PFFA Options History — July 2021

In July 2021, PFFA traded between $25.01 and $25.39. ATM implied volatility averaged 12.1%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 7.9% (HV 20d: 4.2%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 8.05.

Notable Days

  • 2021-07-19: Highest Volume — 713 contracts
  • 2021-07-07: Largest IV spike — 80.2% change
  • 2021-07-13: Highest IV Rank — 27.3%
  • 2021-07-07: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.20$25.01$25.39$25.19$25.11
Max Pain$24.89$24.00$25.00$24.00$25.00
ATM IV12.1%6.3%30.9%14.0%6.8%
Expected Move2.8%1.8%4.2%4.0%1.9%
HV 20d4.2%2.9%5.3%2.9%4.9%
HV 60d6.3%6.0%6.4%6.3%6.4%
IV Rank6.5%0.2%27.3%12.7%0.7%
IV Percentile24.7%0.7%87.7%59.5%2.1%
Term Structure3.3%-7.3%12.4%-5.7%5.4%
VWIV12.5%4.9%25.4%25.4%4.9%
Skew 25d9.8%-1.2%42.9%9.4%2.6%
Skew 10d15.6%1.4%80.2%7.8%9.1%
Call IV 25d8.8%4.5%15.4%9.1%9.2%
Put IV 25d18.6%8.0%49.7%18.5%11.8%
Bid-Ask Spread %117.07109.56123.16120.34112.83
Gamma HHI0.770.330.990.330.97
Net GEX-118.8K-417.7K71.2K3.3K-382.5K
Net DEX76.2K-451.8K538.7K-85.9K421.4K
Net VEX-1.9K-3.4K-133-133-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.050.0058.421.000.00
Total Volume49.8570713372
Total OI619.81891,163891,163

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$25.19$24.0014.0%4.0%2.9%0.0%0.0%9.4%-5.7%3.3K-85.9K-1330.00120.34N/AN/A0375138
2021-07-02$25.23$24.0014.4%4.1%2.9%0.0%0.0%9.9%-7.3%3.3K-79.4K-1490.00119.84N/AN/A004875
2021-07-06$25.30$0.009.8%3.2%2.9%0.0%0.0%5.0%-2.1%3.6K-74.7K-2180.00117.45N/AN/A004775
2021-07-07$25.35$0.0017.6%4.2%2.9%12.7%25.4%8.6%8.9%12.4K-269.3K-1.6K1.00122.17N/AN/A4420375
2021-07-08$25.30$25.0018.9%4.2%3.1%14.0%24.4%13.6%8.7%11.7K-263.3K-1.6K0.00122.42N/AN/A01520579
2021-07-09$25.38$25.0019.9%3.7%3.2%15.1%12.6%10.4%-3.5%23.5K-265.1K-1.3K0.00113.12N/AN/A0220594
2021-07-12$25.39$25.0026.2%4.2%3.2%22.1%0.0%5.2%-3.2%-3.8K-451.8K-1621.00116.76N/AN/A1120496
2021-07-13$25.28$25.0030.9%2.5%3.7%27.3%0.0%27.7%5.1%71.2K-285.6K-9010.00111.06N/AN/A0020597
2021-07-14$25.29$25.009.3%2.7%3.7%3.5%14.3%2.4%-0.5%29.8K-239.5K-1.2K0.00115.23N/AN/A0520598
2021-07-15$25.28$25.008.6%2.5%3.7%2.7%0.0%5.5%-1.1%5.1K-233.3K-1.7K0.00123.03N/AN/A00205103
2021-07-16$25.28$25.009.2%2.6%3.7%3.3%0.0%4.3%-0.5%43.6K-239.9K-1.1K0.03115.38N/AN/A802205103
2021-07-19$25.01$25.008.9%2.6%5.3%3.1%9.5%11.2%10.1%16.2K-316.3K-1.7K58.42119.35N/AN/A12701238100
2021-07-20$25.08$25.008.0%2.3%5.3%2.1%0.0%12.1%9.1%-198.8K535.8K-3.3K0.00122.43N/AN/A051235801
2021-07-21$25.09$25.007.3%2.1%5.3%1.3%8.5%10.6%9.7%-244.1K507.6K-3.3K0.00123.16N/AN/A01235843
2021-07-22$25.07$25.009.1%2.6%5.3%3.2%9.0%1.4%4.0%-228.4K475.4K-3.2K3.00109.56N/AN/A1030235844
2021-07-23$25.11$25.006.7%1.9%5.3%0.6%0.0%7.1%5.2%-305.2K456.5K-3.3K0.00115.90N/AN/A05245848
2021-07-26$25.12$25.008.4%2.4%5.3%2.5%8.4%42.9%4.1%-279.8K465.7K-3.1K8.29110.99N/AN/A758245848
2021-07-27$25.06$25.006.9%2.0%5.3%0.9%0.0%7.8%6.5%-325.8K526.8K-2.9K0.00114.06N/AN/A00245853
2021-07-28$25.07$25.007.7%2.2%5.3%1.8%7.8%-1.2%4.8%-333.0K538.7K-3.4K0.60113.35N/AN/A53252909
2021-07-29$25.11$25.006.3%1.8%5.1%0.2%4.9%10.2%12.4%-417.7K475.7K-3.4K0.10120.05N/AN/A101252909
2021-07-30$25.11$25.006.8%1.9%4.9%0.7%0.0%2.6%5.4%-382.5K421.4K-3.3K0.00112.83N/AN/A20252911