PFFA Options History — February 2023 In February 2023, PFFA traded between $20.44 and $21.65. ATM implied volatility averaged 13.3%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.6% (HV 20d: 12.6%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.42.
Notable Days 2023-02-02 : Highest Volume — 314 contracts2023-02-06 : Largest IV spike — 75.9% change2023-02-21 : Highest IV Rank — 17.4%2023-02-21 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.97 $20.44 $21.65 $21.36 $20.59 Max Pain $20.58 $19.00 $21.00 $20.00 $21.00 ATM IV 13.3% 8.9% 21.0% 12.8% 14.1% Expected Move 3.6% 2.5% 6.0% 3.7% 4.0% HV 20d 12.6% 9.3% 15.7% 11.1% 15.2% HV 60d 16.2% 14.6% 17.9% 17.6% 15.8% IV Rank 8.6% 3.7% 17.4% 8.1% 9.6% IV Percentile 33.1% 10.3% 69.8% 29.0% 39.3% Term Structure 8.4% -8.0% 63.3% -8.0% 8.8% VWIV 14.9% 9.3% 40.3% 13.4% 9.3% Skew 25d 10.2% -50.0% 41.9% 2.8% 3.7% Skew 10d 14.1% -80.5% 70.7% 14.3% 4.4% Call IV 25d 12.4% 5.5% 66.5% 9.6% 9.5% Put IV 25d 22.6% 10.8% 50.2% 12.4% 13.2% Bid-Ask Spread % 99.26 80.15 112.30 104.14 84.41 Gamma HHI 0.33 0.25 0.49 0.33 0.49 Net GEX 108 -24.9K 38.2K 38.2K -17.9K Net DEX -186.4K -619.8K 94.2K -546.3K -104.7K Net VEX -1.6K -2.0K -480 -1.9K -480 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.42 0.00 19.40 0.62 0.00 Total Volume 35.421 0 314 105 2 Total OI 865.368 827 954 878 871
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-02-01 $21.36 $20.00 12.8% 3.7% 11.1% 8.1% 13.4% 2.8% -8.0% 38.2K -546.3K -1.9K 0.62 104.14 N/A N/A 65 40 489 389 2023-02-02 $21.65 $19.00 15.7% 3.2% 9.3% 11.3% 11.6% 14.6% 2.2% 25.1K -619.8K -1.3K 5.68 112.30 N/A N/A 47 267 454 404 2023-02-03 $21.41 $20.00 9.6% 2.9% 11.2% 4.6% 11.3% 9.2% 4.2% 26.9K -500.0K -2.0K 0.27 112.28 N/A N/A 44 12 457 487 2023-02-06 $21.17 $20.00 16.9% 3.3% 11.5% 12.8% 0.0% 8.5% 1.5% 20.9K -398.0K -2.0K 1.25 108.88 N/A N/A 4 5 455 499 2023-02-07 $21.09 $20.00 14.9% 3.4% 11.8% 10.5% 11.9% 6.5% 1.2% 4.9K -185.1K -1.7K 1.40 108.70 N/A N/A 5 7 341 504 2023-02-08 $21.10 $20.00 11.4% 3.3% 11.9% 6.5% 0.0% 36.4% 1.1% 1.9K -179.9K -1.6K 0.00 110.16 N/A N/A 0 0 343 511 2023-02-09 $21.02 $20.00 10.9% 3.1% 11.8% 6.0% 40.3% -50.0% 1.5% 2.6K -184.1K -1.3K 2.75 102.15 N/A N/A 4 11 343 511 2023-02-10 $20.96 $21.00 11.2% 3.2% 11.9% 6.3% 11.2% 4.9% 0.7% -2.4K -132.9K -1.8K 1.50 102.55 N/A N/A 2 3 341 503 2023-02-13 $21.10 $21.00 11.4% 3.3% 12.0% 6.5% 0.0% 40.2% 0.3% 18.4K -243.9K -967 0.00 99.58 N/A N/A 0 2 340 506 2023-02-14 $21.13 $21.00 9.7% 2.8% 11.4% 4.6% 10.5% 19.6% 2.7% -2.3K -159.6K -1.7K 0.00 102.01 N/A N/A 0 1 337 508 2023-02-15 $21.16 $21.00 8.9% 2.5% 11.4% 3.7% 0.0% 18.7% 5.4% -1.8K -211.7K -1.3K 0.00 97.23 N/A N/A 0 4 337 509 2023-02-16 $21.12 $21.00 9.6% 2.8% 11.3% 4.6% 0.0% 41.9% 63.3% -1.2K -210.3K -1.3K 0.00 110.22 N/A N/A 0 0 341 505 2023-02-17 $21.09 $21.00 14.7% 4.2% 10.9% 10.2% 15.0% 3.5% 57.7% -6.0K -148.9K -1.6K 19.40 99.80 N/A N/A 5 97 335 492 2023-02-21 $20.45 $21.00 21.0% 6.0% 15.5% 17.4% 15.3% 10.4% -1.8% -16.8K 51.9K -1.9K 1.08 89.98 N/A N/A 12 13 308 544 2023-02-22 $20.45 $21.00 17.2% 4.9% 15.4% 13.1% 13.8% 16.4% 2.2% -20.4K 94.2K -1.8K 3.67 85.61 N/A N/A 3 11 310 555 2023-02-23 $20.62 $21.00 13.4% 3.8% 15.7% 8.7% 0.0% -1.7% 8.3% -21.6K 28.2K -1.7K 0.00 87.39 N/A N/A 0 2 313 558 2023-02-24 $20.44 $21.00 14.6% 4.2% 15.7% 10.2% 9.3% 6.7% 5.9% -24.9K 67.5K -1.4K 0.00 88.39 N/A N/A 5 0 313 558 2023-02-27 $20.56 $21.00 13.9% 4.0% 15.2% 9.4% 0.0% 1.4% 2.1% -21.7K 41.4K -1.8K 0.00 80.15 N/A N/A 0 0 313 558 2023-02-28 $20.59 $21.00 14.1% 4.0% 15.2% 9.6% 0.0% 3.7% 8.8% -17.9K -104.7K -480 0.00 84.41 N/A N/A 0 2 313 558
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