PFFA Options History — March 2023

In March 2023, PFFA traded between $18.02 and $20.73. ATM implied volatility averaged 20.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.0% (HV 20d: 21.5%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 6.92.

Notable Days

  • 2023-03-13: Highest Volume — 135 contracts
  • 2023-03-13: Largest IV spike — 96.2% change
  • 2023-03-14: Highest IV Rank — 60.9%
  • 2023-03-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.17$18.02$20.73$20.56$19.13
Max Pain$20.83$20.00$21.00$21.00$20.00
ATM IV20.6%9.6%59.8%13.9%20.4%
Expected Move5.4%2.2%7.3%4.0%5.9%
HV 20d21.5%13.3%28.2%14.9%28.2%
HV 60d18.2%14.9%20.6%15.4%20.0%
IV Rank16.8%4.5%60.9%9.4%16.7%
IV Percentile56.9%13.1%99.2%36.1%64.3%
Term Structure3.0%-14.0%57.9%9.4%-1.7%
VWIV21.4%7.4%37.6%12.9%24.5%
Skew 25d3.5%-14.2%14.9%3.5%14.9%
Skew 10d10.9%-82.9%41.9%5.7%24.0%
Call IV 25d17.3%8.3%37.1%9.8%9.0%
Put IV 25d20.8%8.0%31.1%13.2%23.9%
Bid-Ask Spread %101.6685.32112.5585.9393.27
Gamma HHI0.470.300.680.340.39
Net GEX-17.0K-41.9K-1.5K-22.7K-1.5K
Net DEX184.8K-58.0K457.9K44.9K-58.0K
Net VEX-2.4K-3.3K-1.4K-1.7K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.920.00122.000.000.92
Total Volume30.8261135125
Total OI869.3916851,085871851

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$20.56$21.0013.9%4.0%14.9%9.4%12.9%3.5%9.4%-22.7K44.9K-1.7K0.0085.93N/AN/A10313558
2023-03-02$20.55$21.0015.0%4.3%14.5%10.6%0.0%3.1%2.4%-20.8K43.2K-1.7K3.0085.32N/AN/A13314558
2023-03-03$20.63$21.009.6%2.8%13.5%4.5%7.8%4.0%6.1%-25.1K56.5K-1.6K0.0086.32N/AN/A018315558
2023-03-06$20.73$20.009.8%2.2%13.3%4.7%0.0%-2.4%1.8%-41.9K35.6K-1.5K10.00111.81N/AN/A110313564
2023-03-07$20.48$20.0010.5%4.8%13.4%5.5%20.9%6.0%-9.0%-26.1K117.3K-1.4K1.50106.16N/AN/A23314571
2023-03-08$20.44$21.0010.7%4.5%13.4%5.8%7.4%0.3%-14.0%-26.0K122.2K-1.6K0.00110.12N/AN/A40315573
2023-03-09$19.93$21.0010.6%3.4%15.8%5.6%18.1%11.1%6.2%-12.2K238.2K-1.6K122.00105.51N/AN/A1122317573
2023-03-10$19.15$21.0019.0%4.5%20.5%15.1%17.2%1.9%5.1%-22.3K353.7K-1.9K2.40112.55N/AN/A1024317555
2023-03-13$18.79$21.0037.3%7.3%21.1%35.6%26.6%3.3%-5.4%-19.7K439.6K-2.0K0.22111.32N/AN/A11124322558
2023-03-14$19.04$21.0059.8%7.2%21.8%60.9%37.6%8.4%-4.1%-18.4K236.4K-2.4K0.95110.24N/AN/A2120401618
2023-03-15$18.70$21.0025.2%7.2%22.1%22.0%28.5%3.1%-3.6%-22.7K453.2K-2.4K0.13110.44N/AN/A405420628
2023-03-16$19.11$21.0021.2%6.1%24.1%17.5%0.0%6.0%57.9%-25.1K310.6K-2.5K0.13110.35N/AN/A81453632
2023-03-17$18.60$21.0020.5%5.9%25.3%16.7%29.6%10.5%5.8%-9.5K457.9K-2.6K1.29107.17N/AN/A2431453632
2023-03-20$18.14$21.0024.8%7.1%26.0%21.6%26.3%-4.3%2.8%-11.1K238.3K-2.7K0.0396.90N/AN/A351290395
2023-03-21$18.36$21.0025.0%7.2%25.4%21.8%24.1%10.0%1.0%-11.6K204.9K-2.7K0.1398.84N/AN/A152329395
2023-03-22$18.34$21.0024.8%7.1%25.4%21.5%24.4%12.8%4.6%-8.8K174.7K-2.9K0.2097.32N/AN/A51344395
2023-03-23$18.02$21.0016.8%4.8%25.2%12.6%15.4%6.6%10.5%-15.3K246.6K-2.8K0.06101.90N/AN/A543346395
2023-03-24$18.07$21.0017.5%5.0%25.4%13.4%17.5%2.9%9.7%-11.5K197.6K-3.1K1.0695.90N/AN/A1718400398
2023-03-27$18.29$21.0023.4%6.7%25.9%20.0%18.6%-14.2%-4.8%-9.2K134.3K-3.1K0.00102.75N/AN/A02416404
2023-03-28$18.38$21.0021.9%6.3%26.0%18.3%0.0%-12.0%-9.3%-12.6K142.9K-3.0K0.00102.70N/AN/A80416404
2023-03-29$18.66$21.0021.0%6.0%27.0%17.3%33.1%-2.8%-6.4%-8.1K51.4K-3.2K1.25102.97N/AN/A1620418404
2023-03-30$18.82$20.0014.5%4.1%27.4%10.0%15.7%8.4%4.5%-7.7K8.5K-3.3K0.0092.46N/AN/A20427424
2023-03-31$19.13$20.0020.4%5.9%28.2%16.7%24.5%14.9%-1.7%-1.5K-58.0K-3.3K0.9293.27N/AN/A1312427424