PFFA Options History — December 2023

In December 2023, PFFA traded between $19.73 and $20.71. ATM implied volatility averaged 17.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.2% (HV 20d: 11.7%). 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 14 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2023-12-19: Highest Volume — 48 contracts
2023-12-27: Largest IV spike — 410.8% change
2023-12-29: Highest IV Rank — 66.9%
2023-12-29: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.18	$19.73	$20.71	$19.73	$20.71
Max Pain	$19.95	$19.00	$20.00	$19.00	$20.00
ATM IV	17.8%	6.6%	65.0%	7.3%	65.0%
Expected Move	6.1%	2.1%	18.6%	2.1%	18.6%
HV 20d	11.7%	10.7%	13.9%	13.9%	11.3%
HV 60d	14.0%	12.6%	14.7%	14.1%	12.7%
IV Rank	14.5%	2.0%	66.9%	2.7%	66.9%
IV Percentile	37.6%	2.0%	99.2%	5.2%	99.2%
Term Structure	4.1%	-5.6%	12.6%	1.3%	-0.2%
VWIV	13.5%	7.4%	34.0%	8.0%	11.0%
Skew 25d	16.1%	-5.8%	104.2%	5.1%	26.9%
Skew 10d	42.4%	-3.5%	215.1%	-0.7%	-2.6%
Call IV 25d	8.5%	4.5%	25.3%	4.5%	10.6%
Put IV 25d	24.6%	8.4%	113.3%	9.6%	37.5%
Bid-Ask Spread %	120.79	98.87	130.00	98.87	117.17
Gamma HHI	0.83	0.74	0.94	0.77	0.78
Net GEX	30.7K	20.8K	43.3K	34.0K	23.8K
Net DEX	-343.9K	-529.7K	-204.6K	-375.8K	-282.4K
Net VEX	-928	-1.1K	-713	-713	-880
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.00	6.00	1.10	6.00
Total Volume	13.05	0	48	21	35
Total OI	437.45	265	587	529	288

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
2023-12-01	$19.73	$19.00	7.3%	2.1%	13.9%	2.7%	8.0%	5.1%	1.3%	34.0K	-375.8K	-713	1.10	98.87	N/A	N/A	10	11	360	169
2023-12-04	$19.75	$20.00	8.3%	3.9%	12.6%	3.9%	11.6%	4.6%	3.8%	33.4K	-396.7K	-892	0.50	123.41	N/A	N/A	4	2	381	179
2023-12-05	$19.76	$20.00	7.8%	3.8%	12.2%	3.2%	34.0%	1.0%	3.4%	34.1K	-402.2K	-865	0.33	124.51	N/A	N/A	3	1	384	180
2023-12-06	$19.79	$20.00	8.4%	3.5%	11.8%	3.9%	0.0%	62.2%	-1.4%	33.3K	-409.3K	-926	0.50	116.79	N/A	N/A	12	6	384	181
2023-12-07	$19.84	$20.00	7.0%	3.8%	11.7%	2.3%	0.0%	6.9%	2.1%	36.5K	-438.0K	-909	0.00	119.90	N/A	N/A	1	0	394	187
2023-12-08	$19.91	$20.00	6.6%	4.8%	10.9%	2.0%	13.7%	8.1%	-5.6%	43.3K	-462.4K	-876	0.14	120.31	N/A	N/A	21	3	394	187
2023-12-11	$19.79	$20.00	12.4%	14.4%	10.7%	8.5%	0.0%	104.2%	0.6%	32.5K	-425.6K	-867	0.00	130.00	N/A	N/A	8	0	397	190
2023-12-12	$19.81	$20.00	10.9%	3.7%	10.7%	6.7%	0.0%	12.3%	-1.0%	32.5K	-350.9K	-907	0.00	129.99	N/A	N/A	0	0	363	190
2023-12-13	$20.12	$20.00	22.0%	6.3%	10.9%	19.1%	0.0%	-5.8%	1.0%	41.1K	-455.4K	-831	0.38	123.00	N/A	N/A	13	5	363	190
2023-12-14	$20.46	$20.00	15.3%	4.4%	12.0%	11.6%	7.9%	15.8%	11.2%	32.7K	-529.7K	-974	0.08	122.42	N/A	N/A	13	1	369	197
2023-12-15	$20.38	$20.00	13.8%	4.0%	12.3%	10.0%	0.0%	9.9%	1.7%	42.0K	-504.1K	-863	0.15	126.87	N/A	N/A	20	3	356	198
2023-12-18	$20.41	$20.00	7.2%	2.1%	12.1%	2.6%	18.9%	9.9%	12.6%	21.5K	-223.3K	-1.0K	0.75	119.92	N/A	N/A	8	6	216	49
2023-12-19	$20.50	$20.00	8.7%	2.5%	11.3%	4.3%	14.1%	8.6%	10.5%	20.8K	-244.7K	-1.0K	0.14	122.86	N/A	N/A	42	6	222	54
2023-12-20	$20.27	$20.00	8.6%	2.5%	11.8%	4.2%	7.4%	4.1%	12.4%	31.3K	-204.6K	-952	0.00	124.66	N/A	N/A	9	0	212	69
2023-12-21	$20.34	$20.00	9.1%	2.6%	11.6%	4.7%	0.0%	4.4%	12.5%	23.3K	-214.2K	-1.1K	2.00	120.04	N/A	N/A	1	2	220	69
2023-12-22	$20.43	$20.00	8.9%	2.5%	11.5%	4.5%	8.7%	2.8%	11.5%	20.8K	-216.8K	-1.1K	0.00	122.53	N/A	N/A	1	0	221	69
2023-12-26	$20.49	$20.00	11.5%	3.3%	11.5%	7.4%	0.0%	13.2%	8.6%	23.8K	-238.4K	-1.0K	0.08	116.83	N/A	N/A	13	1	220	69
2023-12-27	$20.52	$20.00	58.9%	16.9%	11.5%	60.1%	0.0%	11.0%	-1.3%	24.9K	-246.3K	-965	0.00	118.35	N/A	N/A	0	0	220	69
2023-12-28	$20.57	$20.00	59.3%	17.0%	11.4%	60.6%	0.0%	16.8%	-1.1%	27.7K	-257.2K	-949	0.00	117.34	N/A	N/A	0	0	220	69
2023-12-29	$20.71	$20.00	65.0%	18.6%	11.3%	66.9%	11.0%	26.9%	-0.2%	23.8K	-282.4K	-880	6.00	117.17	N/A	N/A	5	30	219	69