PFFA Options History — January 2023

In January 2023, PFFA traded between $18.48 and $21.19. ATM implied volatility averaged 23.1%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.6% (HV 20d: 15.4%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2023-01-23: Highest Volume — 292 contracts
  • 2023-01-25: Largest IV spike — 673.9% change
  • 2023-01-25: Highest IV Rank — 100.0%
  • 2023-01-25: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.13$18.48$21.19$18.48$21.19
Max Pain$20.10$19.00$22.00$19.00$20.00
ATM IV23.1%8.4%94.7%15.8%8.4%
Expected Move6.4%2.4%27.2%4.5%2.4%
HV 20d15.4%11.9%18.9%15.1%11.9%
HV 60d18.3%17.6%19.0%18.4%17.6%
IV Rank27.6%3.2%100.0%20.5%3.2%
IV Percentile53.3%6.3%100.0%49.6%6.3%
Term Structure-13.8%-120.2%6.0%-9.1%4.5%
VWIV13.9%4.3%37.1%22.2%4.3%
Skew 25d6.8%-44.0%47.9%-1.3%5.8%
Skew 10d15.8%-8.8%98.2%22.1%16.9%
Call IV 25d12.2%5.0%54.8%11.7%8.2%
Put IV 25d18.9%8.2%56.5%10.4%14.0%
Bid-Ask Spread %113.6398.67124.7499.86101.41
Gamma HHI0.720.470.960.610.50
Net GEX35.8K13.7K69.4K13.7K50.4K
Net DEX-450.3K-722.9K-535-535-722.9K
Net VEX-2.1K-2.5K-917-1.6K-917
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.250.000.49
Total Volume46.1542924122
Total OI971.558771,044999900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$18.48$19.0015.8%4.5%15.1%20.5%22.2%-1.3%-9.1%13.7K-535-1.6K0.0099.86N/AN/A40638361
2023-01-04$18.95$19.009.9%2.8%17.6%8.6%6.9%43.4%-1.2%20.6K-140.6K-2.1K0.00102.40N/AN/A120640361
2023-01-05$19.11$20.0015.8%3.6%17.6%20.6%0.0%5.3%5.4%23.4K-206.9K-2.3K0.00117.56N/AN/A100643361
2023-01-06$19.48$20.0022.6%4.0%18.9%34.2%0.0%8.8%1.0%32.7K-329.4K-2.3K0.00116.23N/AN/A80652361
2023-01-09$19.62$20.0015.3%3.9%18.8%19.5%15.7%2.7%6.0%52.2K-331.6K-2.0K1.25121.41N/AN/A1215660361
2023-01-10$19.68$22.0018.7%4.7%17.6%26.3%0.0%-0.9%1.8%42.1K-374.4K-2.2K0.67123.96N/AN/A32654368
2023-01-11$19.89$22.0012.7%3.7%17.4%14.4%4.4%5.2%3.6%35.9K-513.0K-2.0K0.00119.84N/AN/A40656370
2023-01-12$20.02$20.0017.7%5.1%17.1%24.4%17.7%-1.4%-10.1%40.8K-526.3K-2.2K0.83119.21N/AN/A65661370
2023-01-13$20.09$20.0019.7%5.7%17.1%28.4%0.0%1.4%-7.5%42.5K-527.1K-2.5K0.67120.18N/AN/A32665371
2023-01-17$20.34$20.0023.4%6.7%17.0%35.8%21.6%7.8%-12.0%45.6K-657.0K-2.1K0.00122.20N/AN/A50667371
2023-01-18$20.35$20.0026.0%7.4%15.9%40.9%0.0%11.2%-15.0%61.1K-676.5K-2.2K0.00123.88N/AN/A160673371
2023-01-19$20.50$20.0025.0%7.2%15.5%39.0%0.0%12.2%-12.4%32.5K-684.4K-2.2K0.00124.74N/AN/A110664371
2023-01-20$20.35$20.0013.2%3.8%14.7%15.3%10.0%47.9%4.3%69.4K-505.8K-2.0K0.01118.33N/AN/A1091563371
2023-01-23$20.53$20.0014.6%4.2%14.3%18.2%37.1%6.6%2.7%28.4K-496.1K-2.2K0.14115.33N/AN/A25636557328
2023-01-24$20.63$20.0012.2%3.5%12.7%13.4%0.0%10.4%2.4%30.9K-469.2K-2.4K0.07108.35N/AN/A15010529362
2023-01-25$20.59$20.0094.7%27.2%13.0%100.0%6.2%-44.0%-119.4%22.8K-418.5K-2.4K0.00103.78N/AN/A680524365
2023-01-26$20.76$20.0071.8%20.6%12.7%74.3%0.0%-1.3%-120.2%23.1K-453.9K-2.3K0.00105.19N/AN/A270527365
2023-01-27$21.01$20.0010.0%2.9%11.9%5.0%8.5%5.7%-1.8%28.0K-498.3K-2.2K0.0698.67N/AN/A161512365
2023-01-30$21.05$20.0014.0%4.0%12.0%9.5%11.7%9.5%0.3%20.6K-473.8K-2.1K0.00110.07N/AN/A90527366
2023-01-31$21.19$20.008.4%2.4%11.9%3.2%4.3%5.8%4.5%50.4K-722.9K-9170.49101.41N/AN/A8240534366