PFFA Options History — November 2021

In November 2021, PFFA traded between $24.39 and $25.27. ATM implied volatility averaged 8.5%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 4.3% (HV 20d: 4.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.62.

Notable Days

  • 2021-11-19: Highest Volume — 97 contracts
  • 2021-11-30: Largest IV spike — 155.9% change
  • 2021-11-30: Highest IV Rank — 15.3%
  • 2021-11-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$24.39$25.27$25.13$24.39
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV8.5%4.0%18.2%8.3%18.2%
Expected Move2.5%1.1%5.2%2.4%5.2%
HV 20d4.2%3.5%6.3%4.3%6.3%
HV 60d6.3%6.1%6.7%6.3%6.7%
IV Rank4.8%0.0%15.3%3.8%15.3%
IV Percentile23.1%0.0%76.3%18.8%76.3%
Term Structure2.4%-7.2%11.9%-0.0%-7.2%
VWIV12.3%6.8%26.3%26.3%16.1%
Skew 25d7.8%-1.1%33.8%10.7%1.3%
Skew 10d13.8%-4.1%61.2%17.1%3.3%
Call IV 25d8.6%5.7%15.7%6.6%11.8%
Put IV 25d16.4%6.9%42.6%17.3%13.1%
Bid-Ask Spread %109.12103.48117.01116.68111.35
Gamma HHI0.770.280.960.960.51
Net GEX46.9K-1.2K105.3K85.5K18.5K
Net DEX-127.0K-270.7K122.1K-182.5K122.1K
Net VEX-1.3K-1.4K-996-1.3K-996
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.621.973.592.562.44
Total Volume76.09562976486
Total OI525.238515553515520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$25.13$26.008.3%2.4%4.3%3.8%26.3%10.7%-0.0%85.5K-182.5K-1.3K2.56116.68N/AN/A1846270245
2021-11-02$25.11$26.008.1%2.3%4.1%3.5%10.3%33.8%-1.0%46.0K-148.9K-1.3K2.50114.79N/AN/A1845271245
2021-11-03$25.13$26.004.0%1.1%4.1%0.0%26.2%3.2%2.4%60.9K-208.6K-1.3K2.44112.44N/AN/A1844271244
2021-11-04$25.18$25.005.9%1.8%3.9%2.1%6.9%14.3%3.3%105.3K-240.5K-1.2K2.44106.67N/AN/A1844271244
2021-11-05$25.27$25.004.9%2.0%3.8%1.0%6.8%17.3%1.5%46.8K-255.3K-1.3K2.44106.84N/AN/A1844271244
2021-11-08$25.25$25.005.7%2.2%3.7%1.9%7.9%3.3%-0.4%63.6K-270.7K-1.1K2.63104.39N/AN/A1950271244
2021-11-09$25.26$25.009.3%2.8%3.5%5.7%7.3%18.0%1.1%51.2K-244.9K-1.3K2.17106.86N/AN/A2350271249
2021-11-10$25.09$25.0011.4%3.3%4.0%8.0%11.2%-0.7%-0.6%33.4K-186.7K-1.4K2.17106.62N/AN/A2350275249
2021-11-11$25.08$25.009.0%2.6%3.8%5.4%8.4%2.2%-1.3%38.6K-205.7K-1.3K1.97104.68N/AN/A3161275249
2021-11-12$25.09$25.009.3%2.7%3.8%5.7%8.8%22.1%0.9%52.7K-159.9K-1.4K2.00107.80N/AN/A2652280261
2021-11-15$25.03$25.0010.6%3.0%3.8%7.2%9.2%2.0%-0.2%35.1K-150.8K-1.4K2.32105.63N/AN/A2251280262
2021-11-16$25.04$25.006.9%2.0%3.8%3.1%8.1%-1.1%0.6%57.4K-148.7K-1.3K2.43103.48N/AN/A2151281263
2021-11-17$25.02$25.007.4%2.1%3.7%3.8%8.4%1.5%0.6%52.9K-144.4K-1.3K2.43105.37N/AN/A2151281264
2021-11-18$24.95$25.007.1%2.0%3.8%3.3%8.2%0.9%5.6%63.2K-129.5K-1.3K3.09105.44N/AN/A2371281264
2021-11-19$24.97$25.008.4%2.4%3.7%4.8%9.3%27.6%4.0%41.0K-44.7K-1.2K3.41110.36N/AN/A2275269284
2021-11-22$24.77$25.007.5%2.1%4.5%3.8%14.3%3.1%11.9%42.0K11.8K-1.2K3.59114.19N/AN/A1761259257
2021-11-23$24.76$25.008.1%2.3%4.5%4.5%14.9%3.3%6.8%48.0K13.7K-1.2K3.59111.69N/AN/A1761259257
2021-11-24$24.79$25.0010.0%2.9%4.5%6.5%12.1%1.4%7.6%41.2K-39.4K-1.2K2.77117.01N/AN/A2261259257
2021-11-26$24.57$25.0012.0%3.5%5.4%8.7%17.5%-0.2%4.7%-1.2K-21.2K-1.3K2.82114.74N/AN/A2262259257
2021-11-29$24.65$25.007.1%2.0%5.5%3.4%20.8%0.1%10.6%3.4K-31.5K-1.3K2.77104.46N/AN/A2261259258
2021-11-30$24.39$25.0018.2%5.2%6.3%15.3%16.1%1.3%-7.2%18.5K122.1K-9962.44111.35N/AN/A2561262258