PFFA Options History — December 2022

In December 2022, PFFA traded between $17.98 and $19.75. ATM implied volatility averaged 17.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.3% (HV 20d: 17.7%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2022-12-12: Highest Volume — 63 contracts
  • 2022-12-29: Largest IV spike — 115.7% change
  • 2022-12-13: Highest IV Rank — 63.9%
  • 2022-12-12: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.75$17.98$19.75$19.70$18.13
Max Pain$19.33$19.00$21.00$21.00$19.00
ATM IV17.4%7.8%37.5%17.4%17.3%
Expected Move4.4%2.2%7.1%5.0%5.0%
HV 20d17.7%12.8%22.7%21.4%12.8%
HV 60d20.4%17.9%21.8%21.7%17.9%
IV Rank23.7%4.6%63.9%23.8%23.5%
IV Percentile53.9%6.0%97.2%61.1%57.9%
Term Structure-1.8%-18.5%65.4%-5.5%-18.5%
VWIV25.5%5.8%66.6%19.4%41.5%
Skew 25d19.7%-3.2%69.3%4.9%14.5%
Skew 10d48.1%-3.0%123.5%-2.5%39.9%
Call IV 25d14.9%6.4%24.0%15.3%17.8%
Put IV 25d34.6%7.7%88.3%20.2%32.3%
Bid-Ask Spread %111.93100.21121.01107.48102.55
Gamma HHI0.530.340.930.670.57
Net GEX10.4K71921.3K19.6K11.7K
Net DEX-41.3K-265.9K107.2K-251.5K62.2K
Net VEX-2.1K-2.7K-1.2K-2.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0014.751.508.00
Total Volume11.762063101
Total OI1,202.8579261,3931,350999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$19.70$21.0017.4%5.0%21.4%23.8%19.4%4.9%-5.5%19.6K-251.5K-2.7K1.50107.48N/AN/A46642708
2022-12-02$19.75$21.0019.8%5.7%21.4%28.6%0.0%5.5%-5.1%21.3K-265.9K-2.6K0.00110.76N/AN/A10644705
2022-12-05$19.48$19.0022.0%4.5%22.3%33.0%0.0%20.9%-12.8%16.3K-185.9K-2.7K8.75118.08N/AN/A435645705
2022-12-06$19.27$19.0020.1%4.3%22.7%29.2%0.0%33.1%-12.2%11.3K-119.8K-2.5K5.50121.01N/AN/A211649718
2022-12-07$19.34$19.0020.2%4.2%22.0%29.2%0.0%-3.2%-7.5%8.2K-147.0K-2.6K0.00114.39N/AN/A20649719
2022-12-08$19.20$20.0022.3%4.3%21.9%33.6%7.2%11.2%-8.0%4.2K-117.0K-2.6K0.00117.61N/AN/A06651720
2022-12-09$18.89$20.0016.4%6.5%15.8%21.8%24.5%-2.3%-8.0%1.7K6.1K-2.4K0.60119.28N/AN/A53651726
2022-12-12$18.73$19.0020.9%7.1%15.5%30.8%34.4%1.4%-10.6%71945.8K-2.3K14.75118.66N/AN/A459656729
2022-12-13$18.96$19.0037.5%3.4%16.3%63.9%0.0%55.9%6.0%3.1K-2.6K-2.4K0.71119.77N/AN/A75654727
2022-12-14$19.09$19.0018.5%5.3%16.6%26.0%0.0%0.4%-8.8%8.8K-41.9K-2.4K0.00120.87N/AN/A00661731
2022-12-15$18.94$19.008.7%2.5%16.7%6.4%0.0%52.6%65.4%3.9K9.1K-2.3K1.00114.23N/AN/A11661731
2022-12-16$18.70$19.008.9%2.6%16.7%6.7%10.4%17.1%15.5%18.2K107.2K-2.2K4.50112.64N/AN/A29661732
2022-12-19$18.60$20.0013.2%3.8%16.7%15.3%8.6%63.2%2.9%16.8K-110.0K-2.0K1.05110.46N/AN/A2122613313
2022-12-20$18.35$19.0013.9%4.0%16.4%16.6%66.6%15.4%-4.7%15.6K-95.5K-2.2K3.00107.47N/AN/A26627335
2022-12-21$18.27$19.0017.3%5.0%16.3%23.6%0.0%-0.5%-5.1%14.2K-42.1K-2.0K0.00113.39N/AN/A10628342
2022-12-22$18.06$19.0013.6%3.9%16.3%16.1%0.0%4.3%3.6%11.5K40.4K-1.5K1.00102.32N/AN/A55629342
2022-12-23$18.09$19.0016.1%4.6%16.3%21.2%5.8%20.8%-6.5%6.1K57.4K-1.4K0.00106.90N/AN/A04634347
2022-12-27$18.09$19.0016.0%4.6%16.3%20.9%36.6%6.6%-7.4%10.4K28.1K-1.6K8.00104.47N/AN/A18634350
2022-12-28$17.98$19.007.8%2.2%16.3%4.6%0.0%22.3%-1.6%6.2K105.8K-1.2K0.00100.21N/AN/A04636357
2022-12-29$18.08$19.0016.9%4.8%14.8%22.8%0.0%69.3%-8.6%8.4K49.1K-1.6K0.00107.89N/AN/A00638361
2022-12-30$18.13$19.0017.3%5.0%12.8%23.5%41.5%14.5%-18.5%11.7K62.2K-1.4K0.00102.55N/AN/A01638361