PFFA Options History — July 2022

In July 2022, PFFA traded between $21.20 and $22.36. ATM implied volatility averaged 21.3%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.5% (HV 20d: 13.8%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.97.

Notable Days

2022-07-14: Highest Volume — 146 contracts
2022-07-26: Largest IV spike — 139.8% change
2022-07-12: Highest IV Rank — 100.0%
2022-07-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.60	$21.20	$22.36	$21.20	$22.36
Max Pain	$21.15	$21.00	$24.00	$24.00	$21.00
ATM IV	21.3%	6.4%	51.9%	28.6%	20.9%
Expected Move	5.2%	1.8%	8.2%	8.2%	6.0%
HV 20d	13.8%	6.3%	23.5%	23.1%	7.7%
HV 60d	17.7%	17.5%	17.9%	17.8%	17.9%
IV Rank	37.4%	5.2%	100.0%	55.7%	35.2%
IV Percentile	75.2%	7.1%	100.0%	98.4%	88.1%
Term Structure	4.0%	-5.5%	16.9%	-5.5%	0.7%
VWIV	10.3%	4.7%	29.1%	29.1%	17.0%
Skew 25d	12.3%	-3.6%	76.7%	17.4%	14.4%
Skew 10d	18.3%	-7.8%	103.0%	30.2%	5.4%
Call IV 25d	10.3%	4.9%	21.2%	15.2%	6.4%
Put IV 25d	22.6%	11.3%	93.2%	32.6%	20.9%
Bid-Ask Spread %	114.69	104.81	126.70	104.81	115.76
Gamma HHI	0.22	0.17	0.36	0.20	0.33
Net GEX	-13.1K	-18.0K	-4.2K	-11.9K	-4.2K
Net DEX	167.2K	69.1K	234.4K	165.4K	69.1K
Net VEX	-912	-1.5K	-413	-767	-591
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.97	1.67	4.03	2.80	1.67
Total Volume	123	114	146	114	136
Total OI	519	503	548	503	548

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
2022-07-01	$21.20	$24.00	28.6%	8.2%	23.1%	55.7%	29.1%	17.4%	-5.5%	-11.9K	165.4K	-767	2.80	104.81	N/A	N/A	30	84	78	425
2022-07-05	$21.23	$21.00	28.2%	7.9%	23.2%	54.9%	10.5%	5.0%	-3.4%	-17.4K	202.4K	-1.2K	3.29	113.30	N/A	N/A	28	92	78	435
2022-07-06	$21.25	$21.00	24.2%	6.6%	23.0%	45.6%	11.2%	1.3%	-0.8%	-16.4K	223.2K	-1.2K	3.29	111.98	N/A	N/A	28	92	78	435
2022-07-07	$21.31	$21.00	19.3%	7.0%	23.2%	34.7%	10.6%	-3.6%	-3.3%	-15.9K	234.4K	-1.3K	3.29	110.21	N/A	N/A	28	92	78	435
2022-07-08	$21.46	$21.00	28.6%	5.2%	23.5%	55.7%	5.5%	3.8%	-2.0%	-8.1K	153.9K	-539	3.29	123.30	N/A	N/A	28	92	78	435
2022-07-11	$21.48	$21.00	46.5%	6.3%	23.5%	96.2%	9.0%	11.1%	-3.9%	-17.7K	181.1K	-839	3.17	116.30	N/A	N/A	29	92	78	435
2022-07-12	$21.50	$21.00	51.9%	6.5%	22.6%	100.0%	8.7%	11.5%	-3.9%	-16.2K	163.1K	-617	3.17	114.93	N/A	N/A	29	92	79	435
2022-07-13	$21.46	$21.00	21.6%	6.2%	15.7%	36.8%	7.9%	13.4%	-3.1%	-18.0K	190.6K	-960	3.17	114.96	N/A	N/A	29	92	79	435
2022-07-14	$21.37	$21.00	25.0%	7.2%	13.6%	43.8%	8.9%	11.0%	-3.5%	-15.7K	189.9K	-1.2K	4.03	117.64	N/A	N/A	29	117	79	425
2022-07-15	$21.62	$21.00	14.6%	4.2%	12.2%	22.2%	7.4%	7.2%	5.4%	-13.1K	160.0K	-549	4.03	123.33	N/A	N/A	29	117	79	463
2022-07-18	$21.65	$21.00	18.8%	5.4%	7.3%	30.8%	5.8%	5.2%	9.8%	-15.6K	178.3K	-1.1K	2.52	126.70	N/A	N/A	33	83	71	437
2022-07-19	$21.75	$21.00	15.7%	4.5%	7.3%	24.6%	7.8%	7.2%	15.7%	-15.4K	162.6K	-908	2.52	114.92	N/A	N/A	33	83	81	437
2022-07-20	$21.67	$21.00	6.5%	1.9%	7.6%	5.3%	4.7%	9.5%	8.6%	-14.7K	185.4K	-1.1K	2.52	113.93	N/A	N/A	33	83	81	437
2022-07-21	$21.62	$21.00	13.8%	3.9%	7.7%	20.4%	7.8%	9.9%	15.2%	-10.6K	204.5K	-1.5K	2.52	112.16	N/A	N/A	33	83	81	437
2022-07-22	$21.68	$21.00	9.9%	2.8%	7.7%	12.5%	6.8%	10.7%	13.0%	-13.0K	218.7K	-1.5K	2.52	110.89	N/A	N/A	33	83	81	437
2022-07-25	$21.71	$21.00	6.4%	1.8%	6.8%	5.2%	18.1%	14.2%	6.9%	-12.6K	135.3K	-775	2.85	109.28	N/A	N/A	33	94	81	437
2022-07-26	$21.72	$21.00	15.4%	4.4%	6.7%	23.9%	12.2%	76.7%	5.5%	-7.3K	126.4K	-761	2.85	109.69	N/A	N/A	33	94	81	448
2022-07-27	$21.85	$21.00	15.3%	4.4%	6.5%	23.6%	10.7%	9.6%	16.9%	-11.3K	112.8K	-483	2.94	115.87	N/A	N/A	32	94	83	448
2022-07-28	$22.03	$21.00	14.0%	4.0%	6.3%	21.0%	5.5%	9.8%	11.7%	-6.7K	86.1K	-413	2.97	113.90	N/A	N/A	29	86	84	448
2022-07-29	$22.36	$21.00	20.9%	6.0%	7.7%	35.2%	17.0%	14.4%	0.7%	-4.2K	69.1K	-591	1.67	115.76	N/A	N/A	51	85	86	462