PCEF Options History — August 2024

In August 2024, PCEF traded between $18.21 and $19.30. ATM implied volatility averaged 44.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 31.1% (HV 20d: 13.7%). Max pain ranged from $18.00 to $22.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.83.

Notable Days

2024-08-21: Highest Volume — 27 contracts
2024-08-05: Largest IV spike — 76.9% change
2024-08-13: Highest IV Rank — 53.8%
2024-08-02: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.93	$18.21	$19.30	$18.95	$19.30
Max Pain	$18.80	$18.00	$22.00	$22.00	$18.00
ATM IV	44.8%	22.6%	81.9%	34.2%	38.0%
Expected Move	9.3%	6.5%	12.1%	9.8%	10.9%
HV 20d	13.7%	8.4%	14.8%	8.4%	12.7%
HV 60d	9.4%	6.8%	9.8%	6.8%	9.5%
IV Rank	26.8%	10.6%	53.8%	19.0%	21.8%
IV Percentile	68.9%	19.8%	98.4%	62.7%	73.8%
Term Structure	-2.2%	-11.7%	50.7%	-3.8%	-11.7%
VWIV	34.6%	19.5%	53.9%	19.5%	30.5%
Skew 25d	-4.2%	-48.2%	66.1%	23.6%	-26.5%
Skew 10d	8.1%	0.5%	17.2%	17.2%	8.9%
Call IV 25d	30.1%	7.0%	69.4%	14.4%	43.4%
Put IV 25d	25.9%	12.3%	79.6%	38.0%	16.9%
Bid-Ask Spread %	169.25	153.84	192.67	169.11	166.58
Gamma HHI	0.62	0.34	1.00	0.57	0.80
Net GEX	617	-199	1.8K	176	1.5K
Net DEX	-4.6K	-41.7K	16.7K	13.5K	-38.1K
Net VEX	-47	-97	-23	-32	-89
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.00	1.67	0.00	1.67
Total Volume	3.136	0	27	0	0
Total OI	26.227	5	45	19	39

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
2024-08-01	$18.95	$22.00	34.2%	9.8%	8.4%	19.0%	0.0%	23.6%	-3.8%	176	13.5K	-32	0.00	169.11	N/A	N/A	0	0	7	12
2024-08-02	$18.70	$22.00	42.3%	12.1%	9.6%	24.9%	0.0%	66.1%	-8.4%	-114	10.5K	-39	0.00	169.94	N/A	N/A	0	0	7	12
2024-08-05	$18.21	$0.00	74.8%	9.4%	13.2%	48.7%	0.0%	-20.3%	6.8%	41	11.6K	-27	0.00	183.45	N/A	N/A	0	3	7	12
2024-08-06	$18.46	$0.00	78.7%	10.9%	14.4%	51.5%	0.0%	-48.2%	17.2%	-154	7.4K	-40	0.00	192.67	N/A	N/A	0	0	7	15
2024-08-07	$18.49	$0.00	61.7%	7.6%	14.1%	39.1%	0.0%	9.4%	0.8%	-152	12.2K	-38	0.00	171.17	N/A	N/A	0	0	7	15
2024-08-08	$18.68	$0.00	67.2%	12.0%	14.7%	43.1%	0.0%	-10.2%	-8.6%	-199	14.3K	-35	0.00	182.80	N/A	N/A	0	0	7	15
2024-08-09	$18.73	$0.00	58.6%	8.6%	14.6%	36.8%	0.0%	-15.1%	-4.9%	-6	15.8K	-32	0.00	170.34	N/A	N/A	0	0	7	15
2024-08-12	$18.80	$0.00	74.2%	8.9%	14.7%	48.2%	0.0%	1.8%	-5.3%	-3	15.7K	-30	0.00	169.25	N/A	N/A	0	1	7	15
2024-08-13	$18.91	$0.00	81.9%	6.6%	14.8%	53.8%	0.0%	-4.6%	7.3%	-152	16.7K	-29	0.00	168.94	N/A	N/A	0	1	7	16
2024-08-14	$18.93	$0.00	30.3%	8.7%	14.7%	16.2%	0.0%	-2.8%	-5.7%	-94	16.1K	-28	0.00	170.04	N/A	N/A	0	0	7	16
2024-08-15	$19.09	$0.00	27.9%	8.0%	14.5%	14.5%	0.0%	-12.4%	50.7%	213	14.9K	-25	0.00	168.34	N/A	N/A	0	2	7	16
2024-08-16	$19.09	$0.00	28.3%	8.1%	14.5%	14.7%	0.0%	7.5%	-5.1%	911	14.8K	-23	0.00	167.11	N/A	N/A	0	1	7	18
2024-08-19	$19.02	$0.00	31.2%	8.9%	14.5%	16.9%	0.0%	1.6%	-9.7%	162	-3.0K	-23	0.00	165.50	N/A	N/A	0	0	4	1
2024-08-20	$19.02	$0.00	22.6%	6.5%	14.5%	10.6%	19.5%	-1.1%	-8.4%	162	-3.0K	-23	0.00	157.03	N/A	N/A	26	0	4	1
2024-08-21	$19.11	$18.00	32.1%	9.2%	13.9%	17.5%	53.9%	8.0%	-6.2%	1.8K	-41.7K	-66	0.00	153.84	N/A	N/A	0	27	30	1
2024-08-22	$19.06	$18.00	29.2%	8.4%	14.0%	15.4%	0.0%	6.0%	-6.4%	1.7K	-28.4K	-68	0.00	163.29	N/A	N/A	0	0	30	8
2024-08-23	$19.18	$18.00	32.5%	9.3%	14.1%	17.8%	0.0%	-0.1%	-7.4%	1.7K	-29.8K	-69	0.00	165.56	N/A	N/A	0	0	30	8
2024-08-26	$19.20	$18.00	35.0%	10.0%	14.1%	19.6%	0.0%	-11.6%	-9.4%	1.7K	-29.1K	-67	0.00	165.61	N/A	N/A	0	0	30	8
2024-08-27	$19.22	$18.00	35.7%	10.2%	14.1%	20.1%	30.5%	-23.7%	-9.8%	1.6K	-28.5K	-70	1.67	168.48	N/A	N/A	3	5	30	8
2024-08-28	$19.14	$18.00	35.3%	10.1%	13.7%	19.8%	0.0%	-18.9%	-9.9%	1.3K	-25.3K	-97	0.00	167.72	N/A	N/A	0	0	33	12
2024-08-29	$19.21	$18.00	34.6%	9.9%	13.7%	19.4%	0.0%	-22.1%	-10.6%	1.5K	-37.2K	-90	0.00	166.69	N/A	N/A	0	0	33	6
2024-08-30	$19.30	$18.00	38.0%	10.9%	12.7%	21.8%	0.0%	-26.5%	-11.7%	1.5K	-38.1K	-89	0.00	166.58	N/A	N/A	0	0	33	6