PCEF Options History — October 2024

In October 2024, PCEF traded between $19.27 and $19.70. ATM implied volatility averaged 27.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 21.2% (HV 20d: 5.8%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2024-10-23: Highest Volume — 6 contracts
  • 2024-10-21: Largest IV spike — 164.7% change
  • 2024-10-21: Highest IV Rank — 36.9%
  • 2024-10-21: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.53$19.27$19.70$19.65$19.27
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV27.0%21.0%58.6%24.2%29.3%
Expected Move7.4%5.7%16.8%6.9%8.4%
HV 20d5.8%5.3%6.5%5.3%6.0%
HV 60d9.1%6.2%9.9%9.7%6.3%
IV Rank13.8%9.4%36.9%11.7%15.5%
IV Percentile29.2%6.7%93.7%21.0%43.7%
Term Structure-7.3%-24.8%1.8%1.8%-24.8%
VWIV23.2%13.5%32.9%32.9%13.5%
Skew 25d16.6%-14.6%73.3%6.9%30.5%
Skew 10d24.0%2.5%55.7%13.1%50.0%
Call IV 25d20.4%7.0%51.8%44.8%9.6%
Put IV 25d37.0%19.9%125.1%51.7%40.1%
Bid-Ask Spread %171.23162.48190.99167.14163.31
Gamma HHI0.560.310.910.520.81
Net GEX-1.4K-2.9K-906-1.0K-2.5K
Net DEX20.4K14.8K26.3K20.7K25.7K
Net VEX-53-74-39-40-66
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.005.000.000.00
Total Volume1.0870610
Total OI25.39115401540

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$19.65$0.0024.2%6.9%5.3%11.7%0.0%6.9%1.8%-1.0K20.7K-400.00167.14N/AN/A10015
2024-10-02$19.62$0.0026.4%7.6%5.4%13.3%0.0%6.9%0.6%-1.0K18.7K-450.00168.06N/AN/A00115
2024-10-03$19.52$0.0026.8%5.7%5.7%13.7%32.9%3.4%-0.6%-1.0K20.0K-390.00175.34N/AN/A30115
2024-10-04$19.59$19.0028.0%8.6%5.4%14.6%0.0%3.3%-20.9%-90617.1K-500.00177.08N/AN/A00315
2024-10-07$19.48$19.0036.2%6.5%5.5%20.5%0.0%3.9%-7.5%-96617.6K-470.00176.80N/AN/A00315
2024-10-08$19.59$19.0033.1%6.5%5.8%18.3%0.0%2.6%-4.0%-92217.7K-460.00178.32N/AN/A01315
2024-10-09$19.68$19.0022.1%6.4%5.9%10.3%0.0%-14.6%-3.9%-93518.4K-500.00177.69N/AN/A00316
2024-10-10$19.65$19.0022.4%6.4%5.8%10.5%0.0%11.2%-4.1%-92119.4K-460.00175.98N/AN/A00316
2024-10-11$19.66$19.0022.8%6.5%5.6%10.7%0.0%11.0%-4.1%-92219.3K-460.00175.98N/AN/A30316
2024-10-14$19.70$19.0023.3%6.7%5.6%11.1%0.0%18.1%-4.3%-96614.8K-510.00166.63N/AN/A03616
2024-10-15$19.64$19.0021.0%6.0%5.7%9.4%0.0%19.5%1.6%-1.1K17.8K-540.00170.30N/AN/A00618
2024-10-16$19.68$19.0021.4%6.1%5.7%9.7%0.0%14.8%1.6%-95718.5K-460.00170.52N/AN/A00618
2024-10-17$19.63$19.0021.6%6.2%5.4%9.9%0.0%17.1%1.6%-1.1K18.4K-490.00169.46N/AN/A00618
2024-10-18$19.68$19.0022.1%6.3%5.4%10.3%0.0%17.4%1.6%-92519.4K-470.00170.05N/AN/A00618
2024-10-21$19.52$19.0058.6%16.8%5.9%36.9%0.0%73.3%1.5%-92514.9K-580.00190.99N/AN/A00516
2024-10-22$19.53$19.0023.2%6.6%5.9%11.0%0.0%19.4%-1.9%-1.2K19.4K-430.00169.16N/AN/A05521
2024-10-23$19.38$19.0024.6%7.1%6.5%12.1%13.5%21.1%-15.2%-1.7K23.1K-525.00169.82N/AN/A15526
2024-10-24$19.38$19.0024.5%7.0%6.4%12.0%0.0%20.8%-14.7%-2.2K24.6K-650.00166.00N/AN/A00631
2024-10-25$19.41$19.0026.4%7.6%6.4%13.4%0.0%21.9%-18.4%-2.1K24.7K-740.00165.49N/AN/A00631
2024-10-28$19.37$19.0027.2%7.8%6.1%13.9%0.0%22.2%-16.2%-2.9K26.1K-660.00165.09N/AN/A20631
2024-10-29$19.32$19.0027.4%7.9%6.1%14.1%0.0%23.2%-18.2%-2.6K26.3K-660.00166.60N/AN/A01831
2024-10-30$19.34$19.0028.2%8.1%6.2%14.7%0.0%26.9%-19.5%-2.7K25.9K-660.00162.48N/AN/A00832
2024-10-31$19.27$19.0029.3%8.4%6.0%15.5%0.0%30.5%-24.8%-2.5K25.7K-660.00163.31N/AN/A00832