PFFA Options History — May 2023

In May 2023, PFFA traded between $17.97 and $19.01. ATM implied volatility averaged 16.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.5% (HV 20d: 15.3%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.54.

Notable Days

  • 2023-05-19: Highest Volume — 150 contracts
  • 2023-05-04: Largest IV spike — 110.0% change
  • 2023-05-09: Highest IV Rank — 24.2%
  • 2023-05-08: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.27$17.97$19.01$19.01$18.43
Max Pain$19.05$18.00$20.00$19.00$18.00
ATM IV16.8%11.1%27.2%15.1%16.8%
Expected Move4.6%3.2%6.2%4.3%4.8%
HV 20d15.3%10.4%16.8%10.4%14.8%
HV 60d19.6%18.9%20.1%18.9%19.5%
IV Rank12.6%6.2%24.2%10.7%12.6%
IV Percentile43.3%15.9%88.9%36.5%44.4%
Term Structure2.9%-5.2%13.5%6.5%3.5%
VWIV13.3%8.9%18.4%17.6%14.4%
Skew 25d7.1%-2.3%16.3%4.7%7.9%
Skew 10d20.3%0.8%71.9%2.0%10.3%
Call IV 25d13.1%7.9%24.2%10.4%11.6%
Put IV 25d20.2%11.1%28.0%15.2%19.5%
Bid-Ask Spread %101.1488.90109.86105.2593.06
Gamma HHI0.460.360.630.360.46
Net GEX-2.1K-43.9K28.4K5.8K28.4K
Net DEX89.9K-122.8K300.6K-85.0K-116.7K
Net VEX-2.8K-3.2K-2.5K-2.8K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.540.0072.000.500.80
Total Volume23.9090150345
Total OI997.7738261,1958261,195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$19.01$19.0015.1%4.3%10.4%10.7%17.6%4.7%6.5%5.8K-85.0K-2.8K0.50105.25N/AN/A21465361
2023-05-02$18.65$19.0014.7%4.2%11.6%10.3%9.0%1.8%12.5%1.4K15.2K-2.9K1.33101.34N/AN/A68467362
2023-05-03$18.50$19.0011.8%3.4%11.8%7.1%0.0%0.9%9.5%-26645.3K-2.9K0.0099.25N/AN/A50467370
2023-05-04$17.97$20.0024.9%5.7%15.2%21.7%0.0%0.2%-4.6%-7.6K232.2K-2.5K1.20109.27N/AN/A2024472372
2023-05-05$18.15$20.0023.1%5.3%15.7%19.6%10.7%11.7%-1.9%-11.1K186.3K-2.5K0.67108.30N/AN/A32487387
2023-05-08$18.21$20.0017.3%6.2%15.8%13.2%0.0%16.3%-1.7%-7.1K146.2K-2.7K3.00106.34N/AN/A39490387
2023-05-09$18.04$20.0027.2%5.5%15.7%24.2%15.7%7.6%-4.5%-11.2K211.0K-2.5K72.00109.67N/AN/A172491394
2023-05-10$18.12$20.0015.7%4.5%15.9%11.3%0.0%10.4%3.7%-21.0K259.3K-2.7K0.00109.86N/AN/A05492457
2023-05-11$18.02$20.0016.2%4.6%15.7%11.9%0.0%11.4%3.7%-18.8K278.6K-2.7K0.00107.40N/AN/A01492462
2023-05-12$18.00$20.0018.7%5.4%15.7%14.8%0.0%8.8%-3.0%-22.3K300.6K-2.6K0.00105.22N/AN/A00492462
2023-05-15$18.08$20.0018.2%5.2%15.9%14.2%14.1%5.3%-5.2%-32.3K266.8K-2.6K1.86104.03N/AN/A713492462
2023-05-16$18.05$20.0015.4%4.4%15.9%11.0%15.2%4.3%3.7%-43.9K292.8K-2.6K1.4497.55N/AN/A913499476
2023-05-17$18.26$20.0015.9%4.6%16.7%11.6%16.3%12.3%0.9%-29.1K218.8K-2.6K0.00100.63N/AN/A260507483
2023-05-18$18.39$18.0012.8%3.7%16.7%8.1%12.8%15.0%13.5%-2.3K38.8K-2.7K1.25105.42N/AN/A45589483
2023-05-19$18.45$18.0011.1%3.2%16.8%6.2%9.8%2.4%10.1%-777-2.6K-2.6K0.09102.90N/AN/A13812590487
2023-05-22$18.40$18.0017.5%5.0%16.8%13.4%9.8%9.8%-0.5%20.7K-96.7K-3.1K0.1492.24N/AN/A71710400
2023-05-23$18.41$18.0019.5%5.6%16.1%15.7%8.9%10.4%-0.8%20.3K-122.8K-3.2K0.0094.95N/AN/A190717399
2023-05-24$18.23$18.0014.2%4.1%16.4%9.7%14.0%6.5%4.0%19.7K-27.3K-3.0K0.0095.56N/AN/A240737399
2023-05-25$18.13$18.0014.7%4.2%16.0%10.3%13.7%3.9%5.8%21.4K-14.0K-3.0K1.6788.90N/AN/A35761399
2023-05-26$18.13$18.0015.0%4.3%15.3%10.6%18.4%-2.3%2.3%21.5K-13.8K-3.0K0.2090.75N/AN/A51764404
2023-05-30$18.23$18.0013.8%4.0%15.5%9.3%12.8%6.1%7.0%21.7K-35.9K-2.9K0.0497.22N/AN/A261764405
2023-05-31$18.43$18.0016.8%4.8%14.8%12.6%14.4%7.9%3.5%28.4K-116.7K-2.7K0.8093.06N/AN/A2520790405