PFFA Options History — May 2021

Name: PFFA Options Analytics - May 2021
Creator: Options Analysis Suite

In May 2021, PFFA traded between $23.94 and $24.59. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.9% (HV 20d: 7.7%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2021-05-17: Highest Volume — 14 contracts
2021-05-27: Largest IV spike — 71.5% change
2021-05-11: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.35	$23.94	$24.59	$24.38	$24.43
Max Pain	$22.70	$22.00	$25.00	$25.00	$23.00
ATM IV	15.7%	8.6%	23.9%	23.3%	10.7%
Expected Move	4.8%	2.5%	12.3%	6.7%	3.1%
HV 20d	7.7%	4.3%	9.7%	4.3%	9.3%
HV 60d	8.0%	7.1%	8.7%	7.3%	8.2%
Term Structure	0.2%	-12.0%	10.3%	-10.8%	4.9%
VWIV	12.0%	7.5%	16.9%	12.5%	16.9%
Skew 25d	5.4%	-3.6%	21.4%	2.9%	4.0%
Skew 10d	1.7%	-4.3%	9.9%	2.9%	-1.1%
Call IV 25d	10.2%	6.7%	15.8%	10.7%	6.7%
Put IV 25d	15.6%	8.8%	31.7%	13.6%	10.6%
Bid-Ask Spread %	120.17	113.92	127.56	124.28	120.66
Gamma HHI	0.39	0.31	0.48	0.44	0.39
Net GEX	8.0K	2.1K	15.0K	7.8K	4.0K
Net DEX	-154.8K	-218.6K	-48.0K	-191.7K	-50.9K
Net VEX	-236	-322	-172	-304	-230
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.25	0.00	0.00
Total Volume	3.25	0	14	3	0
Total OI	112.1	51	144	130	76

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
2021-05-03	$24.38	$25.00	23.3%	6.7%	4.3%	0.0%	12.5%	2.9%	-10.8%	7.8K	-191.7K	-304	0.00	124.28	N/A	N/A	0	3	108	22
2021-05-04	$24.40	$25.00	22.3%	6.4%	4.3%	0.0%	0.0%	1.0%	-11.1%	6.2K	-200.6K	-244	0.00	126.24	N/A	N/A	0	0	108	19
2021-05-05	$24.42	$25.00	23.0%	6.6%	4.3%	0.0%	0.0%	1.2%	-11.9%	6.5K	-201.0K	-243	0.00	126.42	N/A	N/A	0	0	108	19
2021-05-06	$24.40	$22.00	14.7%	7.0%	4.3%	0.0%	0.0%	12.8%	-5.4%	6.3K	-200.4K	-238	0.00	123.89	N/A	N/A	5	0	108	19
2021-05-07	$24.59	$22.00	21.9%	4.7%	5.2%	0.0%	0.0%	18.5%	10.3%	5.1K	-213.8K	-174	0.25	124.08	N/A	N/A	4	1	108	19
2021-05-10	$24.57	$22.00	23.9%	4.9%	5.2%	0.0%	0.0%	18.3%	8.9%	6.0K	-217.3K	-210	0.00	124.27	N/A	N/A	4	0	112	18
2021-05-11	$24.36	$22.00	15.9%	12.3%	6.0%	0.0%	0.0%	21.4%	-12.0%	10.9K	-202.6K	-298	0.00	127.56	N/A	N/A	0	0	116	18
2021-05-12	$23.94	$22.00	18.4%	5.3%	8.5%	0.0%	0.0%	-0.3%	-5.3%	15.0K	-169.4K	-322	0.00	114.41	N/A	N/A	10	0	116	18
2021-05-13	$24.23	$22.00	18.1%	5.2%	9.7%	0.0%	0.0%	6.3%	-4.0%	14.6K	-205.4K	-309	0.00	116.00	N/A	N/A	6	0	124	18
2021-05-14	$24.30	$22.00	18.8%	5.4%	9.7%	0.0%	11.0%	4.7%	-4.2%	13.3K	-218.6K	-254	0.00	118.70	N/A	N/A	2	0	124	18
2021-05-17	$24.31	$22.00	9.4%	2.7%	9.7%	0.0%	7.5%	0.4%	5.2%	12.2K	-217.6K	-250	0.00	114.94	N/A	N/A	14	0	126	18
2021-05-18	$24.32	$22.00	8.6%	2.5%	9.1%	0.0%	0.0%	0.1%	5.4%	10.2K	-191.0K	-236	0.00	115.62	N/A	N/A	0	0	111	18
2021-05-19	$24.30	$22.00	8.8%	2.5%	9.1%	0.0%	0.0%	-1.4%	6.0%	10.6K	-187.0K	-236	0.00	113.92	N/A	N/A	0	5	111	18
2021-05-20	$24.19	$22.00	10.8%	3.1%	9.2%	0.0%	0.0%	-3.6%	2.2%	6.6K	-93.9K	-239	0.00	119.02	N/A	N/A	0	1	73	23
2021-05-21	$24.30	$22.00	9.1%	2.6%	9.3%	0.0%	0.0%	-1.8%	4.7%	6.0K	-114.6K	-182	0.00	119.86	N/A	N/A	0	0	73	23
2021-05-24	$24.36	$23.00	15.5%	4.5%	9.4%	0.0%	0.0%	6.4%	6.6%	2.1K	-48.0K	-183	0.00	121.10	N/A	N/A	0	1	34	17
2021-05-25	$24.40	$23.00	16.3%	4.7%	9.4%	0.0%	0.0%	10.8%	5.7%	5.1K	-58.2K	-208	0.00	117.68	N/A	N/A	0	0	49	18
2021-05-26	$24.35	$23.00	8.8%	2.5%	9.3%	0.0%	0.0%	1.6%	6.8%	5.3K	-58.2K	-172	0.00	119.77	N/A	N/A	0	0	49	18
2021-05-27	$24.38	$23.00	15.1%	4.3%	9.4%	0.0%	16.9%	4.7%	2.8%	5.6K	-55.5K	-194	0.00	115.04	N/A	N/A	0	9	49	18
2021-05-28	$24.43	$23.00	10.7%	3.1%	9.3%	0.0%	0.0%	4.0%	4.9%	4.0K	-50.9K	-230	0.00	120.66	N/A	N/A	0	0	49	27