PCEF Options History — July 2024

In July 2024, PCEF traded between $18.74 and $19.28. ATM implied volatility averaged 31.5%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 25.4% (HV 20d: 6.1%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.25.

Notable Days

2024-07-15: Highest Volume — 10 contracts
2024-07-10: Largest IV drop — 47.9% change
2024-07-09: Highest IV Rank — 27.6%
2024-07-01: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.97	$18.74	$19.28	$18.80	$19.04
Max Pain	$21.71	$19.00	$22.00	$19.00	$22.00
ATM IV	31.5%	21.1%	45.9%	39.5%	33.0%
Expected Move	8.3%	6.0%	11.3%	11.3%	9.5%
HV 20d	6.1%	4.8%	8.3%	4.9%	8.3%
HV 60d	7.2%	6.6%	8.3%	8.3%	6.8%
IV Rank	17.1%	9.5%	27.6%	22.9%	18.2%
IV Percentile	53.2%	18.3%	90.9%	79.4%	58.7%
Term Structure	-0.1%	-17.1%	8.1%	-16.2%	-1.6%
VWIV	32.4%	22.4%	48.3%	35.1%	32.9%
Skew 25d	8.4%	-2.4%	34.4%	3.2%	-1.7%
Skew 10d	4.9%	-6.1%	11.4%	11.1%	-6.1%
Call IV 25d	32.2%	11.6%	52.8%	51.0%	21.8%
Put IV 25d	40.6%	13.3%	56.1%	54.1%	20.2%
Bid-Ask Spread %	172.72	165.84	176.88	169.62	170.16
Gamma HHI	0.58	0.52	1.00	1.00	0.54
Net GEX	340	-260	3.1K	-260	160
Net DEX	10.5K	4.2K	17.3K	17.3K	13.1K
Net VEX	-31	-46	-10	-10	-34
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	0.00	1.00
Total Volume	1.182	0	10	6	0
Total OI	18.091	10	21	10	19

Daily Data (22 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
2024-07-01	$18.80	$0.00	39.5%	11.3%	4.9%	22.9%	35.1%	3.2%	-16.2%	-260	17.3K	-10	0.00	169.62	N/A	N/A	6	0	0	10
2024-07-02	$18.82	$19.00	32.2%	9.2%	4.8%	17.6%	0.0%	3.2%	-1.5%	179	11.7K	-20	0.00	169.98	N/A	N/A	0	0	6	10
2024-07-03	$18.91	$19.00	38.5%	11.0%	5.0%	22.2%	0.0%	3.3%	-17.1%	133	11.4K	-21	0.00	169.89	N/A	N/A	0	0	6	10
2024-07-05	$18.95	$22.00	40.5%	7.2%	4.8%	23.6%	0.0%	2.6%	4.3%	145	11.4K	-20	0.00	176.88	N/A	N/A	4	0	6	10
2024-07-08	$18.95	$22.00	43.8%	7.3%	4.8%	26.0%	0.0%	1.6%	4.0%	386	8.0K	-37	0.00	176.02	N/A	N/A	0	0	10	10
2024-07-09	$18.95	$22.00	45.9%	7.2%	4.8%	27.6%	0.0%	2.5%	3.9%	294	8.9K	-35	0.00	172.45	N/A	N/A	0	0	9	10
2024-07-10	$19.07	$22.00	23.9%	6.9%	5.1%	11.5%	0.0%	4.5%	-3.3%	367	4.5K	-46	0.00	165.84	N/A	N/A	0	0	9	10
2024-07-11	$19.12	$22.00	23.6%	6.8%	5.2%	11.4%	0.0%	3.0%	5.7%	279	4.2K	-46	0.00	172.20	N/A	N/A	0	0	9	10
2024-07-12	$19.21	$22.00	22.8%	6.5%	5.1%	10.8%	0.0%	-0.0%	7.4%	281	7.9K	-35	0.00	176.13	N/A	N/A	0	0	9	10
2024-07-15	$19.23	$22.00	21.1%	6.0%	5.1%	9.5%	48.3%	-0.3%	7.3%	358	8.3K	-31	0.00	174.26	N/A	N/A	0	10	9	10
2024-07-16	$19.28	$22.00	24.1%	6.9%	5.0%	11.7%	0.0%	0.8%	8.1%	261	7.4K	-33	0.00	176.08	N/A	N/A	0	0	9	10
2024-07-17	$19.16	$22.00	21.8%	6.3%	5.7%	10.0%	0.0%	-0.6%	4.4%	348	8.4K	-30	0.00	174.71	N/A	N/A	0	0	9	10
2024-07-18	$18.95	$22.00	26.4%	7.6%	7.1%	13.4%	22.4%	1.7%	1.9%	391	9.1K	-29	0.00	174.45	N/A	N/A	2	0	9	10
2024-07-19	$18.92	$22.00	29.9%	8.6%	7.0%	15.9%	23.2%	2.0%	2.3%	3.1K	11.5K	-31	1.00	176.01	N/A	N/A	1	1	11	10
2024-07-22	$18.94	$22.00	27.8%	8.0%	7.0%	14.4%	32.9%	-2.4%	0.7%	264	11.4K	-29	0.00	169.75	N/A	N/A	0	1	7	10
2024-07-23	$18.96	$22.00	28.3%	8.1%	6.3%	14.8%	0.0%	21.6%	1.3%	119	12.0K	-32	0.00	172.61	N/A	N/A	0	0	7	11
2024-07-24	$18.74	$22.00	32.4%	9.3%	7.8%	17.7%	0.0%	34.4%	-1.7%	132	12.6K	-31	0.00	173.57	N/A	N/A	0	0	7	11
2024-07-25	$18.77	$22.00	33.1%	9.5%	7.8%	18.2%	0.0%	30.1%	-2.0%	129	12.5K	-31	0.00	172.32	N/A	N/A	0	1	7	11
2024-07-26	$18.81	$22.00	33.1%	9.5%	7.5%	18.3%	0.0%	29.7%	-2.2%	112	13.3K	-36	0.00	173.04	N/A	N/A	0	0	7	12
2024-07-29	$18.84	$22.00	35.0%	10.0%	7.4%	19.6%	0.0%	32.5%	-3.5%	119	13.3K	-35	0.00	173.13	N/A	N/A	0	0	7	12
2024-07-30	$18.84	$22.00	36.8%	10.5%	7.4%	20.9%	0.0%	13.6%	-4.1%	176	13.6K	-33	0.00	170.77	N/A	N/A	0	0	7	12
2024-07-31	$19.04	$22.00	33.0%	9.5%	8.3%	18.2%	0.0%	-1.7%	-1.6%	160	13.1K	-34	0.00	170.16	N/A	N/A	0	0	7	12