PCEF Options History — September 2024

In September 2024, PCEF traded between $19.05 and $19.68. ATM implied volatility averaged 32.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 26.1% (HV 20d: 6.3%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.02.

Notable Days

2024-09-19: Highest Volume — 74 contracts
2024-09-06: Largest IV spike — 50.4% change
2024-09-10: Highest IV Rank — 31.6%
2024-09-04: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.41	$19.05	$19.68	$19.19	$19.68
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	32.4%	22.4%	51.4%	39.4%	24.3%
Expected Move	8.5%	6.4%	11.4%	11.3%	7.0%
HV 20d	6.3%	5.8%	7.7%	7.7%	5.8%
HV 60d	9.7%	9.6%	9.8%	9.6%	9.7%
IV Rank	17.7%	10.4%	31.6%	22.9%	11.8%
IV Percentile	47.8%	12.3%	91.7%	75.8%	21.0%
Term Structure	-1.2%	-26.4%	31.0%	-14.7%	21.0%
Skew 25d	2.3%	-18.4%	16.1%	-18.4%	5.1%
Skew 10d	9.7%	5.7%	14.8%	12.9%	9.7%
Call IV 25d	39.6%	33.9%	48.7%	44.8%	43.4%
Put IV 25d	41.9%	26.4%	64.7%	26.4%	48.6%
Bid-Ask Spread %	172.98	166.69	181.20	167.12	168.16
Gamma HHI	0.77	0.50	1.00	0.78	0.51
Net GEX	662	-1.0K	1.9K	1.4K	-1.0K
Net DEX	-27.1K	-143.8K	20.8K	-36.0K	19.8K
Net VEX	-59	-85	-23	-85	-43
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.01	0.03	0.01	0.03
Total Volume	7.9	0	74	0	0
Total OI	33.8	5	90	39	15

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
2024-09-03	$19.19	$18.00	39.4%	11.3%	7.7%	22.9%	0.0%	-18.4%	-14.7%	1.4K	-36.0K	-85	0.00	167.12	N/A	N/A	0	0	33	6
2024-09-04	$19.18	$18.00	39.9%	11.4%	6.6%	23.2%	0.0%	-15.8%	-15.2%	1.4K	-35.5K	-84	0.00	166.69	N/A	N/A	0	0	33	6
2024-09-05	$19.14	$0.00	25.7%	8.0%	6.8%	12.9%	0.0%	4.2%	-5.8%	1.6K	-36.4K	-80	0.00	176.33	N/A	N/A	0	0	33	6
2024-09-06	$19.05	$0.00	38.7%	7.7%	6.4%	22.3%	0.0%	4.2%	-4.7%	1.9K	-35.2K	-78	0.00	175.50	N/A	N/A	0	1	33	6
2024-09-09	$19.18	$0.00	50.0%	8.4%	6.7%	30.6%	0.0%	3.8%	-7.3%	1.3K	-34.2K	-77	0.00	176.55	N/A	N/A	0	0	33	7
2024-09-10	$19.19	$0.00	51.4%	8.5%	6.6%	31.6%	0.0%	3.8%	-8.6%	1.3K	-34.3K	-75	0.00	176.35	N/A	N/A	0	0	33	7
2024-09-11	$19.25	$0.00	28.9%	8.3%	6.4%	15.2%	0.0%	3.5%	-7.8%	1.4K	-35.4K	-72	0.00	175.95	N/A	N/A	0	0	33	7
2024-09-12	$19.34	$0.00	30.8%	8.8%	6.5%	16.6%	0.0%	2.9%	-9.4%	942	-37.1K	-69	0.00	176.41	N/A	N/A	0	0	33	7
2024-09-13	$19.43	$0.00	32.1%	9.2%	6.1%	17.5%	0.0%	2.1%	-10.1%	1.4K	-38.7K	-67	0.00	176.52	N/A	N/A	0	0	33	7
2024-09-16	$19.48	$0.00	28.5%	8.2%	6.1%	14.9%	0.0%	3.1%	-12.6%	1.0K	-39.5K	-58	0.00	177.61	N/A	N/A	0	0	33	7
2024-09-17	$19.52	$0.00	30.2%	8.7%	5.9%	16.2%	0.0%	0.7%	-17.1%	1.4K	-40.2K	-56	0.00	175.75	N/A	N/A	0	0	33	7
2024-09-18	$19.54	$0.00	36.4%	10.4%	5.8%	20.7%	0.0%	3.8%	-26.4%	1.4K	-40.5K	-53	0.00	172.07	N/A	N/A	0	0	33	7
2024-09-19	$19.66	$0.00	34.2%	9.8%	6.0%	19.0%	0.0%	1.7%	-5.7%	1.4K	-41.9K	-49	0.01	171.27	N/A	N/A	73	1	33	7
2024-09-20	$19.62	$0.00	36.5%	10.5%	5.9%	20.7%	0.0%	1.9%	-6.1%	-33	-143.8K	-39	0.03	171.37	N/A	N/A	71	2	82	8
2024-09-23	$19.52	$0.00	22.7%	6.5%	6.1%	10.7%	0.0%	5.3%	20.1%	-507	3.9K	-23	0.00	169.09	N/A	N/A	0	0	0	5
2024-09-24	$19.54	$0.00	22.6%	6.5%	6.1%	10.6%	0.0%	5.2%	20.2%	-504	3.8K	-23	0.00	169.23	N/A	N/A	0	10	0	5
2024-09-25	$19.51	$0.00	22.4%	6.4%	6.1%	10.4%	0.0%	7.4%	16.1%	-919	20.8K	-43	0.00	168.18	N/A	N/A	0	0	0	15
2024-09-26	$19.54	$0.00	30.1%	8.6%	5.9%	16.1%	0.0%	16.1%	31.0%	-846	18.9K	-52	0.00	181.20	N/A	N/A	0	0	0	15
2024-09-27	$19.59	$0.00	22.9%	6.6%	5.8%	10.8%	0.0%	6.0%	19.8%	-871	20.4K	-45	0.00	168.25	N/A	N/A	0	0	0	15
2024-09-30	$19.68	$0.00	24.3%	7.0%	5.8%	11.8%	0.0%	5.1%	21.0%	-1.0K	19.8K	-43	0.00	168.16	N/A	N/A	0	0	0	15