PFFA Options History — August 2022

In August 2022, PFFA traded between $21.75 and $23.06. ATM implied volatility averaged 18.2%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 7.6% (HV 20d: 10.6%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.15.

Notable Days

  • 2022-08-03: Highest Volume — 186 contracts
  • 2022-08-19: Largest IV spike — 93.5% change
  • 2022-08-08: Highest IV Rank — 60.1%
  • 2022-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.48$21.75$23.06$22.55$21.81
Max Pain$23.61$21.00$24.00$21.00$24.00
ATM IV18.2%8.3%32.8%25.5%17.0%
Expected Move4.6%2.0%7.3%7.3%4.9%
HV 20d10.6%7.9%13.8%7.9%12.7%
HV 60d16.8%16.2%17.8%17.8%16.4%
IV Rank29.8%8.9%60.1%44.8%27.1%
IV Percentile68.5%19.8%98.0%94.8%73.4%
Term Structure1.2%-21.7%56.4%-19.9%5.5%
VWIV16.3%5.9%26.5%24.6%20.2%
Skew 25d7.0%-10.8%41.8%14.0%-2.0%
Skew 10d14.2%-3.8%58.4%7.2%3.2%
Call IV 25d14.6%7.7%21.1%15.2%14.1%
Put IV 25d21.6%8.2%56.4%29.2%12.1%
Bid-Ask Spread %112.1597.76120.65113.35104.81
Gamma HHI0.260.150.430.330.17
Net GEX-13.2K-23.5K-4.2K-8.0K-22.0K
Net DEX107.4K13.5K254.8K65.0K244.6K
Net VEX-793-1.4K-485-550-924
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0010.501.602.68
Total Volume53.9570186138136
Total OI655.13547693547693

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$22.55$21.0025.5%7.3%7.9%44.8%24.6%14.0%-19.9%-8.0K65.0K-5501.60113.35N/AN/A538584463
2022-08-02$22.58$21.0025.1%7.2%7.9%44.1%24.9%9.6%-21.7%-6.8K66.4K-6691.58115.32N/AN/A6510386463
2022-08-03$22.77$21.0024.1%6.9%8.1%42.0%26.5%5.3%-19.0%-6.4K37.2K-4851.86120.65N/AN/A65121102481
2022-08-04$22.81$24.0014.0%2.0%8.1%21.0%17.8%1.1%6.3%-4.2K23.9K-6311.63115.76N/AN/A65106102529
2022-08-05$22.61$24.0017.1%3.9%9.1%27.4%15.1%7.6%-1.8%-8.6K81.9K-5381.57114.22N/AN/A6810790535
2022-08-08$22.56$24.0032.8%3.1%9.2%60.1%14.5%12.1%-4.0%-9.4K101.0K-7581.63113.58N/AN/A6811193538
2022-08-09$22.42$24.0027.4%3.7%9.7%48.9%16.2%8.9%6.0%-12.0K108.0K-95010.50118.89N/AN/A22193538
2022-08-10$22.68$24.0013.0%3.7%10.2%18.7%6.4%-1.5%0.0%-13.1K80.4K-8690.00119.94N/AN/A15094559
2022-08-11$22.77$24.009.4%2.7%9.8%11.3%10.4%-0.8%-3.4%-11.5K60.7K-6831.50117.92N/AN/A23104559
2022-08-12$22.93$24.008.6%2.5%9.4%9.6%0.0%41.8%1.5%-12.3K29.6K-6540.00114.80N/AN/A00106562
2022-08-15$23.03$24.008.7%2.5%9.4%9.8%8.5%37.7%1.3%-9.3K24.0K-6400.00110.17N/AN/A01106582
2022-08-16$23.06$24.009.5%2.7%9.4%11.5%12.8%36.6%1.0%-7.2K13.5K-6691.00113.96N/AN/A11106582
2022-08-17$22.86$24.008.3%2.4%10.0%8.9%0.0%1.9%2.1%-13.5K26.5K-5530.00112.81N/AN/A04105583
2022-08-18$22.78$24.008.8%2.5%10.1%10.0%5.9%-2.8%56.2%-12.6K57.2K-6690.00118.75N/AN/A03105583
2022-08-19$22.60$24.0017.0%4.9%10.8%27.1%20.5%1.3%56.4%-10.9K97.1K-7100.27114.16N/AN/A11394586
2022-08-22$22.20$24.0017.5%5.0%12.9%28.2%16.0%-1.5%-5.6%-21.8K169.9K-9870.00105.36N/AN/A0197575
2022-08-23$21.97$24.0023.9%6.8%13.5%41.5%20.0%10.7%-1.2%-14.6K160.9K-7840.00110.77N/AN/A0497576
2022-08-24$21.94$24.0019.6%5.6%13.4%32.7%0.0%-3.1%-3.3%-23.5K212.4K-1.2K0.00102.48N/AN/A0497580
2022-08-25$22.22$24.0021.2%6.1%13.8%36.0%0.0%-2.7%-9.6%-13.7K145.3K-7690.00110.95N/AN/A0497584
2022-08-26$22.12$24.0023.7%6.8%12.8%41.2%0.0%-5.5%-6.0%-19.4K210.3K-1.3K0.00105.74N/AN/A0097588
2022-08-29$22.04$24.0023.4%6.7%12.4%40.5%0.0%4.0%-2.2%-22.1K199.7K-8770.0097.76N/AN/A0497588
2022-08-30$21.75$24.0024.4%7.0%13.1%42.6%0.0%-10.8%-10.2%-20.1K254.8K-1.4K0.00107.36N/AN/A0497592
2022-08-31$21.81$24.0017.0%4.9%12.7%27.1%20.2%-2.0%5.5%-22.0K244.6K-9242.68104.81N/AN/A379997596