PCEF Options History — December 2024

In December 2024, PCEF traded between $19.05 and $19.84. ATM implied volatility averaged 25.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 18.2% (HV 20d: 7.1%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.67.

Notable Days

2024-12-19: Highest Volume — 6 contracts
2024-12-03: Largest IV spike — 292.5% change
2024-12-18: Highest IV Rank — 29.6%
2024-12-18: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.52	$19.05	$19.84	$19.77	$19.12
Max Pain	$19.29	$19.00	$20.00	$19.00	$20.00
ATM IV	25.3%	5.9%	33.3%	5.9%	32.7%
Expected Move	6.8%	1.7%	9.5%	1.7%	9.4%
HV 20d	7.1%	4.4%	9.8%	7.2%	9.3%
HV 60d	6.7%	6.0%	7.8%	6.3%	7.7%
IV Rank	18.6%	0.0%	29.6%	0.0%	28.9%
IV Percentile	31.4%	0.0%	61.9%	0.0%	58.7%
Term Structure	0.4%	-12.7%	8.4%	0.2%	0.0%
VWIV	43.0%	18.5%	62.6%	44.3%	62.6%
Skew 25d	-3.1%	-25.2%	17.3%	17.3%	0.2%
Skew 10d	-6.1%	-31.3%	13.9%	7.1%	-2.4%
Call IV 25d	25.9%	12.3%	39.6%	14.5%	21.7%
Put IV 25d	22.9%	14.4%	31.9%	31.9%	21.9%
Bid-Ask Spread %	166.84	156.92	170.34	160.73	167.98
Gamma HHI	0.81	0.63	1.00	0.63	0.94
Net GEX	-3.8K	-9.9K	-1.1K	-3.8K	-1.5K
Net DEX	15.2K	3.1K	40.2K	3.1K	9.9K
Net VEX	-55	-84	-38	-48	-38
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.00	5.00	0.00	0.00
Total Volume	0.762	0	6	1	1
Total OI	40.238	12	58	46	13

Daily Data (21 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
2024-12-02	$19.77	$19.00	5.9%	1.7%	7.2%	0.0%	0.0%	17.3%	0.2%	-3.8K	3.1K	-48	0.00	160.73	N/A	N/A	0	1	7	39
2024-12-03	$19.79	$19.00	23.0%	6.6%	6.9%	12.3%	0.0%	-25.2%	0.2%	-3.3K	15.4K	-83	0.00	158.85	N/A	N/A	0	0	7	40
2024-12-04	$19.81	$19.00	23.8%	6.8%	6.8%	12.9%	44.3%	-16.5%	0.2%	-3.7K	11.8K	-75	0.00	156.92	N/A	N/A	0	3	7	40
2024-12-05	$19.80	$19.00	24.5%	5.0%	6.2%	13.4%	0.0%	-8.2%	1.6%	-3.8K	17.8K	-84	0.00	170.34	N/A	N/A	0	0	7	43
2024-12-06	$19.84	$19.00	23.1%	4.9%	5.7%	12.3%	0.0%	-7.0%	1.6%	-3.6K	17.3K	-79	0.00	169.84	N/A	N/A	0	0	7	43
2024-12-09	$19.82	$19.00	26.9%	4.9%	5.5%	15.1%	0.0%	-8.0%	1.5%	-4.1K	15.9K	-69	0.00	170.32	N/A	N/A	2	0	7	43
2024-12-10	$19.80	$19.00	30.0%	5.1%	5.5%	17.3%	0.0%	-8.0%	1.4%	-4.0K	14.8K	-67	0.00	169.35	N/A	N/A	0	1	9	43
2024-12-11	$19.82	$19.00	18.1%	5.2%	4.5%	8.8%	0.0%	-7.7%	1.4%	-4.2K	14.2K	-67	0.00	170.13	N/A	N/A	0	0	9	44
2024-12-12	$19.73	$19.00	18.8%	5.4%	4.8%	9.3%	0.0%	13.8%	1.2%	-4.4K	16.6K	-66	0.00	169.59	N/A	N/A	0	0	9	44
2024-12-13	$19.68	$19.00	19.5%	5.6%	4.7%	14.7%	0.0%	-11.5%	1.1%	-4.7K	17.7K	-63	0.00	169.41	N/A	N/A	0	0	9	44
2024-12-16	$19.70	$19.00	20.4%	5.8%	4.4%	15.7%	0.0%	-10.2%	1.0%	-4.7K	17.0K	-53	0.00	169.77	N/A	N/A	0	0	9	44
2024-12-17	$19.54	$19.00	22.6%	6.5%	5.4%	18.1%	0.0%	8.3%	0.5%	-6.5K	18.6K	-46	0.00	164.30	N/A	N/A	0	0	9	44
2024-12-18	$19.20	$19.00	33.3%	9.5%	8.4%	29.6%	0.0%	-1.6%	-12.7%	-7.9K	31.4K	-48	0.00	162.69	N/A	N/A	0	0	9	44
2024-12-19	$19.05	$19.00	31.7%	9.1%	8.8%	27.9%	0.0%	7.0%	-6.4%	-9.9K	40.2K	-46	5.00	164.19	N/A	N/A	1	5	9	44
2024-12-20	$19.18	$19.00	32.7%	9.4%	8.9%	28.9%	18.5%	2.6%	-8.5%	-2.4K	17.4K	-40	0.00	169.21	N/A	N/A	1	0	9	49
2024-12-23	$19.20	$20.00	27.5%	7.9%	8.9%	23.3%	0.0%	-2.5%	4.3%	-1.2K	7.9K	-39	0.00	167.10	N/A	N/A	0	0	2	10
2024-12-24	$19.37	$20.00	27.6%	7.9%	9.3%	23.5%	0.0%	-3.2%	8.4%	-1.3K	6.6K	-38	0.00	168.52	N/A	N/A	0	0	2	10
2024-12-26	$19.37	$20.00	28.2%	8.1%	9.3%	24.2%	0.0%	-2.6%	7.9%	-1.1K	6.8K	-38	0.00	168.13	N/A	N/A	0	0	2	10
2024-12-27	$19.18	$20.00	29.3%	8.4%	9.8%	25.3%	46.4%	-1.3%	3.9%	-1.4K	8.0K	-38	0.00	168.77	N/A	N/A	0	1	2	10
2024-12-30	$19.10	$20.00	32.5%	9.3%	9.4%	28.8%	0.0%	-0.0%	-1.3%	-1.6K	10.1K	-38	0.00	167.46	N/A	N/A	0	0	2	11
2024-12-31	$19.12	$20.00	32.7%	9.4%	9.3%	28.9%	62.6%	0.2%	0.0%	-1.5K	9.9K	-38	0.00	167.98	N/A	N/A	0	1	2	11