PFFA Options History — October 2022

In October 2022, PFFA traded between $18.04 and $19.61. ATM implied volatility averaged 21.6%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.3% (HV 20d: 22.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2022-10-11: Highest Volume — 271 contracts
  • 2022-10-20: Largest IV spike — 117.0% change
  • 2022-10-10: Highest IV Rank — 51.6%
  • 2022-10-05: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.76$18.04$19.61$19.34$18.59
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV21.6%11.6%30.5%28.3%11.8%
Expected Move6.0%3.3%8.4%8.1%3.4%
HV 20d22.9%17.4%24.9%23.9%17.4%
HV 60d18.1%17.2%18.7%17.2%18.6%
IV Rank34.2%14.9%51.6%47.2%15.3%
IV Percentile74.8%36.9%95.6%94.4%36.9%
Term Structure-4.0%-18.6%12.2%-1.4%-9.0%
VWIV21.1%10.6%29.0%25.7%13.6%
Skew 25d-2.3%-15.7%20.1%9.5%1.5%
Skew 10d3.2%-17.3%27.9%10.9%22.8%
Call IV 25d21.5%12.2%32.8%19.4%17.6%
Put IV 25d19.2%12.3%36.6%28.9%19.1%
Bid-Ask Spread %110.8799.19117.70103.8599.19
Gamma HHI0.270.200.410.240.33
Net GEX-20.1K-37.7K-7.1K-13.8K-18.7K
Net DEX360.1K226.6K503.1K238.7K319.3K
Net VEX-1.4K-2.0K-1.2K-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.921.043.231.042.19
Total Volume209.571147271196153
Total OI871.333757968757909

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$19.34$19.0028.3%8.1%23.9%47.2%25.7%9.5%-1.4%-13.8K238.7K-1.2K1.04103.85N/AN/A96100229528
2022-10-04$19.61$19.0016.2%4.7%24.8%23.8%23.7%20.1%1.7%-12.4K226.6K-1.6K1.19104.41N/AN/A84100236527
2022-10-05$19.47$19.0029.4%8.4%24.8%49.4%26.4%9.4%-5.3%-18.1K235.7K-1.3K1.1999.47N/AN/A84100240527
2022-10-06$19.51$20.0021.6%4.9%24.9%34.3%20.0%7.8%3.0%-18.9K230.2K-1.2K1.19114.93N/AN/A84100240527
2022-10-07$19.20$20.0016.3%6.4%24.8%24.0%20.6%2.9%-3.5%-8.9K294.7K-1.5K1.89113.95N/AN/A90170240527
2022-10-10$18.93$20.0030.5%5.8%24.5%51.6%13.6%-9.9%-5.5%-18.1K361.1K-1.6K1.87112.13N/AN/A91170247598
2022-10-11$18.74$20.0024.1%4.8%24.6%39.1%10.6%-9.1%-2.8%-17.6K403.0K-1.6K1.77112.81N/AN/A98173255598
2022-10-12$18.60$20.0028.4%8.1%23.8%47.4%28.8%1.6%-1.7%-26.8K381.0K-1.3K1.92117.70N/AN/A91175270598
2022-10-13$18.60$20.0023.8%6.8%24.0%38.5%24.3%-14.5%-3.1%-22.8K399.2K-1.6K1.92115.61N/AN/A91175278603
2022-10-14$18.63$20.0020.0%5.7%23.7%31.2%20.2%-6.3%-0.6%-15.5K400.2K-2.0K1.87112.03N/AN/A92172283609
2022-10-17$18.81$20.0023.4%6.7%24.3%37.8%23.4%3.0%-5.7%-7.1K357.1K-1.8K1.75114.26N/AN/A93163292659
2022-10-18$18.92$20.0024.3%7.0%23.6%39.5%24.2%-11.6%-4.8%-11.4K307.7K-1.5K1.66116.72N/AN/A88146301660
2022-10-19$18.73$20.0011.6%3.3%23.4%14.9%11.7%3.2%12.2%-14.4K386.0K-1.7K1.63117.17N/AN/A90147301663
2022-10-20$18.23$20.0025.3%7.2%24.1%41.4%29.0%-15.7%-18.6%-29.3K465.5K-1.3K1.39115.55N/AN/A90125303665
2022-10-21$18.04$20.0021.1%6.1%22.3%33.4%25.9%-14.0%-6.7%-37.7K503.1K-1.5K1.33113.03N/AN/A94125305658
2022-10-24$18.12$20.0022.4%6.4%20.8%35.9%24.5%-14.0%-12.7%-27.0K453.3K-1.8K2.87110.68N/AN/A38109253627
2022-10-25$18.43$20.0023.5%6.7%21.8%38.0%25.9%-15.4%-13.2%-25.5K406.6K-1.3K2.97113.13N/AN/A38113255627
2022-10-26$18.47$20.0019.0%5.4%20.1%29.2%15.8%-2.1%-6.8%-24.7K419.7K-1.3K3.20107.39N/AN/A35112253629
2022-10-27$18.40$20.0016.1%4.6%19.0%23.5%18.0%-0.5%0.5%-26.6K412.7K-1.2K3.23107.69N/AN/A35113256631
2022-10-28$18.57$20.0016.0%4.6%19.3%23.4%17.3%6.3%0.9%-26.3K361.2K-1.3K2.29106.53N/AN/A48110259632
2022-10-31$18.59$20.0011.8%3.4%17.4%15.3%13.6%1.5%-9.0%-18.7K319.3K-1.3K2.1999.19N/AN/A48105277632