PFFA Options History — August 2021

In August 2021, PFFA traded between $25.06 and $25.42. ATM implied volatility averaged 8.8%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 4.0% (HV 20d: 4.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2021-08-11: Highest Volume — 50 contracts
  • 2021-08-25: Largest IV spike — 90.5% change
  • 2021-08-17: Highest IV Rank — 7.8%
  • 2021-08-17: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.23$25.06$25.42$25.21$25.15
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV8.8%5.3%13.2%8.8%5.6%
Expected Move2.6%1.5%3.8%2.5%1.6%
HV 20d4.8%3.9%5.6%5.1%4.8%
HV 60d4.7%4.2%6.4%6.4%4.4%
IV Rank3.1%0.0%7.8%3.0%0.3%
IV Percentile17.6%0.0%44.5%16.0%0.6%
Term Structure2.2%-9.0%15.5%3.7%7.6%
VWIV18.0%4.4%63.6%8.8%63.6%
Skew 25d5.6%-1.5%34.7%34.7%-0.1%
Skew 10d14.0%0.3%88.5%88.5%2.5%
Call IV 25d7.0%4.0%19.3%7.3%6.6%
Put IV 25d12.6%6.5%41.9%41.9%6.5%
Bid-Ask Spread %108.47101.83118.64112.17110.36
Gamma HHI0.900.700.990.970.79
Net GEX-239.0K-811.5K50.3K-339.5K42.4K
Net DEX87.1K-213.1K497.0K370.7K-206.6K
Net VEX-2.3K-3.2K-1.3K-3.2K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.003.000.390.00
Total Volume6.545050390
Total OI999.6825331,2691,172554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$25.21$25.008.8%2.5%5.1%3.0%8.8%34.7%3.7%-339.5K370.7K-3.2K0.39112.17N/AN/A2811260912
2021-08-03$25.27$25.008.1%2.3%5.1%2.1%0.0%4.6%4.7%-358.8K239.5K-2.9K0.00113.65N/AN/A00260912
2021-08-04$25.26$25.008.3%2.4%5.0%2.4%0.0%9.1%4.6%-339.5K265.2K-2.9K0.00112.42N/AN/A00258912
2021-08-05$25.34$25.009.0%2.4%5.1%3.2%0.0%4.8%5.8%-557.7K-14.3K-2.3K0.00107.09N/AN/A00258912
2021-08-06$25.42$25.0010.1%3.6%5.1%4.4%4.4%5.6%-8.8%-236.5K115.6K-3.1K0.00111.14N/AN/A140258912
2021-08-09$25.28$25.009.3%2.0%5.5%3.5%0.0%7.3%3.2%-249.0K152.5K-2.4K0.00109.72N/AN/A03258912
2021-08-10$25.19$25.008.9%3.2%5.4%3.1%0.0%2.5%-2.9%-415.3K289.0K-2.6K0.00106.89N/AN/A00272922
2021-08-11$25.22$25.009.2%2.6%5.4%3.4%0.0%7.5%1.6%-397.8K282.7K-2.5K0.00106.32N/AN/A050272922
2021-08-12$25.29$25.0011.9%3.4%5.5%6.4%11.0%6.8%-3.5%-393.3K143.3K-2.2K3.00101.83N/AN/A13272922
2021-08-13$25.37$25.0012.5%3.6%5.6%7.0%0.0%6.3%-9.0%-241.2K-116.6K-1.3K0.00106.77N/AN/A00272972
2021-08-16$25.38$25.0012.1%3.5%3.9%6.6%0.0%5.9%-4.2%-231.0K163.9K-2.4K0.00105.16N/AN/A00273995
2021-08-17$25.31$25.0013.2%3.8%4.0%7.8%10.4%5.7%-9.0%-256.1K230.6K-2.4K0.00106.48N/AN/A01273970
2021-08-18$25.27$25.0012.0%3.5%4.0%6.5%10.1%4.2%-4.3%-288.3K259.9K-2.3K0.00106.50N/AN/A01273970
2021-08-19$25.16$25.007.1%2.0%4.4%1.1%0.0%4.7%10.1%-427.8K397.0K-2.2K0.00102.70N/AN/A01273996
2021-08-20$25.07$25.006.1%1.8%4.5%0.0%0.0%2.8%9.2%-811.5K497.0K-1.9K0.41109.33N/AN/A177273996
2021-08-23$25.12$25.006.1%1.8%4.6%0.0%0.0%1.9%7.7%30.8K-168.3K-1.8K0.00106.03N/AN/A00264269
2021-08-24$25.13$25.006.3%1.8%4.5%0.2%0.0%2.1%15.5%39.7K-190.5K-2.0K1.00118.64N/AN/A22281269
2021-08-25$25.18$25.0012.0%3.4%4.5%6.4%63.6%-1.5%-4.3%40.7K-213.1K-1.9K0.00111.29N/AN/A20281269
2021-08-26$25.06$25.005.3%1.5%4.8%0.0%0.0%0.8%7.5%37.0K-169.8K-1.9K0.00107.15N/AN/A00283271
2021-08-27$25.15$25.006.2%1.8%5.0%0.9%0.0%1.2%7.7%43.7K-208.6K-1.8K0.00107.55N/AN/A10284271
2021-08-30$25.19$25.005.9%1.7%4.8%0.6%0.0%5.2%6.0%50.3K-201.9K-1.9K0.00107.12N/AN/A00284271
2021-08-31$25.15$25.005.6%1.6%4.8%0.3%0.0%-0.1%7.6%42.4K-206.6K-1.8K0.00110.36N/AN/A00283271