PFFA Options History — June 2022

In June 2022, PFFA traded between $20.81 and $23.16. ATM implied volatility averaged 19.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.3% (HV 20d: 21.3%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.67.

Notable Days

  • 2022-06-22: Highest Volume — 339 contracts
  • 2022-06-08: Largest IV spike — 134.1% change
  • 2022-06-27: Highest IV Rank — 54.0%
  • 2022-06-27: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.76$20.81$23.16$23.10$21.09
Max Pain$23.52$23.00$26.00$24.00$24.00
ATM IV19.0%5.6%27.9%6.2%24.5%
Expected Move6.1%1.8%8.0%1.8%7.0%
HV 20d21.3%14.8%25.7%18.1%23.0%
HV 60d15.7%12.8%17.7%13.1%17.7%
IV Rank33.9%3.6%54.0%5.1%46.3%
IV Percentile73.5%1.6%98.4%4.8%94.4%
Term Structure1.0%-13.1%59.0%7.9%-5.2%
VWIV23.1%13.8%36.2%14.9%27.7%
Skew 25d9.1%-4.8%36.9%6.6%-4.0%
Skew 10d12.8%1.0%50.2%7.2%3.7%
Call IV 25d16.3%5.8%32.8%5.8%18.5%
Put IV 25d25.4%12.4%51.4%12.4%14.4%
Bid-Ask Spread %117.16105.18125.89112.42105.18
Gamma HHI0.380.200.920.580.23
Net GEX-16.5K-25.3K-7.8K-25.3K-16.0K
Net DEX300.3K186.9K528.6K286.0K196.4K
Net VEX-683-1.7K-248-327-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.9911.082.932.77
Total Volume160.667106339106113
Total OI435.952191519384502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$23.10$24.006.2%1.8%18.1%5.1%14.9%6.6%7.9%-25.3K286.0K-3272.93112.42N/AN/A277999285
2022-06-02$23.16$23.008.6%5.3%17.7%10.5%19.4%9.7%-12.9%-24.0K243.8K-5612.93121.66N/AN/A2779100285
2022-06-03$22.99$23.005.6%5.4%17.7%3.6%18.8%6.8%-12.0%-18.1K290.8K-2812.93116.80N/AN/A2779100280
2022-06-06$23.11$23.006.0%5.4%17.6%4.7%18.0%6.8%-13.1%-23.8K271.4K-2482.93125.27N/AN/A2779100280
2022-06-07$23.04$23.006.5%5.6%14.8%5.8%19.6%6.4%-3.9%-11.7K267.6K-4102.93124.35N/AN/A2779100280
2022-06-08$22.97$23.0015.3%4.4%14.8%25.6%13.8%4.9%-2.9%-17.3K236.6K-6340.99117.29N/AN/A8079100280
2022-06-09$22.82$23.0018.5%5.3%14.9%32.9%17.8%4.4%-3.2%-12.0K289.8K-4450.99123.62N/AN/A8079149281
2022-06-10$22.35$23.0020.3%5.8%15.6%37.0%16.5%7.5%-5.6%-15.9K321.8K-5291.03125.07N/AN/A7577149281
2022-06-13$21.36$23.0021.3%6.1%22.3%39.3%22.1%0.4%-7.5%-14.0K408.2K-3571.18113.57N/AN/A8094149281
2022-06-14$20.91$23.0022.9%6.6%22.9%42.8%22.1%7.8%-3.5%-13.2K450.3K-3511.67118.64N/AN/A83139155297
2022-06-15$21.35$23.0022.1%6.3%24.4%41.1%23.1%36.9%-6.2%-21.1K457.8K-5341.96117.72N/AN/A79155155351
2022-06-16$20.81$23.0027.5%7.9%25.7%53.2%29.4%-4.8%44.5%-18.7K518.1K-5721.19125.89N/AN/A8095155361
2022-06-17$20.81$23.0017.3%5.0%25.4%30.2%18.5%-0.9%59.0%-18.1K528.6K-5531.52120.24N/AN/A80122157362
2022-06-21$20.87$24.0024.4%7.0%25.5%46.2%36.2%17.7%3.3%-7.8K193.5K-54911.08116.08N/AN/A2628837154
2022-06-22$20.87$26.0019.0%5.5%25.4%34.0%23.1%8.0%3.8%-18.7K225.1K-8125.65110.77N/AN/A5128840393
2022-06-23$20.90$24.0025.2%7.2%25.4%48.0%27.7%17.3%-2.8%-14.5K216.3K-1.1K1.59108.31N/AN/A518168393
2022-06-24$21.14$24.0024.7%7.1%25.4%46.9%29.2%17.5%0.6%-12.7K289.8K-1.7K1.58116.89N/AN/A528268424
2022-06-27$21.23$24.0027.9%8.0%24.9%54.0%29.3%16.3%-1.9%-14.2K227.1K-1.4K2.83113.20N/AN/A298277424
2022-06-28$21.13$24.0027.5%7.9%23.3%53.2%29.6%14.2%-8.8%-14.5K201.4K-1.2K2.73114.24N/AN/A308277424
2022-06-29$21.01$24.0027.1%7.8%23.3%52.2%28.4%12.0%-8.3%-13.9K186.9K-8552.73113.20N/AN/A308278424
2022-06-30$21.09$24.0024.5%7.0%23.0%46.3%27.7%-4.0%-5.2%-16.0K196.4K-1.0K2.77105.18N/AN/A308378424