PFFA Options History — November 2022

In November 2022, PFFA traded between $18.36 and $19.70. ATM implied volatility averaged 14.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 5.7% (HV 20d: 19.8%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-11-04: Highest Volume — 437 contracts
  • 2022-11-17: Largest IV spike — 100.6% change
  • 2022-11-02: Highest IV Rank — 44.1%
  • 2022-11-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.08$18.36$19.70$18.61$19.36
Max Pain$21.71$20.00$22.00$20.00$21.00
ATM IV14.1%6.5%26.7%14.7%10.1%
Expected Move3.6%1.9%7.6%4.2%2.9%
HV 20d19.8%15.8%23.0%16.4%21.6%
HV 60d20.3%18.4%21.4%18.6%21.3%
IV Rank17.5%1.9%44.1%20.8%9.0%
IV Percentile40.3%1.6%89.7%52.0%21.0%
Term Structure5.7%-21.0%19.9%-2.5%19.9%
VWIV19.0%6.9%49.7%15.8%12.2%
Skew 25d6.9%-68.4%41.8%8.5%6.2%
Skew 10d20.4%2.0%57.0%6.5%7.7%
Call IV 25d14.8%7.1%89.5%12.4%11.0%
Put IV 25d21.8%10.5%53.4%20.9%17.2%
Bid-Ask Spread %106.09100.47129.43108.11106.83
Gamma HHI0.390.250.520.480.47
Net GEX-3.4K-28.7K16.0K-22.0K11.0K
Net DEX82.5K-112.3K394.6K310.7K-112.3K
Net VEX-2.0K-2.6K-1.1K-1.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.002.192.190.00
Total Volume285.095843715341
Total OI1,187.4769051,3069051,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$18.61$20.0014.7%4.2%16.4%20.8%15.8%8.5%-2.5%-22.0K310.7K-1.1K2.19108.11N/AN/A48105277628
2022-11-02$18.36$20.0026.7%7.6%16.8%44.1%20.2%1.9%-21.0%-23.3K369.6K-1.2K2.19105.26N/AN/A48105277628
2022-11-03$18.38$22.0023.1%4.1%16.7%37.1%49.7%-68.4%5.7%-28.7K394.6K-1.2K0.85108.28N/AN/A127108277628
2022-11-04$18.40$22.0026.3%4.1%16.0%42.3%15.5%7.4%10.3%-26.0K362.6K-1.6K0.33104.27N/AN/A329108337633
2022-11-07$18.56$22.0015.9%4.0%15.8%21.9%14.8%5.3%-0.9%-15.8K231.5K-1.9K0.32103.44N/AN/A329106440733
2022-11-08$18.87$22.0018.1%3.2%16.6%25.2%11.2%41.8%1.0%-2.1K197.1K-1.7K0.49100.47N/AN/A232113440733
2022-11-09$18.69$22.0013.1%3.8%16.7%15.1%15.4%5.5%-1.2%-20.6K214.5K-2.0K0.54104.05N/AN/A232126448736
2022-11-10$19.54$22.0013.0%3.7%22.9%14.9%24.2%19.5%9.2%-35877.0K-2.0K0.47129.43N/AN/A291137448733
2022-11-11$19.70$22.0010.4%3.0%23.0%9.7%19.0%10.7%2.5%291-108.3K-2.3K0.60106.98N/AN/A229138521737
2022-11-14$19.63$22.0012.8%3.7%23.0%14.4%27.9%16.4%9.4%9.5K-41.6K-2.6K0.60103.45N/AN/A228137524737
2022-11-15$19.67$22.006.6%1.9%22.9%2.1%10.7%5.6%6.9%12.0K-95.9K-2.2K0.61105.82N/AN/A226138525738
2022-11-16$19.61$22.0011.2%3.2%22.6%11.2%18.5%8.7%3.8%16.0K-41.2K-2.2K0.55103.38N/AN/A251138525738
2022-11-17$19.36$22.0022.4%6.4%20.6%33.8%23.0%13.6%-6.0%3.6K-5.3K-2.5K0.55104.81N/AN/A251138550738
2022-11-18$19.27$22.0016.9%4.9%20.2%22.8%27.3%14.8%3.3%5.3K50.1K-2.2K0.65107.13N/AN/A231150550738
2022-11-21$18.96$22.008.8%2.5%21.4%6.5%15.7%8.5%16.6%1.4K83.6K-2.1K0.56103.08N/AN/A222124543717
2022-11-22$19.06$22.006.5%1.9%20.7%1.9%6.9%27.8%8.7%-3.6K-2.9K-2.1K0.56103.68N/AN/A233130543690
2022-11-23$19.18$22.009.9%2.8%20.7%8.6%9.8%5.2%14.9%2.8K-32.4K-2.2K0.50103.43N/AN/A248125550703
2022-11-25$19.21$22.009.1%2.6%20.6%7.2%33.1%6.7%13.2%-2.4K-86.2K-2.3K1.00106.99N/AN/A44580703
2022-11-28$19.15$22.008.8%2.5%20.5%6.4%8.5%-1.8%14.3%8.8K-16.3K-2.3K0.29102.54N/AN/A247576703
2022-11-29$19.02$21.0011.8%3.4%20.8%12.4%12.2%1.8%12.0%2.8K-16.2K-2.3K0.00106.39N/AN/A026598708
2022-11-30$19.36$21.0010.1%2.9%21.6%9.0%0.0%6.2%19.9%11.0K-112.3K-2.4K0.00106.83N/AN/A410598708