PFFA Options History — September 2023 In September 2023, PFFA traded between $18.96 and $19.89. ATM implied volatility averaged 12.4%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.7% (HV 20d: 9.7%). 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 9 of 20 days. Put/call ratio averaged 1.93.
Notable Days 2023-09-18 : Highest Volume — 223 contracts2023-09-28 : Largest IV spike — 183.0% change2023-09-29 : Highest IV Rank — 17.6%2023-09-29 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $19.51 $18.96 $19.89 $19.89 $19.31 Max Pain $19.95 $19.00 $20.00 $19.00 $20.00 ATM IV 12.4% 5.6% 21.3% 9.0% 21.3% Expected Move 3.1% 1.3% 6.1% 2.6% 6.1% HV 20d 9.7% 8.2% 10.6% 9.3% 10.3% HV 60d 9.2% 9.0% 9.8% 9.0% 9.3% IV Rank 7.6% 0.0% 17.6% 3.7% 17.6% IV Percentile 33.4% 0.0% 82.1% 10.3% 82.1% Term Structure -5.2% -22.3% 7.5% -2.3% -22.3% VWIV 10.4% 4.6% 20.7% 9.4% 12.5% Skew 25d 12.0% -2.9% 62.1% 1.4% 1.9% Skew 10d 35.9% -13.0% 82.0% 2.2% 39.9% Call IV 25d 10.6% 6.9% 18.8% 10.0% 14.6% Put IV 25d 22.7% 5.9% 71.7% 11.4% 16.5% Bid-Ask Spread % 116.03 106.85 123.90 106.85 114.62 Gamma HHI 0.69 0.41 0.92 0.92 0.69 Net GEX 39.3K 9.4K 103.2K 103.2K 16.3K Net DEX -160.6K -550.4K -20.4K -550.4K -49.8K Net VEX -531 -880 -150 -519 -703 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.93 0.00 14.00 0.10 3.00 Total Volume 19.35 0 223 23 4 Total OI 536.95 177 820 820 382
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 2023-09-01 $19.89 $19.00 9.0% 2.6% 9.3% 3.7% 9.4% 1.4% -2.3% 103.2K -550.4K -519 0.10 106.85 N/A N/A 21 2 460 360 2023-09-05 $19.73 $20.00 10.3% 1.5% 9.7% 5.1% 5.8% -1.6% 0.8% 67.4K -281.1K -536 0.00 123.90 N/A N/A 5 0 363 360 2023-09-06 $19.66 $20.00 11.1% 1.3% 9.8% 6.0% 0.0% 3.1% 0.9% 69.7K -235.3K -459 0.00 121.35 N/A N/A 0 0 365 360 2023-09-07 $19.64 $20.00 8.7% 1.9% 9.8% 3.4% 0.0% 13.1% 0.8% 64.0K -182.1K -502 0.00 118.80 N/A N/A 0 3 365 360 2023-09-08 $19.66 $20.00 12.4% 1.3% 9.8% 7.5% 0.0% 56.9% 3.2% 65.0K -206.8K -587 0.00 118.88 N/A N/A 0 4 365 363 2023-09-11 $19.63 $20.00 10.0% 2.7% 9.8% 4.8% 12.1% -0.1% 0.8% 50.5K -131.9K -460 0.00 120.35 N/A N/A 0 15 365 366 2023-09-12 $19.63 $20.00 17.8% 2.9% 9.8% 13.6% 0.0% -0.1% 1.0% 56.1K -151.9K -348 0.00 120.18 N/A N/A 0 3 365 360 2023-09-13 $19.59 $20.00 7.5% 2.2% 9.5% 2.0% 0.0% 10.9% 0.3% 29.1K -116.2K -361 0.00 118.30 N/A N/A 0 0 365 361 2023-09-14 $19.73 $20.00 5.6% 1.6% 9.9% 0.0% 0.0% 62.1% 7.5% 69.2K -264.7K -244 0.80 118.07 N/A N/A 5 4 365 358 2023-09-15 $19.68 $20.00 7.1% 2.0% 9.7% 1.7% 0.0% -0.2% 6.7% 9.4K -104.2K -339 0.80 118.44 N/A N/A 5 4 360 358 2023-09-18 $19.77 $20.00 9.2% 2.6% 9.8% 4.0% 7.0% 34.8% -2.2% 9.7K -119.2K -150 0.19 115.52 N/A N/A 188 35 106 71 2023-09-19 $19.77 $20.00 11.0% 3.2% 8.4% 6.1% 0.0% 2.7% -2.3% 37.9K -238.6K -757 0.00 116.86 N/A N/A 5 0 294 66 2023-09-20 $19.63 $20.00 13.3% 3.8% 8.2% 8.6% 20.7% 3.2% -1.1% 30.6K -220.8K -880 0.00 113.49 N/A N/A 0 1 298 66 2023-09-21 $19.29 $20.00 16.7% 4.8% 9.8% 12.4% 16.9% 0.9% -19.5% 28.4K -131.3K -819 0.00 112.25 N/A N/A 0 8 298 65 2023-09-22 $19.31 $20.00 17.3% 5.0% 9.9% 13.1% 0.0% -2.9% -16.6% 25.6K -104.5K -690 0.00 113.37 N/A N/A 14 0 298 65 2023-09-25 $19.16 $20.00 17.3% 5.0% 10.2% 13.1% 0.0% 2.5% -19.8% 14.8K -52.2K -608 0.43 113.90 N/A N/A 7 3 284 65 2023-09-26 $19.05 $20.00 15.0% 4.3% 10.3% 10.5% 5.1% 16.7% -17.4% 12.0K -26.6K -579 0.00 112.68 N/A N/A 0 4 277 66 2023-09-27 $18.96 $20.00 7.0% 2.0% 9.7% 1.6% 4.6% 24.6% -1.9% 10.5K -20.4K -563 14.00 110.14 N/A N/A 1 14 277 68 2023-09-28 $19.19 $20.00 19.9% 5.7% 10.6% 16.0% 10.3% 10.8% -20.4% 16.1K -24.1K -515 3.00 112.62 N/A N/A 8 24 278 71 2023-09-29 $19.31 $20.00 21.3% 6.1% 10.3% 17.6% 12.5% 1.9% -22.3% 16.3K -49.8K -703 0.00 114.62 N/A N/A 0 4 288 94
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