.9%	0.0%	27.3%	4.4%	-133	-435	-6	0.00	172.00	N/A	N/A	0	0	5	11
2024-06-20	$18.71	$0.00	30.0%	8.6%	6.1%	16.0%	0.0%	29.6%	6.1%	-124	-20	-4	0.00	171.72	N/A	N/A	0	0	5	11
2024-06-21	$18.71	$0.00	29.9%	8.6%	6.1%	15.9%	0.0%	30.0%	6.0%	0	-1.9K	0	0.33	169.46	N/A	N/A	3	1	5	11
2024-06-24	$18.57	$0.00	23.6%	6.8%	5.9%	11.3%	0.0%	31.4%	20.4%	0	0	0	0.00	166.45	N/A	N/A	0	0	0	0
2024-06-25	$18.59	$0.00	23.5%	6.7%	5.7%	11.2%	0.0%	4.3%	19.6%	0	0	0	0.00	169.06	N/A	N/A	0	10	0	0
2024-06-26	$18.62	$0.00	24.0%	6.9%	5.5%	11.6%	0.0%	3.6%	19.8%	-255	16.9K	-12	0.00	168.40	N/A	N/A	0	0	0	10
2024-06-27	$18.74	$0.00	22.7%	6.5%	5.3%	10.7%	0.0%	2.6%	19.9%	-271	16.9K	-12	0.00	169.38	N/A	N/A	0	0	0	10
2024-06-28	$18.80	$0.00	22.6%	6.5%	5.3%	10.6%	0.0%	2.8%	21.0%	-277	17.0K	-12	0.00	168.59	N/A	N/A	0	0	0	10