PCEF Options History — November 2024

In November 2024, PCEF traded between $19.23 and $19.73. ATM implied volatility averaged 26.9%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 20.0% (HV 20d: 6.9%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.40.

Notable Days

2024-11-13: Highest Volume — 115 contracts
2024-11-25: Largest IV spike — 105.9% change
2024-11-12: Highest IV Rank — 35.9%
2024-11-12: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.48	$19.23	$19.73	$19.31	$19.73
Max Pain	$20.65	$19.00	$22.00	$19.00	$19.00
ATM IV	26.9%	10.3%	59.9%	30.2%	22.6%
Expected Move	6.1%	3.0%	8.9%	8.7%	6.5%
HV 20d	6.9%	5.7%	7.6%	5.9%	7.2%
HV 60d	6.3%	6.0%	6.5%	6.0%	6.4%
IV Rank	11.9%	0.0%	35.9%	16.2%	9.1%
IV Percentile	33.1%	0.0%	93.7%	46.8%	12.7%
Term Structure	3.4%	-22.8%	19.0%	-22.8%	0.2%
VWIV	26.2%	13.2%	38.2%	13.2%	38.2%
Skew 25d	-0.8%	-12.1%	29.4%	29.4%	0.9%
Skew 10d	5.6%	-4.0%	49.9%	49.9%	3.3%
Call IV 25d	25.4%	6.4%	39.1%	10.0%	39.1%
Put IV 25d	24.6%	10.1%	40.0%	39.4%	40.0%
Bid-Ask Spread %	156.35	148.21	163.26	163.26	161.94
Gamma HHI	0.81	0.58	0.98	0.85	0.75
Net GEX	-3.6K	-7.2K	-2.4K	-2.7K	-2.8K
Net DEX	26.9K	16.1K	50.2K	26.2K	18.8K
Net VEX	-84	-104	-65	-65	-89
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.00	5.00	5.00	0.00
Total Volume	6.65	0	115	4	1
Total OI	46.6	40	66	40	45

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
2024-11-01	$19.31	$19.00	30.2%	8.7%	5.9%	16.2%	0.0%	29.4%	-22.8%	-2.7K	26.2K	-65	0.00	163.26	N/A	N/A	0	4	8	32
2024-11-04	$19.23	$22.00	32.6%	5.8%	5.8%	17.9%	0.0%	-5.7%	-5.1%	-3.1K	30.6K	-76	0.00	151.77	N/A	N/A	0	0	8	36
2024-11-05	$19.32	$22.00	33.8%	5.8%	5.7%	16.3%	0.0%	-9.4%	-6.0%	-3.3K	29.5K	-74	0.00	154.00	N/A	N/A	0	0	8	36
2024-11-06	$19.49	$22.00	37.9%	6.3%	6.3%	19.4%	0.0%	-10.5%	-5.4%	-2.4K	25.8K	-71	0.00	153.81	N/A	N/A	0	0	8	36
2024-11-07	$19.64	$22.00	36.1%	8.2%	6.9%	18.0%	13.2%	-12.1%	-2.7%	-2.7K	26.0K	-67	5.00	156.07	N/A	N/A	1	5	8	36
2024-11-08	$19.73	$22.00	37.9%	5.6%	7.1%	19.3%	0.0%	-3.7%	19.0%	-2.8K	23.8K	-69	0.00	153.20	N/A	N/A	0	0	7	41
2024-11-11	$19.71	$22.00	46.9%	8.3%	7.1%	26.1%	0.0%	-7.7%	-3.5%	-2.5K	32.4K	-104	0.00	159.97	N/A	N/A	0	0	7	41
2024-11-12	$19.55	$22.00	59.9%	8.9%	7.6%	35.9%	0.0%	-9.3%	-1.2%	-3.2K	26.5K	-67	0.00	156.61	N/A	N/A	0	0	7	41
2024-11-13	$19.52	$22.00	30.9%	8.8%	7.6%	14.1%	32.5%	1.7%	-4.4%	-2.5K	35.1K	-102	0.60	157.29	N/A	N/A	72	43	7	41
2024-11-14	$19.45	$22.00	18.0%	5.2%	7.6%	4.4%	0.0%	4.5%	11.3%	-7.2K	50.2K	-86	0.00	155.14	N/A	N/A	0	0	7	59
2024-11-15	$19.37	$22.00	19.1%	5.5%	7.6%	5.2%	21.0%	8.3%	9.3%	-5.7K	42.8K	-82	0.00	154.49	N/A	N/A	0	1	7	59
2024-11-18	$19.34	$22.00	10.3%	3.0%	7.1%	0.0%	0.0%	-9.2%	14.6%	-3.6K	40.6K	-94	0.00	156.58	N/A	N/A	0	1	5	45
2024-11-19	$19.34	$19.00	19.8%	5.7%	7.1%	7.0%	0.0%	11.4%	14.6%	-3.2K	21.5K	-93	0.00	157.47	N/A	N/A	0	0	5	35
2024-11-20	$19.32	$19.00	14.2%	4.1%	6.6%	2.9%	0.0%	14.9%	14.7%	-5.2K	18.8K	-85	0.00	148.21	N/A	N/A	1	0	5	35
2024-11-21	$19.42	$19.00	10.6%	3.0%	6.9%	0.2%	0.0%	2.8%	15.9%	-3.9K	16.5K	-90	0.00	157.79	N/A	N/A	0	0	6	35
2024-11-22	$19.48	$19.00	10.5%	3.0%	6.9%	0.1%	38.2%	4.2%	18.1%	-3.4K	16.5K	-89	0.00	159.70	N/A	N/A	0	4	6	35
2024-11-25	$19.57	$19.00	21.6%	6.2%	7.1%	8.4%	0.0%	-7.7%	0.1%	-4.5K	16.1K	-84	0.00	155.74	N/A	N/A	0	0	6	39
2024-11-26	$19.55	$19.00	22.0%	6.3%	7.0%	8.6%	0.0%	-7.7%	0.0%	-3.3K	20.9K	-94	0.00	154.32	N/A	N/A	0	0	6	39
2024-11-27	$19.59	$19.00	22.6%	6.5%	7.0%	9.1%	0.0%	-10.7%	0.0%	-3.3K	20.2K	-93	0.00	159.56	N/A	N/A	0	0	6	39
2024-11-29	$19.73	$19.00	22.6%	6.5%	7.2%	9.1%	0.0%	0.9%	0.2%	-2.8K	18.8K	-89	0.00	161.94	N/A	N/A	1	0	6	39