PFFA Options History — August 2023

In August 2023, PFFA traded between $19.05 and $19.84. ATM implied volatility averaged 9.8%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.8% (HV 20d: 8.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.02.

Notable Days

  • 2023-08-16: Highest Volume — 74 contracts
  • 2023-08-28: Largest IV spike — 52.1% change
  • 2023-08-28: Highest IV Rank — 9.4%
  • 2023-08-28: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.55$19.05$19.84$19.84$19.83
Max Pain$19.09$19.00$20.00$20.00$19.00
ATM IV9.8%6.7%14.0%7.8%6.7%
Expected Move2.7%1.4%4.0%2.2%1.9%
HV 20d8.0%6.4%9.6%8.4%9.6%
HV 60d9.4%8.8%9.8%9.6%9.0%
IV Rank4.6%1.1%9.4%2.4%1.1%
IV Percentile15.0%1.6%39.7%2.4%1.6%
Term Structure5.4%-4.8%64.5%3.0%0.7%
VWIV17.4%4.2%42.2%33.0%15.8%
Skew 25d5.2%-2.1%11.6%5.1%11.6%
Skew 10d18.1%-0.7%64.3%2.8%10.5%
Call IV 25d7.9%5.1%11.6%6.5%7.7%
Put IV 25d13.1%7.1%19.3%11.6%19.3%
Bid-Ask Spread %104.07101.43107.51107.09104.90
Gamma HHI0.510.350.720.640.56
Net GEX61.7K36.1K85.7K83.3K55.9K
Net DEX-345.2K-486.6K-156.1K-486.6K-471.4K
Net VEX-954-1.3K-617-849-780
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.005.500.030.00
Total Volume13.3040743111
Total OI797.522742872762814

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$19.84$20.007.8%2.2%8.4%2.4%33.0%5.1%3.0%83.3K-486.6K-8490.03107.09N/AN/A301458304
2023-08-02$19.73$20.009.3%2.7%8.5%4.0%0.0%5.1%1.8%65.0K-393.5K-9180.00103.14N/AN/A00441305
2023-08-03$19.57$19.0013.3%3.7%8.1%8.6%13.1%-0.0%-4.8%45.1K-323.4K-1.1K0.00101.43N/AN/A015443305
2023-08-04$19.72$19.009.0%1.4%7.7%3.8%5.6%7.3%1.8%58.3K-403.4K-9370.00103.87N/AN/A230443301
2023-08-07$19.73$19.009.2%1.9%7.7%3.9%4.2%8.3%2.3%73.8K-409.7K-8180.00104.33N/AN/A60445301
2023-08-08$19.76$19.0010.8%3.2%7.7%5.8%11.0%3.5%-3.8%80.2K-407.3K-8590.12104.41N/AN/A344441301
2023-08-09$19.70$19.006.9%2.0%7.5%1.3%0.0%7.0%1.5%60.6K-384.9K-1.1K0.00103.75N/AN/A00471305
2023-08-10$19.68$19.009.0%2.6%7.5%3.7%42.2%9.4%3.4%59.9K-383.9K-1.2K0.64103.56N/AN/A3321471305
2023-08-11$19.68$19.009.5%2.7%7.2%4.2%12.8%7.5%-0.0%65.5K-418.6K-1.2K0.00101.75N/AN/A011500306
2023-08-14$19.68$19.007.8%2.2%7.2%2.4%42.0%8.3%2.2%85.7K-419.0K-9900.00102.90N/AN/A010500316
2023-08-15$19.56$19.008.0%2.3%7.1%2.6%0.0%7.5%-1.4%77.3K-370.7K-9260.00101.43N/AN/A00500318
2023-08-16$19.58$19.0011.5%3.3%7.0%6.5%11.1%5.2%-4.2%72.3K-380.8K-9150.85104.14N/AN/A4034500318
2023-08-17$19.48$19.0011.8%3.4%6.4%6.8%10.6%5.6%64.5%73.4K-344.8K-9250.75102.25N/AN/A43517352
2023-08-18$19.45$19.0012.0%3.4%6.5%7.1%22.0%5.4%6.2%36.1K-285.1K-1.3K1.33106.40N/AN/A34519353
2023-08-21$19.20$19.0010.1%2.9%7.6%4.9%11.5%2.2%7.9%44.2K-210.9K-1.1K5.50107.51N/AN/A211450347
2023-08-22$19.05$19.009.5%2.7%8.0%4.2%11.4%-0.9%9.0%42.3K-156.1K-9043.00105.36N/AN/A13452358
2023-08-23$19.27$19.0011.2%3.2%9.0%6.2%0.0%0.3%5.4%48.8K-218.1K-9730.00105.77N/AN/A00453361
2023-08-24$19.27$19.0011.5%3.3%8.9%6.5%0.0%2.8%9.5%49.2K-222.4K-9380.00104.52N/AN/A00453361
2023-08-25$19.32$19.009.2%2.6%9.0%4.0%0.0%-2.1%9.4%53.3K-241.1K-8120.00103.29N/AN/A00453361
2023-08-28$19.38$19.0014.0%4.0%8.8%9.4%0.0%6.0%7.7%53.7K-274.1K-9580.00104.29N/AN/A00453361
2023-08-29$19.55$19.007.8%2.2%9.5%2.3%17.6%9.3%0.5%56.8K-342.4K-8340.00102.56N/AN/A01453361
2023-08-30$19.65$19.008.8%2.5%9.5%3.5%14.6%6.2%1.1%78.7K-392.4K-6170.00104.96N/AN/A10453360
2023-08-31$19.83$19.006.7%1.9%9.6%1.1%15.8%11.6%0.7%55.9K-471.4K-7800.00104.90N/AN/A110454360