PFFA Options History — March 2022

In March 2022, PFFA traded between $23.24 and $24.10. ATM implied volatility averaged 15.4%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.2% (HV 20d: 13.2%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 6.20.

Notable Days

  • 2022-03-15: Highest Volume — 225 contracts
  • 2022-03-11: Largest IV spike — 115.7% change
  • 2022-03-07: Highest IV Rank — 63.4%
  • 2022-03-17: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.68$23.24$24.10$23.64$24.10
Max Pain$24.59$23.00$25.00$25.00$24.00
ATM IV15.4%9.1%33.6%10.9%11.5%
Expected Move4.6%1.5%17.5%3.1%4.3%
HV 20d13.2%10.6%14.4%14.0%11.1%
HV 60d10.4%9.6%11.1%9.7%11.1%
IV Rank24.4%10.9%63.4%14.9%16.2%
IV Percentile67.7%31.0%98.8%49.2%51.2%
Term Structure3.2%-10.4%51.0%-0.4%4.5%
VWIV15.6%5.6%32.4%14.5%15.1%
Skew 25d9.2%-27.0%33.8%7.7%33.8%
Skew 10d11.2%-90.5%55.9%17.6%55.9%
Call IV 25d11.5%6.9%43.6%9.2%9.8%
Put IV 25d20.6%10.8%43.5%16.9%43.5%
Bid-Ask Spread %114.64104.55151.94106.64108.03
Gamma HHI0.370.250.580.360.47
Net GEX-30.3K-59.4K-12.9K-36.9K-15.6K
Net DEX367.7K164.0K575.8K431.8K164.0K
Net VEX-1.0K-1.2K-860-1.1K-885
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.203.8011.084.777.10
Total Volume160.957141225150162
Total OI483.522350640525378

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$23.64$25.0010.9%3.1%14.0%14.9%14.5%7.7%-0.4%-36.9K431.8K-1.1K4.77106.64N/AN/A2612498427
2022-03-02$23.78$25.0013.9%4.0%14.2%21.3%20.2%8.9%0.2%-34.4K397.5K-1.1K4.77110.68N/AN/A26124103427
2022-03-03$23.82$25.0010.5%3.0%14.0%14.1%14.3%8.4%1.4%-34.2K416.3K-1.0K4.65105.02N/AN/A26121103427
2022-03-04$23.78$25.0020.0%5.7%14.0%34.2%30.7%18.2%6.5%-33.8K369.8K-1.2K4.65104.55N/AN/A26121103428
2022-03-07$23.47$25.0033.6%9.6%14.2%63.4%32.4%17.4%-7.7%-31.5K398.2K-1.1K5.26111.32N/AN/A23121103428
2022-03-08$23.51$25.0011.5%3.1%14.1%16.1%15.7%21.6%1.8%-34.8K459.0K-1.1K4.65107.64N/AN/A26121106428
2022-03-09$23.66$25.0011.4%2.8%14.1%15.9%13.4%18.6%5.2%-34.5K460.9K-9625.50108.04N/AN/A22121109428
2022-03-10$23.68$25.009.1%3.5%14.1%10.9%15.2%15.7%7.6%-44.1K443.8K-8995.55105.75N/AN/A22122109428
2022-03-11$23.56$25.0019.6%2.7%14.1%33.3%14.6%13.9%-1.7%-39.7K464.1K-9563.80106.23N/AN/A30114109437
2022-03-14$23.24$25.0018.6%5.3%14.4%31.2%17.0%6.7%0.3%-29.5K528.6K-9054.17113.77N/AN/A30125120439
2022-03-15$23.35$25.0014.1%4.6%13.5%21.6%16.3%10.7%2.5%-39.3K531.9K-9345.62110.09N/AN/A34191120462
2022-03-16$23.60$25.0014.0%4.0%13.6%21.5%15.8%7.9%1.8%-51.7K575.8K-1.1K7.07112.94N/AN/A27191118522
2022-03-17$23.78$0.0016.8%17.5%13.8%27.5%0.0%10.5%51.0%-54.8K524.0K-9535.41151.94N/AN/A27146117522
2022-03-18$23.86$0.0013.8%4.8%13.8%20.9%0.0%2.6%3.8%-59.4K517.7K-9597.26115.10N/AN/A27196117520
2022-03-21$23.67$0.0010.7%4.9%14.1%14.5%0.0%4.0%7.3%-13.3K226.3K-1.2K8.40122.92N/AN/A1512677273
2022-03-22$23.67$0.0015.6%4.1%13.0%24.9%0.0%-0.2%2.4%-19.7K244.7K-86011.08121.15N/AN/A1213378273
2022-03-23$23.48$0.0021.8%4.7%13.0%38.2%0.0%10.4%-7.2%-14.3K252.1K-1.0K8.31116.44N/AN/A1613380273
2022-03-24$23.62$0.0014.6%3.3%12.3%22.7%8.6%9.3%4.0%-12.9K223.4K-1.2K6.09118.63N/AN/A2213484273
2022-03-25$23.67$23.0013.6%2.8%10.7%20.7%7.8%-27.0%-2.0%-15.6K228.9K-1.0K6.09120.51N/AN/A2213490274
2022-03-28$23.71$23.0017.4%1.5%10.6%28.7%5.6%-0.9%-10.4%-13.9K211.8K-1.2K7.47124.75N/AN/A1914290274
2022-03-29$23.96$24.0015.6%1.6%11.2%24.8%6.0%5.4%-5.6%-16.3K191.1K-9147.47119.49N/AN/A1914291282
2022-03-30$24.01$24.0015.5%4.8%11.1%24.7%16.8%7.1%8.8%-16.4K196.1K-1.2K7.47115.11N/AN/A1914291282
2022-03-31$24.10$24.0011.5%4.3%11.1%16.2%15.1%33.8%4.5%-15.6K164.0K-8857.10108.03N/AN/A2014296282