PFFA Options History — February 2022

In February 2022, PFFA traded between $22.86 and $24.45. ATM implied volatility averaged 12.9%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.1% (HV 20d: 9.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.70.

Notable Days

2022-02-07: Highest Volume — 162 contracts
2022-02-08: Largest IV spike — 158.0% change
2022-02-08: Highest IV Rank — 45.4%
2022-02-02: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.62	$22.86	$24.45	$24.45	$23.67
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	12.9%	7.3%	25.2%	14.2%	11.9%
Expected Move	3.4%	2.5%	4.7%	4.1%	3.4%
HV 20d	9.8%	7.3%	14.4%	7.3%	14.4%
HV 60d	8.1%	6.8%	9.8%	6.8%	9.8%
IV Rank	19.2%	7.1%	45.4%	22.0%	17.1%
IV Percentile	55.8%	11.9%	94.8%	64.7%	55.6%
Term Structure	-0.2%	-8.6%	4.4%	-8.6%	-1.2%
VWIV	12.9%	7.0%	22.4%	8.7%	13.7%
Skew 25d	6.7%	-4.1%	29.4%	1.1%	8.5%
Skew 10d	21.6%	-6.8%	59.9%	-0.8%	36.8%
Call IV 25d	10.7%	7.6%	18.2%	8.1%	10.5%
Put IV 25d	17.5%	7.5%	37.0%	9.2%	19.0%
Bid-Ask Spread %	108.32	85.81	119.99	112.88	106.15
Gamma HHI	0.51	0.35	0.68	0.54	0.43
Net GEX	-21.5K	-33.3K	-11.3K	-24.6K	-33.3K
Net DEX	397.2K	234.4K	531.4K	234.4K	426.3K
Net VEX	-748	-1.2K	-361	-1.1K	-814
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.70	1.15	6.27	5.83	5.39
Total Volume	109.316	52	162	157	147
Total OI	431.053	402	479	402	475

Daily Data (19 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
2022-02-01	$24.45	$25.00	14.2%	4.1%	7.3%	22.0%	8.7%	1.1%	-8.6%	-24.6K	234.4K	-1.1K	5.83	112.88	N/A	N/A	23	134	98	304
2022-02-02	$24.25	$25.00	16.5%	4.7%	7.7%	26.8%	13.7%	5.6%	-8.2%	-20.8K	258.8K	-1.1K	5.83	119.99	N/A	N/A	23	134	99	305
2022-02-03	$24.19	$25.00	18.4%	2.6%	7.5%	30.9%	8.8%	29.4%	4.1%	-26.7K	286.1K	-975	5.83	108.80	N/A	N/A	23	134	99	305
2022-02-04	$23.92	$25.00	7.3%	3.4%	8.3%	7.1%	11.4%	2.7%	0.4%	-25.9K	307.7K	-937	5.87	109.27	N/A	N/A	23	135	99	305
2022-02-07	$23.98	$25.00	9.8%	2.5%	8.0%	12.4%	9.5%	-4.1%	0.7%	-28.7K	352.1K	-749	5.00	105.00	N/A	N/A	27	135	100	305
2022-02-08	$23.80	$25.00	25.2%	3.4%	8.3%	45.4%	12.1%	-0.4%	-0.5%	-17.9K	332.9K	-858	6.27	104.63	N/A	N/A	22	138	105	305
2022-02-09	$23.88	$25.00	11.3%	3.2%	8.1%	15.7%	10.8%	-3.1%	-3.8%	-21.4K	357.3K	-841	4.23	97.40	N/A	N/A	22	93	105	317
2022-02-10	$23.77	$25.00	10.8%	3.1%	8.1%	14.7%	11.4%	0.8%	-2.8%	-22.4K	383.1K	-804	3.91	106.23	N/A	N/A	22	86	105	322
2022-02-11	$23.50	$25.00	15.8%	4.5%	8.5%	25.3%	13.6%	7.9%	-2.8%	-20.0K	363.9K	-876	3.91	113.07	N/A	N/A	22	86	105	324
2022-02-14	$23.17	$25.00	11.9%	3.4%	9.3%	17.0%	15.0%	-2.8%	1.2%	-17.7K	468.5K	-519	1.68	109.82	N/A	N/A	22	37	105	330
2022-02-15	$23.41	$25.00	11.7%	3.3%	10.6%	16.5%	16.5%	18.1%	0.5%	-17.9K	455.9K	-596	1.17	111.86	N/A	N/A	24	28	105	339
2022-02-16	$23.41	$25.00	10.4%	3.0%	10.6%	13.8%	12.9%	7.8%	-0.7%	-18.5K	492.5K	-409	1.19	110.63	N/A	N/A	26	31	107	340
2022-02-17	$23.35	$25.00	11.6%	3.3%	10.5%	16.2%	12.8%	12.9%	4.4%	-17.5K	473.8K	-576	1.50	114.03	N/A	N/A	26	39	110	342
2022-02-18	$23.37	$25.00	11.4%	3.3%	10.5%	16.0%	14.3%	17.8%	4.4%	-16.3K	480.4K	-439	1.15	113.44	N/A	N/A	33	38	110	334
2022-02-22	$23.04	$25.00	10.8%	3.1%	11.0%	14.6%	13.1%	4.2%	2.9%	-11.4K	447.6K	-361	2.59	109.62	N/A	N/A	22	57	98	310
2022-02-23	$22.86	$25.00	9.9%	2.8%	10.9%	12.6%	7.0%	-0.5%	2.7%	-11.3K	531.4K	-382	2.55	85.81	N/A	N/A	22	56	98	349
2022-02-24	$23.18	$25.00	13.8%	4.0%	12.4%	21.1%	22.4%	12.3%	3.2%	-23.0K	466.6K	-737	3.27	107.21	N/A	N/A	22	72	98	354
2022-02-25	$23.59	$25.00	13.2%	3.8%	14.3%	19.7%	18.3%	9.5%	1.1%	-33.0K	428.2K	-1.2K	3.23	112.20	N/A	N/A	22	71	98	381
2022-02-28	$23.67	$25.00	11.9%	3.4%	14.4%	17.1%	13.7%	8.5%	-1.2%	-33.3K	426.3K	-814	5.39	106.15	N/A	N/A	23	124	98	377