PFFA Options History — July 2023 In July 2023, PFFA traded between $19.34 and $19.84. ATM implied volatility averaged 12.0%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.1% (HV 20d: 10.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.81.
Notable Days 2023-07-03 : Highest Volume — 93 contracts2023-07-05 : Largest IV spike — 114.8% change2023-07-05 : Highest IV Rank — 16.8%2023-07-05 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.67 $19.34 $19.84 $19.63 $19.84 Max Pain $19.24 $19.00 $20.00 $19.00 $20.00 ATM IV 12.0% 6.5% 20.7% 9.6% 7.6% Expected Move 3.1% 1.9% 5.9% 2.8% 2.2% HV 20d 10.0% 8.5% 10.4% 8.5% 9.2% HV 60d 12.6% 11.5% 13.0% 12.7% 11.5% IV Rank 7.1% 1.0% 16.8% 4.4% 2.1% IV Percentile 23.6% 0.8% 67.1% 10.3% 2.0% Term Structure 0.3% -5.5% 6.5% 0.7% -0.7% VWIV 16.4% 7.1% 28.6% 28.6% 11.1% Skew 25d 8.6% 0.3% 107.2% 107.2% 5.0% Skew 10d 29.2% -0.7% 151.3% 151.3% 2.8% Call IV 25d 8.6% 6.0% 23.4% 23.4% 6.3% Put IV 25d 17.2% 8.3% 130.7% 130.7% 11.3% Bid-Ask Spread % 111.34 99.94 116.73 105.69 107.77 Gamma HHI 0.45 0.34 0.64 0.34 0.64 Net GEX 63.7K 25.8K 88.6K 25.8K 84.8K Net DEX -458.1K -512.9K -330.2K -470.5K -495.4K Net VEX -1.2K -1.7K -643 -1.7K -850 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.00 10.00 0.00 10.00 Total Volume 24.5 1 93 93 11 Total OI 829.25 684 901 811 753
Daily Data (20 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 2023-07-03 $19.63 $19.00 9.6% 2.8% 8.5% 4.4% 0.0% 107.2% 0.7% 25.8K -470.5K -1.7K 0.00 105.69 N/A N/A 93 0 492 319 2023-07-05 $19.55 $19.00 20.7% 5.9% 8.7% 16.8% 28.6% 2.0% -5.5% 62.8K -505.5K -1.6K 0.00 107.57 N/A N/A 0 3 580 319 2023-07-06 $19.34 $0.00 11.5% 3.8% 9.6% 6.5% 0.0% 3.8% -0.7% 64.0K -399.4K -1.4K 0.00 112.63 N/A N/A 0 1 580 320 2023-07-07 $19.54 $0.00 18.7% 3.3% 10.2% 14.6% 0.0% 3.4% 6.5% 85.3K -492.5K -1.4K 0.00 113.43 N/A N/A 87 0 580 321 2023-07-10 $19.59 $0.00 20.2% 4.2% 10.2% 16.3% 11.6% 4.9% -0.4% 63.4K -476.8K -1.4K 2.00 115.75 N/A N/A 2 4 553 321 2023-07-11 $19.63 $19.00 20.3% 2.6% 10.2% 16.4% 0.0% 5.5% 1.4% 50.5K -477.6K -1.6K 0.00 113.54 N/A N/A 26 0 552 324 2023-07-12 $19.73 $19.00 8.6% 2.5% 10.2% 3.2% 0.0% 1.6% 0.4% 58.5K -472.7K -1.2K 0.00 116.73 N/A N/A 5 0 527 324 2023-07-13 $19.75 $19.00 8.2% 2.3% 10.2% 2.8% 0.0% 2.9% -1.0% 60.1K -493.6K -1.3K 0.10 110.30 N/A N/A 51 5 527 324 2023-07-14 $19.64 $19.00 13.3% 3.8% 10.4% 8.6% 0.0% 5.7% 4.4% 75.2K -428.2K -1.0K 0.00 112.80 N/A N/A 0 11 521 330 2023-07-17 $19.63 $19.00 14.4% 4.1% 10.4% 9.8% 0.0% 5.5% -0.6% 86.9K -418.1K -1.1K 0.04 114.95 N/A N/A 27 1 521 341 2023-07-18 $19.76 $19.00 9.9% 2.8% 10.4% 4.7% 0.0% 1.3% -3.4% 60.5K -511.9K -1.1K 0.00 115.66 N/A N/A 3 0 539 342 2023-07-19 $19.84 $19.00 13.5% 3.9% 9.5% 8.8% 0.0% 5.6% 1.4% 54.6K -512.9K -1.3K 0.00 113.57 N/A N/A 46 0 539 342 2023-07-20 $19.66 $19.00 8.6% 2.5% 10.3% 3.2% 0.0% 2.4% 4.4% 53.5K -411.4K -1.1K 0.00 110.76 N/A N/A 1 0 503 342 2023-07-21 $19.64 $19.00 12.8% 3.7% 10.2% 7.9% 0.0% 3.0% 3.5% 34.6K -330.2K -1.3K 0.00 114.70 N/A N/A 10 0 502 342 2023-07-24 $19.71 $19.00 11.2% 3.2% 10.2% 6.2% 7.1% 3.9% 0.1% 62.2K -429.6K -785 0.00 115.38 N/A N/A 52 0 400 284 2023-07-25 $19.69 $19.00 9.5% 2.7% 10.0% 4.2% 11.4% 1.5% 0.0% 80.9K -469.7K -970 0.20 111.07 N/A N/A 25 5 472 284 2023-07-26 $19.79 $20.00 8.6% 2.5% 10.1% 3.3% 0.0% 2.5% 0.9% 88.6K -486.5K -643 0.00 106.27 N/A N/A 1 0 467 289 2023-07-27 $19.72 $20.00 6.5% 1.9% 10.3% 1.0% 28.5% 0.3% -3.5% 66.5K -449.7K -1.1K 0.60 108.37 N/A N/A 10 6 468 289 2023-07-28 $19.73 $20.00 7.4% 2.1% 10.3% 2.0% 0.0% 3.9% -0.9% 56.0K -429.2K -1.1K 0.00 99.94 N/A N/A 0 4 458 294 2023-07-31 $19.84 $20.00 7.6% 2.2% 9.2% 2.1% 11.1% 5.0% -0.7% 84.8K -495.4K -850 10.00 107.77 N/A N/A 1 10 458 295
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