PFFA Options History — March 2021

In March 2021, PFFA traded between $22.41 and $24.11. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 8.7% (HV 20d: 7.6%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-03-19: Highest Volume — 26 contracts
  • 2021-03-10: Largest IV spike — 193.1% change
  • 2021-03-12: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$22.41$24.11$22.41$24.11
Max Pain$23.32$22.00$24.00$22.00$24.00
ATM IV16.4%7.0%31.2%12.3%8.3%
Expected Move5.1%2.0%8.9%3.5%2.4%
HV 20d7.6%6.6%8.8%7.8%7.9%
HV 60d9.2%9.0%9.4%9.1%9.1%
Term Structure3.8%-27.6%36.7%18.0%0.8%
VWIV18.0%7.4%37.0%12.6%7.4%
Skew 25d10.0%-8.8%76.1%5.3%76.1%
Skew 10d16.7%-28.7%135.8%80.7%135.8%
Call IV 25d15.7%5.0%30.8%8.3%11.2%
Put IV 25d25.8%11.9%92.2%13.7%87.3%
Bid-Ask Spread %136.48128.50163.89131.19130.44
Gamma HHI0.690.420.970.970.44
Net GEX11.5K-83722.0K10.8K10.0K
Net DEX-125.4K-181.9K-7.2K-92.9K-158.9K
Net VEX-451-584-36-498-423
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.330.000.10
Total Volume7026111
Total OI147.39129198147123

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$22.41$22.0012.3%3.5%7.8%0.0%12.6%5.3%18.0%10.8K-92.9K-4980.00131.19N/AN/A0111730
2021-03-02$22.48$22.0014.6%4.2%7.5%0.0%15.5%8.4%16.8%11.6K-96.7K-4900.00131.92N/AN/A01911730
2021-03-03$22.57$22.0023.9%6.9%7.2%0.0%0.0%-8.8%22.8%10.0K-90.3K-5380.00131.22N/AN/A0011749
2021-03-04$22.56$0.0024.4%8.7%7.1%0.0%0.0%13.6%-15.5%5.4K-98.5K-5420.00137.06N/AN/A6011949
2021-03-05$22.66$0.0028.4%8.6%7.0%0.0%0.0%-2.8%-15.5%9.1K-109.4K-5700.00137.24N/AN/A1012549
2021-03-08$22.84$0.007.5%4.0%7.0%0.0%0.0%0.0%4.2%13.8K-80.9K-3710.00150.22N/AN/A1908149
2021-03-09$22.95$0.0010.2%8.9%7.1%0.0%32.6%-1.8%-9.8%16.4K-163.1K-4810.38136.68N/AN/A16613949
2021-03-10$22.99$23.0030.0%8.6%6.8%0.0%37.0%0.2%-17.9%20.9K-179.3K-5740.09136.43N/AN/A11114355
2021-03-11$23.08$23.0030.8%8.8%6.9%0.0%0.0%3.4%-20.6%21.1K-181.9K-5490.00137.36N/AN/A0013856
2021-03-12$23.11$23.0031.2%8.9%6.6%0.0%0.0%13.8%-21.1%22.0K-180.4K-5390.00135.04N/AN/A0113556
2021-03-15$23.32$23.0023.5%6.7%7.1%0.0%0.0%4.1%-22.3%7.1K-158.9K-5840.00131.03N/AN/A2013556
2021-03-16$23.56$22.0012.6%3.6%7.6%0.0%0.0%0.0%-3.6%-837-23.6K-360.00149.21N/AN/A901449
2021-03-17$23.53$23.0011.0%3.2%7.7%0.0%10.7%0.2%15.2%10.8K-161.6K-4971.33128.50N/AN/A6813756
2021-03-18$23.31$24.0019.8%5.7%8.7%0.0%13.7%0.5%9.5%11.3K-141.9K-5450.00128.85N/AN/A1013163
2021-03-19$23.47$24.0012.2%3.5%8.8%0.0%16.9%0.3%25.7%11.8K-172.1K-5230.13129.98N/AN/A23313263
2021-03-22$23.39$24.0011.1%3.2%8.7%0.0%15.8%9.0%36.7%9.6K-113.5K-4260.13150.83N/AN/A819413
2021-03-23$23.41$24.0024.2%6.9%8.6%0.0%0.0%3.4%-27.6%13.3K-118.6K-4190.00132.12N/AN/A0110214
2021-03-24$23.52$24.008.4%2.4%8.6%0.0%0.0%3.3%18.4%12.5K-125.8K-4340.00131.82N/AN/A0110215
2021-03-25$23.55$24.008.2%2.3%7.1%0.0%0.0%1.4%17.9%13.5K-127.8K-4180.00131.39N/AN/A0010216
2021-03-26$23.85$24.007.0%2.0%7.9%0.0%0.0%5.6%17.2%9.9K-145.4K-4310.00133.19N/AN/A0010216
2021-03-29$23.97$24.008.6%2.5%7.9%0.0%7.4%0.0%22.6%1.1K-7.2K-731.00163.89N/AN/A331415
2021-03-30$24.05$24.008.2%2.3%7.9%0.0%0.0%65.7%15.1%12.6K-156.2K-4180.00133.41N/AN/A0010419
2021-03-31$24.11$24.008.3%2.4%7.9%0.0%0.0%76.1%0.8%10.0K-158.9K-4230.10130.44N/AN/A10110419