PFFA Options History — January 2021 In January 2021, PFFA traded between $21.71 and $22.38. ATM implied volatility averaged 40.7%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 28.7% (HV 20d: 12.0%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 17 of 18 trading days. Term structure was in contango for 4 of 18 days. Put/call ratio averaged 0.11.
Notable Days 2021-01-29 : Highest Volume — 33 contracts2021-01-19 : Largest IV spike — 72.1% change2021-01-19 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $22.07 $21.71 $22.38 $22.01 $21.91 Max Pain $22.33 $22.00 $23.00 $22.00 $23.00 ATM IV 40.7% 9.3% 96.9% 48.2% 9.3% Expected Move 8.5% 2.7% 12.2% 10.0% 2.7% HV 20d 12.0% 11.7% 12.2% 12.2% 11.7% Term Structure -13.2% -31.0% 4.7% -15.8% -3.9% VWIV 18.8% 9.3% 34.2% 21.5% 9.3% Skew 25d 6.9% 0.3% 31.2% 6.5% 31.2% Skew 10d 7.9% -33.6% 46.7% 14.8% 46.7% Call IV 25d 31.4% 7.4% 47.1% 42.0% 9.4% Put IV 25d 38.2% 14.0% 51.3% 48.5% 40.6% Bid-Ask Spread % 149.23 134.21 200.00 140.92 200.00 Gamma HHI 0.59 0.51 1.00 0.59 0.67 Net GEX 3.1K -1.3K 5.7K 3.2K 1.3K Net DEX -20.2K -30.3K 3.8K -22.8K -17.4K Net VEX -169 -209 -115 -172 -139 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 0.50 0.00 0.00 Total Volume 4.444 0 33 0 33 Total OI 40.167 24 62 37 29
Daily Data (18 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 2021-01-05 $22.01 $0.00 48.2% 10.0% 0.0% 0.0% 0.0% 6.5% -15.8% 3.2K -22.8K -172 0.00 140.92 N/A N/A 0 0 34 3 2021-01-06 $21.93 $0.00 66.3% 10.3% 0.0% 0.0% 0.0% 5.3% -18.5% 3.0K -22.2K -172 0.00 139.50 N/A N/A 0 0 34 3 2021-01-07 $21.89 $0.00 69.4% 10.3% 0.0% 0.0% 0.0% 4.9% -17.2% 2.3K -25.8K -180 0.00 139.34 N/A N/A 0 0 34 3 2021-01-08 $21.88 $0.00 74.2% 10.2% 0.0% 0.0% 0.0% 4.2% -16.1% 3.1K -20.6K -169 0.00 139.59 N/A N/A 0 0 34 3 2021-01-11 $21.77 $0.00 96.9% 10.7% 0.0% 0.0% 0.0% 4.0% -18.4% 3.0K -18.3K -159 0.00 139.31 N/A N/A 0 0 34 3 2021-01-12 $21.71 $0.00 64.0% 11.1% 0.0% 0.0% 0.0% 4.8% -20.5% 2.7K -19.7K -163 0.00 139.24 N/A N/A 0 0 34 3 2021-01-13 $22.10 $0.00 38.4% 11.0% 0.0% 0.0% 0.0% 5.0% -19.0% 2.9K -27.4K -178 0.00 139.19 N/A N/A 0 0 34 3 2021-01-14 $22.26 $0.00 39.2% 11.2% 0.0% 0.0% 0.0% 4.1% -20.1% 3.0K -30.3K -181 0.00 139.25 N/A N/A 1 0 34 3 2021-01-15 $22.28 $0.00 24.8% 7.1% 0.0% 0.0% 0.0% 0.0% 0.0% 3.5K -15.1K -115 0.00 200.00 N/A N/A 0 0 24 0 2021-01-19 $22.38 $0.00 42.6% 12.2% 0.0% 0.0% 0.0% 4.2% -31.0% 5.7K -28.5K -167 0.00 139.89 N/A N/A 0 0 36 3 2021-01-20 $22.32 $0.00 29.0% 8.3% 0.0% 0.0% 0.0% 14.6% -17.5% 4.8K -28.0K -170 0.00 134.98 N/A N/A 0 0 36 3 2021-01-21 $22.28 $0.00 36.1% 10.3% 0.0% 0.0% 0.0% 0.3% -18.7% 4.8K -26.6K -163 0.00 134.53 N/A N/A 0 0 36 3 2021-01-22 $22.37 $0.00 37.1% 10.6% 0.0% 0.0% 0.0% 1.3% -20.6% 5.6K -27.6K -161 0.00 134.21 N/A N/A 0 1 36 3 2021-01-25 $22.21 $0.00 16.6% 4.8% 0.0% 0.0% 21.5% 1.8% 4.3% 4.9K -24.9K -160 0.00 148.52 N/A N/A 0 18 36 3 2021-01-26 $22.21 $22.00 12.4% 3.6% 0.0% 0.0% 0.0% 6.6% 1.6% 1.2K -7.4K -195 0.00 149.04 N/A N/A 2 0 36 22 2021-01-27 $21.82 $22.00 18.1% 5.2% 12.2% 0.0% 34.2% 10.8% 2.3% 1.2K -4.5K -209 0.50 189.85 N/A N/A 2 1 38 21 2021-01-28 $21.94 $23.00 9.5% 2.7% 12.0% 0.0% 10.2% 31.2% 4.7% -1.3K 3.8K -181 0.05 138.73 N/A N/A 21 1 40 22 2021-01-29 $21.91 $0.00 9.3% 2.7% 11.7% 0.0% 9.3% 0.0% -3.9% 1.3K -17.4K -139 0.00 200.00 N/A N/A 33 0 26 3
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