PFFA Options History — May 2022

In May 2022, PFFA traded between $21.65 and $23.08. ATM implied volatility averaged 13.6%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.2% (HV 20d: 13.8%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.11.

Notable Days

  • 2022-05-09: Highest Volume — 132 contracts
  • 2022-05-09: Largest IV spike — 91.2% change
  • 2022-05-09: Highest IV Rank — 53.5%
  • 2022-05-26: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.33$21.65$23.08$22.80$22.90
Max Pain$24.14$23.00$25.00$23.00$24.00
ATM IV13.6%7.3%27.7%8.4%13.8%
Expected Move3.6%2.1%6.2%2.4%4.0%
HV 20d13.8%9.0%18.0%9.0%17.9%
HV 60d12.3%11.3%13.2%11.5%13.2%
IV Rank21.8%7.6%53.5%10.1%22.3%
IV Percentile59.2%12.7%98.4%23.0%67.5%
Term Structure3.1%-7.8%14.9%6.3%10.6%
VWIV17.3%7.8%25.6%11.4%25.6%
Skew 25d17.4%-2.8%69.3%-2.8%11.6%
Skew 10d30.7%2.8%98.0%36.7%8.9%
Call IV 25d11.8%6.5%19.6%11.0%6.6%
Put IV 25d29.1%8.2%81.7%8.2%18.2%
Bid-Ask Spread %109.9098.63118.14101.88116.55
Gamma HHI0.410.320.670.330.33
Net GEX-28.2K-63.0K-16.2K-30.9K-24.4K
Net DEX450.7K287.3K585.6K367.3K299.0K
Net VEX-603-995-335-989-431
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.112.235.562.942.82
Total Volume119.429105132126107
Total OI452.095370498465380

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$22.80$23.008.4%2.4%9.0%10.1%11.4%-2.8%6.3%-30.9K367.3K-9892.94101.88N/AN/A3294116349
2022-05-03$22.83$23.008.6%2.5%9.1%10.5%11.2%69.3%4.2%-41.6K398.7K-9952.6998.63N/AN/A3286117351
2022-05-04$23.08$23.008.7%2.5%10.1%10.7%7.8%59.3%9.7%-63.0K339.8K-9442.66106.27N/AN/A3285117352
2022-05-05$22.89$25.009.5%2.9%10.1%12.4%11.4%1.2%3.9%-47.0K418.2K-7542.66116.25N/AN/A3285116352
2022-05-06$22.76$25.0014.5%4.6%10.1%23.7%25.3%8.0%-4.5%-28.8K377.3K-9912.66113.42N/AN/A3285117352
2022-05-09$22.19$25.0027.7%3.6%13.1%53.5%18.6%6.3%1.9%-26.0K490.7K-6223.71118.14N/AN/A28104117352
2022-05-10$22.15$25.0021.3%4.1%12.7%39.1%22.9%7.3%1.7%-27.1K530.0K-6213.71112.09N/AN/A28104117363
2022-05-11$22.02$25.0014.3%4.1%12.3%23.5%16.7%9.8%-2.0%-24.9K539.2K-5603.36109.25N/AN/A2894117364
2022-05-12$21.65$25.0015.1%4.3%13.0%25.2%25.5%4.2%1.0%-22.2K566.4K-5082.33108.00N/AN/A3991117365
2022-05-13$21.91$24.0012.0%3.4%14.3%18.2%16.9%7.1%2.9%-19.8K555.8K-5502.33100.65N/AN/A3991128365
2022-05-16$22.14$24.0012.1%3.5%15.1%18.4%13.5%27.9%4.1%-27.7K553.1K-5092.23112.86N/AN/A3987128369
2022-05-17$22.16$24.0010.6%3.0%15.0%15.0%19.7%19.7%1.8%-28.9K535.3K-5002.23115.16N/AN/A3987128370
2022-05-18$21.93$24.0013.7%3.9%15.2%21.9%15.4%11.1%4.0%-20.8K543.8K-5492.23112.39N/AN/A3987128370
2022-05-19$22.09$24.0011.8%3.4%15.4%17.7%15.9%27.1%4.6%-28.3K545.4K-4722.87115.85N/AN/A3086128370
2022-05-20$21.92$24.0013.3%3.8%15.5%21.0%15.2%5.8%-0.0%-24.8K585.6K-3822.87102.64N/AN/A3086127371
2022-05-23$22.01$24.0010.1%2.9%15.7%13.8%10.9%31.4%7.3%-23.7K398.9K-3705.56102.13N/AN/A168991279
2022-05-24$21.92$24.0013.1%3.7%15.7%20.6%16.8%16.4%-1.0%-19.2K417.1K-3354.63110.29N/AN/A198891284
2022-05-25$22.18$24.0018.1%5.2%16.3%31.9%20.7%20.4%0.8%-16.2K370.8K-5294.68113.55N/AN/A198994284
2022-05-26$22.46$24.0021.5%6.2%16.4%39.6%20.0%12.6%-7.8%-20.4K345.1K-5403.18110.30N/AN/A288994285
2022-05-27$22.92$24.007.3%2.1%18.0%7.6%22.4%10.7%14.9%-25.8K287.3K-5043.04111.64N/AN/A288599280
2022-05-31$22.90$24.0013.8%4.0%17.9%22.3%25.6%11.6%10.6%-24.4K299.0K-4312.82116.55N/AN/A287999281