PFFA Options History — January 2022

In January 2022, PFFA traded between $24.20 and $25.10. ATM implied volatility averaged 13.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 7.3% (HV 20d: 6.0%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.68.

Notable Days

2022-01-12: Highest Volume — 195 contracts
2022-01-24: Largest IV spike — 76.5% change
2022-01-24: Highest IV Rank — 37.5%
2022-01-24: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.77	$24.20	$25.10	$25.10	$24.39
Max Pain	$24.70	$23.00	$25.00	$23.00	$25.00
ATM IV	13.4%	7.8%	21.5%	14.3%	14.6%
Expected Move	3.3%	1.4%	6.2%	4.1%	4.2%
HV 20d	6.0%	5.0%	7.2%	5.6%	7.2%
HV 60d	6.1%	5.8%	6.8%	5.8%	6.8%
IV Rank	16.3%	8.1%	37.5%	11.1%	22.8%
IV Percentile	55.3%	15.9%	89.3%	62.5%	68.3%
Term Structure	-0.2%	-8.6%	6.2%	-3.5%	-7.4%
VWIV	8.8%	2.6%	16.7%	11.2%	8.6%
Skew 25d	18.0%	-1.0%	55.2%	50.6%	1.4%
Skew 10d	25.3%	-8.5%	82.9%	79.8%	2.1%
Call IV 25d	8.6%	4.3%	14.8%	9.2%	8.7%
Put IV 25d	26.6%	9.6%	64.5%	59.8%	10.1%
Bid-Ask Spread %	112.43	83.66	131.79	115.25	115.74
Gamma HHI	0.64	0.40	1.00	0.99	0.56
Net GEX	-27.6K	-121.2K	-3.3K	-37.3K	-24.0K
Net DEX	144.2K	7.2K	274.9K	85.7K	238.5K
Net VEX	-899	-1.2K	-358	-688	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.68	3.40	8.11	8.11	6.09
Total Volume	182	156	195	164	156
Total OI	370.3	327	404	328	404

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$25.10	$23.00	14.3%	4.1%	5.6%	11.1%	11.2%	50.6%	-3.5%	-37.3K	85.7K	-688	8.11	115.25	N/A	N/A	18	146	49	279
2022-01-04	$25.03	$23.00	12.6%	3.6%	5.2%	9.3%	10.4%	55.2%	3.6%	-121.2K	7.2K	-358	5.62	108.31	N/A	N/A	26	146	48	279
2022-01-05	$24.89	$23.00	14.6%	4.2%	5.5%	11.5%	13.2%	1.6%	-4.3%	-27.6K	151.2K	-893	5.62	116.09	N/A	N/A	26	146	56	279
2022-01-06	$24.87	$25.00	13.9%	2.6%	5.5%	10.6%	9.0%	0.7%	0.0%	-38.8K	148.0K	-802	5.62	106.73	N/A	N/A	26	146	56	279
2022-01-07	$25.00	$25.00	19.0%	1.4%	5.8%	16.2%	5.2%	35.5%	3.3%	-20.9K	111.3K	-769	6.64	107.98	N/A	N/A	22	146	57	279
2022-01-10	$24.93	$25.00	15.8%	2.4%	5.9%	12.8%	3.9%	4.2%	5.3%	-30.5K	122.5K	-713	3.40	111.85	N/A	N/A	43	146	60	279
2022-01-11	$25.04	$25.00	14.8%	2.1%	6.0%	18.1%	3.3%	4.8%	2.7%	-48.0K	72.9K	-773	3.40	113.97	N/A	N/A	43	146	87	279
2022-01-12	$25.03	$25.00	8.1%	2.3%	5.9%	8.8%	3.0%	42.5%	5.3%	-16.3K	68.7K	-818	3.43	115.66	N/A	N/A	44	151	87	279
2022-01-13	$25.08	$25.00	8.2%	2.3%	5.9%	9.0%	2.6%	39.9%	6.2%	-13.4K	64.0K	-949	4.31	83.66	N/A	N/A	35	151	97	284
2022-01-14	$25.07	$25.00	7.8%	2.2%	5.9%	8.1%	4.1%	38.8%	4.5%	-3.3K	65.4K	-938	4.19	116.28	N/A	N/A	36	151	98	284
2022-01-18	$24.95	$25.00	8.8%	2.5%	6.2%	10.2%	7.2%	45.1%	2.2%	-5.9K	101.0K	-902	4.87	109.64	N/A	N/A	31	151	99	284
2022-01-19	$24.93	$25.00	9.3%	2.7%	5.0%	11.5%	4.4%	-0.3%	3.8%	-15.7K	106.0K	-862	5.03	114.11	N/A	N/A	30	151	99	284
2022-01-20	$24.76	$25.00	7.8%	2.2%	5.6%	8.2%	5.5%	-1.0%	4.0%	-25.3K	148.4K	-765	5.03	111.30	N/A	N/A	30	151	98	284
2022-01-21	$24.63	$25.00	12.2%	3.5%	5.7%	17.6%	12.2%	4.4%	3.8%	-28.9K	188.1K	-990	5.96	106.01	N/A	N/A	27	161	97	284
2022-01-24	$24.38	$25.00	21.5%	6.2%	6.5%	37.5%	15.2%	3.0%	-6.2%	-18.2K	234.5K	-1.1K	7.39	108.60	N/A	N/A	23	170	91	293
2022-01-25	$24.47	$25.00	16.6%	4.7%	6.7%	26.9%	15.7%	5.1%	-5.7%	-18.3K	204.7K	-1.2K	7.39	123.97	N/A	N/A	23	170	91	304
2022-01-26	$24.33	$25.00	20.3%	5.8%	6.9%	35.0%	16.7%	16.7%	-8.6%	-19.8K	231.1K	-1.2K	7.08	131.79	N/A	N/A	24	170	91	304
2022-01-27	$24.23	$25.00	12.5%	3.6%	6.7%	18.3%	11.6%	7.0%	-5.1%	-19.7K	259.7K	-1.1K	7.08	115.60	N/A	N/A	24	170	98	304
2022-01-28	$24.20	$25.00	14.5%	4.1%	6.6%	22.5%	13.8%	4.1%	-6.9%	-18.9K	274.9K	-1.0K	7.36	116.15	N/A	N/A	22	162	98	304
2022-01-31	$24.39	$25.00	14.6%	4.2%	7.2%	22.8%	8.6%	1.4%	-7.4%	-24.0K	238.5K	-1.1K	6.09	115.74	N/A	N/A	22	134	98	306