PFFA Options History — September 2022

In September 2022, PFFA traded between $18.92 and $21.70. ATM implied volatility averaged 27.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.4% (HV 20d: 15.7%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2022-09-30: Highest Volume — 196 contracts
  • 2022-09-13: Largest IV spike — 120.7% change
  • 2022-09-13: Highest IV Rank — 100.0%
  • 2022-09-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.67$18.92$21.70$21.45$18.92
Max Pain$23.10$23.00$24.00$24.00$23.00
ATM IV27.2%13.4%55.5%34.5%19.9%
Expected Move6.3%3.8%9.9%9.9%5.7%
HV 20d15.7%12.6%22.2%13.6%21.9%
HV 60d14.0%10.9%16.8%16.7%16.6%
IV Rank46.4%18.3%100.0%63.7%30.9%
IV Percentile86.2%52.0%100.0%98.4%75.8%
Term Structure-1.8%-22.3%12.3%-12.8%4.8%
VWIV25.1%7.6%38.7%37.6%20.4%
Skew 25d6.0%-8.2%23.6%2.1%0.1%
Skew 10d10.6%-9.9%37.6%4.3%-0.3%
Call IV 25d19.3%10.4%33.0%24.1%22.0%
Put IV 25d25.3%12.4%36.9%26.2%22.2%
Bid-Ask Spread %115.15105.64126.54109.69108.04
Gamma HHI0.200.140.240.150.24
Net GEX-20.2K-27.9K-10.8K-21.7K-27.1K
Net DEX269.7K170.0K402.0K264.3K391.2K
Net VEX-1.3K-1.6K-907-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.007.001.000.98
Total Volume63.23801960196
Total OI676.095578735694676

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$21.45$24.0034.5%9.9%13.6%63.7%0.0%2.1%-12.8%-21.7K264.3K-1.2K0.00109.69N/AN/A0098596
2022-09-02$21.52$24.0026.6%7.6%13.6%47.2%37.6%4.2%-22.3%-21.4K255.9K-1.0K1.00108.88N/AN/A3398596
2022-09-06$21.43$23.0044.1%6.6%13.6%83.8%26.2%6.5%-0.7%-19.7K252.8K-9802.07122.46N/AN/A4185101598
2022-09-07$21.40$23.0041.9%6.3%13.5%79.0%26.6%12.4%-8.2%-20.2K260.3K-9071.90121.65N/AN/A4178101603
2022-09-08$21.43$23.0034.1%5.5%12.6%62.8%0.0%10.2%-2.3%-21.3K263.7K-9220.00121.31N/AN/A01101605
2022-09-09$21.56$23.0019.4%4.9%12.7%32.3%22.1%-2.5%-6.6%-22.2K283.8K-1.3K3.00118.47N/AN/A13101606
2022-09-12$21.70$23.0025.1%4.8%12.7%44.1%0.0%12.0%3.8%-21.6K245.1K-1.2K0.16126.54N/AN/A254100608
2022-09-13$21.49$23.0055.5%4.8%12.6%100.0%21.6%-4.5%4.2%-19.6K253.1K-1.1K1.15123.39N/AN/A6878125607
2022-09-14$21.68$23.0020.8%6.0%13.3%32.7%0.0%5.7%-1.6%-22.4K222.8K-1.1K0.10121.71N/AN/A101129597
2022-09-15$21.57$23.0025.1%7.2%13.1%41.1%0.0%-2.6%1.4%-20.3K207.0K-9710.50118.99N/AN/A21138597
2022-09-16$21.14$23.0025.2%7.2%14.5%41.2%25.0%7.7%-2.8%-19.3K239.2K-9621.82120.57N/AN/A4989140586
2022-09-19$21.10$23.0013.4%3.8%14.4%18.3%0.0%23.6%10.9%-12.4K170.0K-1.4K0.00110.12N/AN/A240109469
2022-09-20$20.59$23.0016.5%4.7%15.4%24.3%21.8%6.4%10.7%-13.2K176.4K-1.6K0.00118.45N/AN/A017133469
2022-09-21$20.70$23.0015.8%4.5%15.6%23.0%7.6%13.0%12.3%-10.8K178.8K-1.6K0.00115.64N/AN/A10133483
2022-09-22$20.28$23.0024.9%7.1%16.7%40.7%21.3%8.8%-6.3%-18.4K195.1K-1.1K1.33108.99N/AN/A68133483
2022-09-23$19.67$23.0020.1%5.8%18.0%31.3%17.1%7.7%-5.2%-18.4K298.9K-1.6K7.00107.27N/AN/A214139491
2022-09-26$19.15$23.0027.2%7.8%19.4%45.1%38.7%10.9%-4.1%-21.0K371.3K-1.5K2.18105.64N/AN/A3883141505
2022-09-27$18.98$23.0029.0%8.3%19.4%48.7%28.1%-8.2%-9.7%-24.0K402.0K-1.5K1.98110.75N/AN/A4181156507
2022-09-28$19.39$23.0025.1%7.2%21.8%41.2%36.0%12.8%-1.5%-27.9K333.1K-1.4K1.83108.94N/AN/A4175158507
2022-09-29$18.99$23.0026.2%7.5%22.2%43.1%26.0%-1.3%-2.4%-22.5K398.5K-1.5K1.95110.72N/AN/A4078168507
2022-09-30$18.92$23.0019.9%5.7%21.9%30.9%20.4%0.1%4.8%-27.1K391.2K-1.3K0.98108.04N/AN/A9997168508