PFFA Options History — April 2023 In April 2023, PFFA traded between $18.65 and $19.37. ATM implied volatility averaged 20.4%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.2% (HV 20d: 18.2%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.47.
Notable Days 2023-04-03 : Highest Volume — 55 contracts2023-04-13 : Largest IV spike — 119.4% change2023-04-13 : Highest IV Rank — 48.2%2023-04-13 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.13 $18.65 $19.37 $19.33 $19.03 Max Pain $18.95 $18.00 $21.00 $20.00 $19.00 ATM IV 20.4% 11.9% 48.5% 17.0% 17.5% Expected Move 5.9% 3.4% 13.9% 4.9% 5.0% HV 20d 18.2% 11.5% 28.5% 28.5% 11.9% HV 60d 19.3% 19.0% 20.0% 20.0% 19.1% IV Rank 16.7% 7.1% 48.2% 12.9% 13.4% IV Percentile 59.0% 23.0% 98.0% 51.6% 52.0% Term Structure -2.1% -8.9% 11.3% 0.3% -0.2% VWIV 32.7% 13.2% 139.1% 30.8% 139.1% Skew 25d 4.0% -10.9% 29.0% 9.7% 5.6% Skew 10d 12.4% -6.2% 51.9% 4.3% 3.3% Call IV 25d 16.2% 9.3% 26.9% 9.3% 10.5% Put IV 25d 20.2% 10.0% 55.9% 19.0% 16.2% Bid-Ask Spread % 111.84 98.62 136.19 103.46 105.75 Gamma HHI 0.37 0.34 0.42 0.39 0.36 Net GEX 2.8K -5.5K 9.2K -1.9K 4.9K Net DEX -91.4K -163.3K 11.6K -126.3K -85.7K Net VEX -3.0K -3.3K -2.6K -3.3K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.47 0.00 2.50 0.00 0.00 Total Volume 10.211 0 55 55 14 Total OI 859.263 791 894 874 826
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 2023-04-03 $19.33 $20.00 17.0% 4.9% 28.5% 12.9% 0.0% 9.7% 0.3% -1.9K -126.3K -3.3K 0.00 103.46 N/A N/A 55 0 440 434 2023-04-04 $19.28 $21.00 18.9% 5.4% 28.4% 15.0% 30.8% 5.3% -0.2% 1.8K -100.0K -3.2K 0.67 100.04 N/A N/A 3 2 429 434 2023-04-05 $19.25 $20.00 19.4% 5.6% 28.4% 15.5% 16.0% 16.0% -0.9% 3.5K -99.8K -3.1K 0.00 105.99 N/A N/A 14 0 433 434 2023-04-06 $19.34 $18.00 20.3% 5.2% 27.2% 16.5% 0.0% 9.4% 5.8% 6.6K -123.7K -3.2K 0.00 121.29 N/A N/A 0 0 442 434 2023-04-10 $19.27 $18.00 21.4% 7.4% 23.2% 17.8% 0.0% 2.1% 4.4% 5.6K -135.2K -3.1K 0.50 120.93 N/A N/A 4 2 442 434 2023-04-11 $19.37 $18.00 21.1% 6.6% 22.0% 17.5% 0.0% 8.8% -1.1% 6.4K -163.3K -3.0K 0.00 116.54 N/A N/A 0 10 440 434 2023-04-12 $19.27 $18.00 22.1% 6.3% 21.7% 18.6% 0.0% 2.8% -1.2% 5.5K -131.1K -3.1K 0.00 118.01 N/A N/A 0 1 440 434 2023-04-13 $19.34 $18.00 48.5% 13.9% 20.6% 48.2% 0.0% 29.0% -6.6% 7.4K -159.1K -3.0K 0.00 136.19 N/A N/A 0 2 440 435 2023-04-14 $19.23 $18.00 23.3% 6.7% 19.3% 19.9% 22.8% 8.5% -4.8% -1.2K -90.5K -2.9K 0.00 118.42 N/A N/A 11 0 435 435 2023-04-17 $19.25 $18.00 16.6% 4.7% 16.4% 12.3% 0.0% 5.9% -5.1% 2.4K -110.3K -2.9K 0.00 115.43 N/A N/A 7 0 444 435 2023-04-18 $19.26 $18.00 20.0% 5.7% 13.0% 16.1% 16.1% -2.8% -5.6% 9.2K -106.7K -2.9K 0.80 118.06 N/A N/A 5 4 445 436 2023-04-19 $19.23 $19.00 16.7% 4.8% 12.6% 12.5% 33.8% -1.3% -2.4% 7.4K -116.7K -2.6K 0.00 116.00 N/A N/A 0 9 448 440 2023-04-20 $19.02 $20.00 16.8% 4.8% 13.5% 12.5% 0.0% -6.2% -3.6% 1.0K -49.8K -2.7K 1.00 108.78 N/A N/A 1 1 447 447 2023-04-21 $18.98 $19.00 16.8% 4.8% 11.5% 12.6% 16.8% -8.0% -5.4% -5.5K -48.5K -2.9K 0.00 110.96 N/A N/A 0 9 447 440 2023-04-24 $18.94 $20.00 18.8% 5.4% 11.6% 14.8% 17.0% 5.6% -7.2% 3.2K -75.3K -2.9K 0.33 98.62 N/A N/A 3 1 441 350 2023-04-25 $18.66 $20.00 11.9% 3.4% 12.5% 7.1% 13.2% -1.2% 11.3% -3.5K 11.6K -2.8K 0.33 103.66 N/A N/A 18 6 444 351 2023-04-26 $18.65 $19.00 19.0% 5.4% 12.4% 15.0% 21.9% -10.9% -8.9% -952 8.7K -2.8K 2.50 104.51 N/A N/A 2 5 458 357 2023-04-27 $18.82 $19.00 22.4% 6.4% 11.7% 18.9% 0.0% -2.7% -8.8% 1.6K -34.6K -3.0K 0.00 102.28 N/A N/A 5 0 460 361 2023-04-28 $19.03 $19.00 17.5% 5.0% 11.9% 13.4% 139.1% 5.6% -0.2% 4.9K -85.7K -2.8K 0.00 105.75 N/A N/A 14 0 465 361
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