PFFA Options History — September 2021

In September 2021, PFFA traded between $24.71 and $25.37. ATM implied volatility averaged 11.4%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 5.0% (HV 20d: 6.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2021-09-14: Highest Volume — 31 contracts
  • 2021-09-30: Largest IV spike — 104.3% change
  • 2021-09-07: Highest IV Rank — 12.5%
  • 2021-09-08: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.06$24.71$25.37$25.30$24.85
Max Pain$24.14$23.00$25.00$25.00$25.00
ATM IV11.4%4.9%16.8%13.3%9.9%
Expected Move3.3%1.4%4.6%3.8%2.8%
HV 20d6.4%4.5%9.1%5.3%8.7%
HV 60d5.3%4.5%6.5%4.5%6.5%
IV Rank6.7%0.0%12.5%8.7%5.5%
IV Percentile35.8%0.0%66.3%48.2%31.2%
Term Structure-0.2%-9.1%11.5%-6.5%7.4%
VWIV12.4%7.6%30.4%9.0%10.6%
Skew 25d9.8%-3.6%62.0%-2.6%62.0%
Skew 10d19.2%2.9%83.7%2.9%83.7%
Call IV 25d11.9%6.4%17.6%10.3%9.3%
Put IV 25d21.7%7.7%71.3%7.7%71.3%
Bid-Ask Spread %124.37107.93136.25107.93127.54
Gamma HHI0.710.270.930.810.72
Net GEX37.6K-12.0K84.0K55.3K23.9K
Net DEX-172.2K-563.2K-9.0K-257.7K-52.8K
Net VEX-1.6K-2.0K-412-1.7K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0014.500.002.00
Total Volume4.42903101
Total OI537.524497593554508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$25.30$25.0013.3%3.8%5.3%8.7%0.0%-2.6%-6.5%55.3K-257.7K-1.7K0.00107.93N/AN/A00283271
2021-09-02$25.37$23.0013.4%4.3%5.2%8.8%0.0%-2.0%-7.6%84.0K-331.6K-1.5K0.00126.68N/AN/A00283271
2021-09-03$25.37$23.0014.5%4.4%5.1%10.0%0.0%-2.3%-9.0%29.1K-249.0K-1.9K0.00126.95N/AN/A00283271
2021-09-07$25.30$23.0016.8%4.5%4.8%12.5%0.0%-2.9%-6.0%78.7K-293.6K-1.4K0.00125.82N/AN/A100283271
2021-09-08$25.23$23.0016.0%4.6%4.7%11.6%0.0%-3.6%-6.6%62.2K-246.2K-1.6K0.00126.97N/AN/A00283271
2021-09-09$25.26$23.0015.8%4.5%4.7%11.4%0.0%-3.2%-9.1%26.5K-231.4K-1.9K0.00125.85N/AN/A00293271
2021-09-10$25.23$23.0015.6%4.5%4.6%11.3%0.0%-3.5%-6.1%64.3K-252.6K-1.6K0.00126.81N/AN/A02293271
2021-09-13$25.19$23.0016.0%4.6%4.5%11.6%0.0%0.1%-7.5%-12.0K-563.2K-4120.00126.44N/AN/A00293271
2021-09-14$25.05$23.009.3%2.7%4.8%4.3%9.0%26.6%-1.6%50.9K-165.9K-1.6K14.50120.12N/AN/A229293273
2021-09-15$25.10$23.008.6%2.5%4.9%3.5%30.4%22.7%-1.9%83.9K-198.9K-1.5K0.00120.32N/AN/A40293273
2021-09-16$25.15$25.008.8%2.5%4.9%3.8%0.0%0.7%5.4%4.8K-168.2K-2.0K0.00122.95N/AN/A180294297
2021-09-17$25.15$25.007.8%2.2%4.7%2.7%8.3%23.1%4.3%3.6K-194.2K-1.9K0.00123.31N/AN/A02296297
2021-09-20$24.71$25.0014.8%4.2%7.7%10.3%0.0%3.9%-3.0%17.3K-36.2K-1.9K0.00123.31N/AN/A00272225
2021-09-21$24.81$25.008.4%2.4%7.9%3.3%0.0%9.2%11.3%27.7K-34.5K-1.7K0.00136.25N/AN/A20272226
2021-09-22$24.99$25.007.7%2.2%8.4%2.6%7.6%38.0%4.4%45.8K-84.5K-1.7K0.00120.72N/AN/A10272226
2021-09-23$24.96$25.006.8%2.0%8.3%1.6%0.0%8.8%4.6%33.5K-81.1K-1.7K0.00121.04N/AN/A01272226
2021-09-24$24.77$25.0012.3%3.5%8.6%7.6%0.0%9.4%0.1%23.7K-9.0K-1.6K0.14121.07N/AN/A71273226
2021-09-27$24.91$25.008.9%2.6%8.7%3.9%8.7%3.7%7.2%35.3K-61.2K-1.7K2.00128.24N/AN/A48273226
2021-09-28$24.76$25.0010.5%3.0%8.9%5.7%0.0%10.6%5.4%26.8K-34.9K-1.7K0.00126.51N/AN/A01280226
2021-09-29$24.86$25.004.9%1.4%9.1%0.0%0.0%6.8%11.5%23.9K-69.9K-1.7K0.00126.97N/AN/A00276231
2021-09-30$24.85$25.009.9%2.8%8.7%5.5%10.6%62.0%7.4%23.9K-52.8K-1.7K0.00127.54N/AN/A01276232