PFFA Options History — October 2023

In October 2023, PFFA traded between $17.99 and $19.06. ATM implied volatility averaged 15.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.7% (HV 20d: 13.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2023-10-03: Highest Volume — 100 contracts
  • 2023-10-19: Largest IV spike — 77.7% change
  • 2023-10-19: Highest IV Rank — 20.2%
  • 2023-10-19: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.48$17.99$19.06$19.06$18.19
Max Pain$19.50$19.00$20.00$20.00$19.00
ATM IV15.0%8.5%23.6%8.8%15.8%
Expected Move4.1%2.4%6.8%2.5%4.5%
HV 20d13.2%9.6%14.5%10.9%9.6%
HV 60d10.7%9.4%11.1%9.4%11.1%
IV Rank10.5%3.3%20.2%3.5%11.4%
IV Percentile50.4%8.3%92.1%10.3%60.7%
Term Structure-4.1%-20.4%5.8%-3.4%-5.3%
VWIV15.1%10.4%23.5%15.3%14.6%
Skew 25d12.5%1.7%27.8%27.8%11.0%
Skew 10d33.0%16.4%67.0%50.5%17.1%
Call IV 25d10.5%6.2%16.8%11.2%10.7%
Put IV 25d22.9%13.4%39.0%39.0%21.8%
Bid-Ask Spread %115.97102.58123.89112.23110.02
Gamma HHI0.440.280.640.430.32
Net GEX-7.0K-20.6K7.0K904-3.9K
Net DEX160.4K1.9K217.7K1.9K139.4K
Net VEX-591-710-461-603-601
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.006.000.000.00
Total Volume12010018
Total OI445.318360514384389

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$19.06$20.008.8%2.5%10.9%3.5%0.0%27.8%-3.4%9041.9K-6030.00112.23N/AN/A1028896
2023-10-03$18.59$20.0014.0%4.0%13.5%9.4%15.3%4.9%-4.3%7.0K34.9K-5860.00109.42N/AN/A010028996
2023-10-04$18.59$20.0013.4%3.8%13.5%8.8%23.5%6.5%-2.7%-6.8K184.1K-6810.00111.23N/AN/A01289191
2023-10-05$18.57$20.0013.7%3.2%13.5%9.1%0.0%15.2%4.7%-6.6K187.6K-6510.00123.89N/AN/A010289191
2023-10-06$18.55$20.0015.0%3.6%13.5%10.5%0.0%15.1%-0.7%-5.5K175.5K-7100.00121.21N/AN/A03289200
2023-10-09$18.66$20.0014.4%3.3%13.8%9.9%0.0%15.8%-0.7%-9.4K169.2K-7070.00121.82N/AN/A01290201
2023-10-10$18.73$20.0014.5%3.2%14.0%10.0%0.0%15.3%3.6%-12.7K176.6K-6440.00122.89N/AN/A00290202
2023-10-11$18.88$20.0011.9%3.4%14.5%7.0%15.8%7.1%4.1%-20.6K151.3K-6730.00122.21N/AN/A01290202
2023-10-12$18.76$20.0011.4%3.3%14.1%6.5%10.4%15.7%2.8%-15.5K178.8K-6190.00121.78N/AN/A20290203
2023-10-13$18.71$20.008.5%2.4%14.1%3.3%0.0%17.0%5.8%-14.7K193.7K-5816.00119.68N/AN/A16291203
2023-10-16$18.74$20.0011.4%3.3%14.0%6.5%12.2%1.7%-1.2%-18.4K199.7K-5340.50116.31N/AN/A21291203
2023-10-17$18.63$19.0012.2%3.5%14.0%7.4%12.6%9.9%-4.9%-10.8K217.7K-5080.00118.38N/AN/A10293203
2023-10-18$18.52$19.0013.3%3.8%13.9%8.6%0.0%8.2%-5.9%-5.9K204.5K-5970.77119.29N/AN/A1310295203
2023-10-19$18.40$19.0023.6%6.8%12.9%20.2%0.0%19.1%-20.4%-4.9K195.4K-6051.00120.24N/AN/A11304207
2023-10-20$18.16$19.0022.2%6.4%13.4%18.7%18.7%13.6%-15.6%-5.6K215.3K-5870.63115.32N/AN/A3019305209
2023-10-23$18.13$19.0023.4%6.7%13.3%20.0%0.0%18.4%-11.9%-2.3K140.9K-5460.00113.79N/AN/A40201159
2023-10-24$18.27$19.0020.6%5.9%13.7%16.8%0.0%6.8%-17.2%-4.5K146.1K-5190.00112.46N/AN/A180202159
2023-10-25$18.18$19.0023.3%6.7%13.7%19.8%0.0%15.9%-16.1%-3.3K133.6K-5890.25115.30N/AN/A41203159
2023-10-26$18.17$19.0010.6%3.0%12.7%5.6%0.0%9.8%1.7%-4.0K159.1K-4750.00113.33N/AN/A170208160
2023-10-27$17.99$19.0012.8%3.7%12.5%8.0%12.5%9.1%-2.6%-3.0K157.0K-5340.00102.58N/AN/A20220161
2023-10-30$18.03$19.0014.6%4.2%12.1%10.1%14.6%10.4%0.2%-2.6K166.4K-4610.00107.94N/AN/A06222161
2023-10-31$18.19$19.0015.8%4.5%9.6%11.4%0.0%11.0%-5.3%-3.9K139.4K-6010.00110.02N/AN/A80222167