PFFA Options History — November 2023

In November 2023, PFFA traded between $18.62 and $19.37. ATM implied volatility averaged 8.3%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 7.4% (HV 20d: 15.7%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-11-03: Highest Volume — 143 contracts
  • 2023-11-06: Largest IV spike — 40.2% change
  • 2023-11-06: Highest IV Rank — 6.1%
  • 2023-11-08: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$18.62$19.37$18.62$19.37
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV8.3%4.9%11.0%9.1%8.9%
Expected Move2.4%1.4%3.1%2.6%2.6%
HV 20d15.7%12.9%16.9%12.9%13.8%
HV 60d13.4%12.2%13.7%12.2%13.6%
IV Rank3.3%0.0%6.1%3.9%4.5%
IV Percentile11.9%0.0%30.6%14.3%16.3%
Term Structure10.6%0.5%71.0%1.9%8.4%
VWIV9.3%5.7%16.0%9.7%9.6%
Skew 25d12.6%-0.1%56.1%6.8%1.2%
Skew 10d24.3%0.7%90.7%4.3%1.5%
Call IV 25d7.5%5.6%9.2%6.1%7.9%
Put IV 25d20.2%7.8%64.3%12.9%9.1%
Bid-Ask Spread %108.2698.45114.64106.2798.45
Gamma HHI0.610.450.790.460.49
Net GEX29.9K-10.1K73.7K-10.0K27.5K
Net DEX-83.3K-290.7K104.4K104.4K-290.7K
Net VEX-842-1.0K-624-624-988
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.500.670.00
Total Volume18.0480143011
Total OI494.286397573397524

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$18.62$19.009.1%2.6%12.9%3.9%0.0%6.8%1.9%-10.0K104.4K-6240.00106.27N/AN/A00230167
2023-11-02$18.95$19.009.3%2.5%14.3%4.1%9.7%56.1%4.6%-10.1K48.2K-6540.67114.07N/AN/A32230167
2023-11-03$19.29$19.007.9%2.5%15.5%2.5%8.0%4.5%4.1%642-61.8K-7150.00108.85N/AN/A1430233168
2023-11-06$19.14$19.0011.0%2.9%15.8%6.1%10.4%3.5%1.2%31.5K-170.9K-9980.09110.39N/AN/A232366168
2023-11-07$19.02$19.0010.3%2.7%16.0%5.3%10.0%1.8%2.3%35.7K-110.9K-1.0K0.00112.97N/AN/A02375166
2023-11-08$19.13$19.0010.9%3.1%15.9%6.0%0.0%3.1%0.7%31.3K-164.6K-9730.00112.37N/AN/A00375166
2023-11-09$18.94$19.009.3%2.7%16.1%4.1%16.0%1.6%0.5%25.1K-63.4K-9470.00107.77N/AN/A70374167
2023-11-10$18.80$19.0010.9%3.1%16.3%5.9%0.0%1.9%2.8%12.0K-23.1K-1.0K0.00114.20N/AN/A20376167
2023-11-13$18.81$19.007.1%2.0%16.3%1.7%0.0%3.9%4.8%25.3K10.1K-7770.00112.94N/AN/A02377167
2023-11-14$19.08$19.007.7%2.2%16.9%2.3%7.9%53.9%1.4%65.2K-130.0K-8220.00114.64N/AN/A010377168
2023-11-15$19.14$19.007.9%2.3%16.7%2.6%0.0%46.6%1.2%65.4K-175.3K-8115.50113.66N/AN/A211377159
2023-11-16$19.19$19.008.0%2.3%16.4%2.6%8.4%27.1%69.3%73.7K-214.9K-7610.00108.90N/AN/A050375148
2023-11-17$19.13$19.007.3%2.1%15.5%1.9%7.0%43.7%71.0%41.2K-178.5K-8170.13111.02N/AN/A81375198
2023-11-20$18.98$19.008.1%2.3%15.9%2.7%0.0%1.5%8.5%28.9K-74.8K-8740.50101.57N/AN/A21286161
2023-11-21$18.83$19.004.9%1.4%16.2%0.0%0.0%0.6%10.7%35.1K26.6K-7550.00102.60N/AN/A04288162
2023-11-22$18.77$19.006.3%1.8%16.1%1.6%6.6%2.3%2.6%26.6K49.9K-7250.00101.84N/AN/A02288166
2023-11-24$18.81$19.006.6%1.9%16.1%2.0%5.7%2.7%9.5%27.4K23.6K-8130.20103.55N/AN/A51288168
2023-11-27$18.95$19.007.0%2.0%15.6%2.4%5.9%1.2%1.6%30.8K-44.5K-7734.00106.03N/AN/A14288168
2023-11-28$19.04$19.008.7%2.5%15.6%4.3%0.0%0.8%7.2%29.2K-80.5K-8060.00106.48N/AN/A780288167
2023-11-29$19.18$19.007.3%2.1%15.5%2.7%15.8%-0.1%8.5%34.7K-227.4K-1.0K0.00104.89N/AN/A02355167
2023-11-30$19.37$19.008.9%2.6%13.8%4.5%9.6%1.2%8.4%27.5K-290.7K-9880.0098.45N/AN/A110355169