PFFA Options History — December 2021

In December 2021, PFFA traded between $24.40 and $25.08. ATM implied volatility averaged 11.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.2% (HV 20d: 7.2%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 4.17.

Notable Days

  • 2021-12-17: Highest Volume — 199 contracts
  • 2021-12-03: Largest IV spike — 107.2% change
  • 2021-12-03: Highest IV Rank — 17.0%
  • 2021-12-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.75$24.40$25.08$24.40$25.08
Max Pain$23.45$23.00$25.00$25.00$23.00
ATM IV11.4%7.1%19.7%18.0%7.1%
Expected Move3.0%2.0%5.7%5.2%2.0%
HV 20d7.2%5.8%8.1%6.4%5.8%
HV 60d6.3%5.8%7.1%6.7%5.8%
IV Rank8.0%3.3%17.0%15.1%3.3%
IV Percentile42.7%10.8%79.2%75.1%10.8%
Term Structure2.1%-7.6%8.9%-7.4%3.2%
VWIV19.7%4.6%31.3%17.7%4.6%
Skew 25d14.4%1.3%56.1%1.3%45.5%
Skew 10d29.5%-7.4%74.9%3.5%73.0%
Call IV 25d7.4%4.7%14.0%11.0%6.0%
Put IV 25d21.8%9.3%60.8%12.4%51.5%
Bid-Ask Spread %116.01109.10120.71110.98109.10
Gamma HHI0.700.480.990.570.92
Net GEX16.3K-42.7K90.7K24.5K-35.0K
Net DEX101.3K-42.5K231.8K119.9K105.9K
Net VEX-801-1.1K-496-1.1K-736
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.171.448.421.827.30
Total Volume108.6366119962166
Total OI436.545255561519322

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$24.40$25.0018.0%5.2%6.4%15.1%17.7%1.3%-7.4%24.5K119.9K-1.1K1.82110.98N/AN/A2240262257
2021-12-02$24.56$25.009.5%2.7%6.9%6.0%15.9%5.6%8.9%36.5K86.7K-1.0K1.82109.60N/AN/A2240263263
2021-12-03$24.48$25.0019.7%5.7%6.9%17.0%18.7%1.5%-7.6%23.9K98.1K-9791.86112.78N/AN/A2241263263
2021-12-06$24.67$24.0011.7%4.0%7.4%8.3%19.6%2.6%-6.2%41.5K54.7K-9381.77117.99N/AN/A2239263265
2021-12-07$24.76$24.0011.0%2.9%7.6%7.6%20.0%11.2%0.3%53.6K32.2K-8951.77120.71N/AN/A2239263265
2021-12-08$24.80$24.0010.9%2.9%7.7%7.5%20.5%15.7%0.7%54.6K12.1K-8351.77119.07N/AN/A2239263265
2021-12-09$24.77$24.0011.5%2.9%7.3%8.1%18.9%11.3%1.8%50.7K19.1K-8161.82118.80N/AN/A2240263265
2021-12-10$24.77$23.0010.1%2.7%7.3%6.6%19.2%9.5%3.3%77.5K-42.5K-8211.77120.00N/AN/A2239263266
2021-12-13$24.75$23.0018.1%2.8%7.3%15.2%19.5%3.0%3.6%57.0K28.6K-6931.44117.05N/AN/A2739263266
2021-12-14$24.69$23.0019.5%2.6%7.3%16.8%20.3%12.8%2.8%44.9K54.6K-6881.59118.92N/AN/A2743268266
2021-12-15$24.74$23.008.9%2.5%7.4%5.3%20.9%7.2%2.5%73.0K80.9K-6461.96118.70N/AN/A2753268262
2021-12-16$24.79$23.008.3%2.4%7.4%4.7%22.2%8.4%5.3%70.0K76.1K-5832.00118.09N/AN/A2754268293
2021-12-17$24.81$23.009.6%2.8%7.4%6.1%20.4%8.6%5.8%90.7K88.4K-4966.37117.25N/AN/A27172268291
2021-12-20$24.57$23.0010.8%3.1%8.1%7.4%18.2%10.9%7.8%-31.1K231.8K-9458.42114.93N/AN/A1210126229
2021-12-21$24.63$23.009.8%2.8%7.7%6.3%20.3%8.7%3.9%-30.1K220.3K-9588.42115.30N/AN/A1210126229
2021-12-22$24.75$23.009.3%2.7%7.9%5.7%20.5%8.8%2.6%-40.9K198.9K-8317.30115.07N/AN/A2014626229
2021-12-23$24.83$23.008.0%2.3%8.0%4.3%23.2%11.0%2.5%-41.9K167.0K-8006.95115.77N/AN/A2114637279
2021-12-27$24.81$23.0010.8%3.1%7.3%7.3%25.1%10.7%3.3%-42.5K170.8K-8106.95118.15N/AN/A2114639279
2021-12-28$24.83$23.009.7%2.8%7.2%6.1%7.2%11.2%2.7%-42.7K161.7K-7516.95112.73N/AN/A2114639279
2021-12-29$24.94$23.009.6%2.7%6.1%6.0%29.2%56.1%2.8%-34.7K143.3K-6435.84115.57N/AN/A2514639279
2021-12-30$25.00$23.009.3%2.7%6.1%5.8%31.3%55.4%2.9%-40.1K119.7K-6415.84115.70N/AN/A2514643279
2021-12-31$25.08$23.007.1%2.0%5.8%3.3%4.6%45.5%3.2%-35.0K105.9K-7367.30109.10N/AN/A2014643279