PFFA Options History — June 2023

In June 2023, PFFA traded between $18.74 and $19.41. ATM implied volatility averaged 13.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.3% (HV 20d: 10.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2023-06-02: Highest Volume — 62 contracts
  • 2023-06-21: Largest IV spike — 154.8% change
  • 2023-06-12: Highest IV Rank — 22.8%
  • 2023-06-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.02$18.74$19.41$18.74$19.41
Max Pain$18.14$18.00$19.00$18.00$19.00
ATM IV13.0%5.7%26.6%9.3%10.2%
Expected Move3.3%1.6%5.4%2.7%2.9%
HV 20d10.6%8.8%15.7%15.7%8.8%
HV 60d15.0%12.1%20.0%19.7%12.5%
IV Rank7.9%0.0%22.8%4.2%5.0%
IV Percentile25.0%0.0%87.7%8.3%14.3%
Term Structure3.8%-5.7%10.6%-0.9%1.9%
VWIV15.2%9.1%27.3%13.2%11.3%
Skew 25d23.2%-2.8%86.7%11.7%-0.8%
Skew 10d48.2%-5.9%117.6%20.3%79.9%
Call IV 25d12.1%8.1%20.4%10.4%10.8%
Put IV 25d35.2%10.1%95.0%22.0%10.1%
Bid-Ask Spread %110.7794.34125.3194.34104.29
Gamma HHI0.470.360.740.430.44
Net GEX50.7K9.7K197.7K29.1K63.0K
Net DEX-333.6K-526.7K1.6K-281.4K-412.0K
Net VEX-2.1K-2.9K-1.3K-2.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.800.000.00
Total Volume12.714062133
Total OI1,012.7147861,2021,190815

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$18.74$18.009.3%2.7%15.7%4.2%13.2%11.7%-0.9%29.1K-281.4K-2.9K0.0094.34N/AN/A130765425
2023-06-02$18.99$18.008.5%2.4%11.8%3.3%16.5%8.0%3.3%47.5K-526.7K-2.2K0.22100.92N/AN/A5111777425
2023-06-05$19.03$18.0011.4%4.4%11.5%6.5%17.2%3.1%-1.7%97.4K-419.7K-2.5K0.27120.96N/AN/A113739432
2023-06-06$19.11$18.009.6%3.2%11.5%4.6%0.0%4.3%6.2%71.6K-521.9K-2.4K0.05122.72N/AN/A221749431
2023-06-07$19.13$18.0013.5%4.7%10.7%8.4%0.0%3.8%3.0%30.6K-476.9K-2.7K0.00125.31N/AN/A00757432
2023-06-08$19.12$18.0026.5%5.4%10.7%22.7%0.0%2.5%-5.7%50.4K-495.4K-2.5K0.00121.69N/AN/A00737432
2023-06-09$19.11$18.0019.4%3.6%10.3%14.7%0.0%4.2%5.3%41.4K-480.6K-2.5K0.00116.00N/AN/A00737432
2023-06-12$19.08$18.0026.6%3.4%10.4%22.8%0.0%54.0%4.2%36.2K-404.5K-2.2K0.00121.15N/AN/A04698432
2023-06-13$19.10$18.0017.8%3.0%10.4%12.8%11.7%5.0%7.2%67.3K-446.7K-2.2K1.83122.30N/AN/A611698432
2023-06-14$19.04$19.0013.1%3.7%10.5%7.5%19.2%-2.8%1.9%58.0K-383.2K-2.1K2.00119.36N/AN/A36701440
2023-06-15$19.05$19.009.1%2.6%9.9%3.1%27.3%62.6%8.9%81.3K-371.8K-2.1K2.80114.81N/AN/A1028690442
2023-06-16$18.98$18.0010.9%3.1%10.0%5.1%11.7%63.1%5.9%197.7K-303.3K-2.3K0.29109.19N/AN/A72695460
2023-06-20$18.80$18.005.7%1.6%10.7%0.0%12.8%-1.5%4.7%17.0K1.6K-1.9K0.24100.52N/AN/A174468318
2023-06-21$18.88$18.0014.5%4.2%10.7%9.9%14.5%86.7%0.3%16.5K-138.4K-2.1K0.12101.79N/AN/A253485318
2023-06-22$18.82$18.0013.2%3.8%10.8%8.5%17.9%4.4%10.6%13.3K-130.7K-2.2K0.17104.30N/AN/A61497321
2023-06-23$18.84$18.009.2%2.6%10.0%4.0%0.0%2.8%8.8%11.6K-133.8K-2.0K2.50108.01N/AN/A25498321
2023-06-26$19.00$18.0014.2%4.1%9.9%9.6%14.5%0.4%1.3%9.7K-234.1K-1.6K0.00106.61N/AN/A40500316
2023-06-27$19.03$18.0011.7%3.3%9.8%6.7%0.0%73.7%0.4%17.3K-244.2K-1.8K0.00108.34N/AN/A00504316
2023-06-28$19.09$18.009.5%2.7%9.8%4.3%0.0%67.4%5.8%24.1K-295.2K-1.6K0.00100.97N/AN/A05504316
2023-06-29$19.13$18.008.2%2.3%9.2%2.8%9.1%34.3%8.7%83.9K-306.0K-1.3K0.00102.50N/AN/A03496316
2023-06-30$19.41$19.0010.2%2.9%8.8%5.0%11.3%-0.8%1.9%63.0K-412.0K-1.4K0.00104.29N/AN/A30496319