PFFA Options History — October 2021

In October 2021, PFFA traded between $24.77 and $25.21. ATM implied volatility averaged 10.5%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.3% (HV 20d: 7.2%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2021-10-08: Highest Volume — 105 contracts
  • 2021-10-11: Largest IV spike — 150.5% change
  • 2021-10-12: Highest IV Rank — 21.7%
  • 2021-10-04: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.01$24.77$25.21$24.91$25.08
Max Pain$25.45$24.00$26.00$25.00$26.00
ATM IV10.5%5.9%24.8%8.8%9.2%
Expected Move3.1%1.7%5.6%2.5%2.6%
HV 20d7.2%4.4%9.2%8.7%4.4%
HV 60d6.4%6.3%6.6%6.5%6.3%
IV Rank6.1%1.1%21.7%4.2%4.7%
IV Percentile28.4%1.5%87.1%19.8%28.5%
Term Structure-1.5%-8.1%7.3%7.3%2.2%
VWIV16.9%7.2%24.5%18.0%24.5%
Skew 25d12.4%3.6%31.8%10.7%13.0%
Skew 10d13.3%-6.4%53.9%16.7%14.1%
Call IV 25d8.8%4.9%16.2%9.4%6.5%
Put IV 25d21.2%11.8%38.3%20.1%19.5%
Bid-Ask Spread %120.53111.93135.90130.13111.93
Gamma HHI0.830.630.960.730.90
Net GEX49.3K19.2K109.3K26.8K49.8K
Net DEX-148.1K-335.9K-30.9K-79.6K-145.2K
Net VEX-1.5K-1.7K-1.3K-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.002.822.502.42
Total Volume31.6190105065
Total OI529.762489617508513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$24.91$25.008.8%2.5%8.7%4.2%0.0%10.7%7.3%26.8K-79.6K-1.7K0.00130.13N/AN/A00276232
2021-10-04$24.85$0.007.8%5.6%8.7%3.2%0.0%9.3%-6.6%19.2K-70.3K-1.7K2.50135.90N/AN/A25276233
2021-10-05$24.77$26.0010.2%4.2%8.7%5.8%0.0%3.6%-3.9%22.1K-30.9K-1.6K0.00125.93N/AN/A00276234
2021-10-06$24.80$26.0010.9%4.3%8.8%6.5%0.0%6.2%-4.2%22.2K-33.0K-1.6K0.00126.63N/AN/A00276239
2021-10-07$24.91$26.0016.9%4.1%8.9%13.1%0.0%5.9%-2.5%25.5K-91.4K-1.7K0.00125.89N/AN/A00276239
2021-10-08$24.83$26.009.5%4.0%9.0%5.1%18.0%3.7%-3.6%22.6K-31.0K-1.6K0.00126.25N/AN/A1050276239
2021-10-11$24.90$26.0023.8%4.3%9.1%20.6%0.0%8.1%-6.0%43.3K-59.4K-1.5K0.00123.77N/AN/A10276239
2021-10-12$25.01$24.0024.8%4.5%9.0%21.7%0.0%6.2%-6.5%109.3K-217.6K-1.5K0.25124.27N/AN/A41376239
2021-10-13$25.12$24.0010.6%3.0%9.1%6.2%15.9%13.0%-0.8%65.7K-286.9K-1.7K0.00119.44N/AN/A01376239
2021-10-14$25.21$24.009.7%2.8%9.2%5.3%14.1%12.7%0.3%58.4K-335.9K-1.7K0.00119.44N/AN/A04376240
2021-10-15$25.18$25.0013.4%3.8%9.2%9.3%14.5%13.0%-8.1%60.2K-332.2K-1.6K2.13120.44N/AN/A817376241
2021-10-18$25.14$25.008.0%2.3%6.5%3.4%8.9%9.1%-1.3%23.9K-173.1K-1.5K0.00118.56N/AN/A010273216
2021-10-19$25.15$25.007.3%2.1%6.4%2.7%7.2%24.8%-2.0%78.5K-219.5K-1.4K0.00116.16N/AN/A10270230
2021-10-20$25.07$25.006.4%1.8%6.0%1.6%21.6%8.2%0.4%61.8K-160.6K-1.5K2.82115.95N/AN/A1748268240
2021-10-21$25.09$26.005.9%1.7%6.0%1.1%18.1%27.2%0.8%57.8K-161.9K-1.5K2.65115.63N/AN/A1745268242
2021-10-22$25.03$26.006.9%2.0%5.3%2.3%22.0%8.0%0.4%48.4K-134.5K-1.5K2.65116.44N/AN/A1745268243
2021-10-25$25.10$26.007.3%2.1%5.0%2.6%18.7%29.5%-0.4%68.0K-166.2K-1.4K2.65113.64N/AN/A1745268243
2021-10-26$25.07$26.006.9%2.0%4.5%2.2%21.1%31.8%1.2%51.7K-153.7K-1.4K2.65116.32N/AN/A1745268243
2021-10-27$25.03$26.007.4%2.1%4.4%2.8%20.1%4.9%0.2%49.9K-131.0K-1.4K2.65114.88N/AN/A1745268243
2021-10-28$25.01$26.007.7%2.2%4.4%3.1%12.4%11.2%1.1%69.1K-95.4K-1.3K2.82113.50N/AN/A1748268243
2021-10-29$25.08$26.009.2%2.6%4.4%4.7%24.5%13.0%2.2%49.8K-145.2K-1.4K2.42111.93N/AN/A1946268245