PFFA Options History — January 2024 In January 2024, PFFA traded between $20.56 and $20.96. ATM implied volatility averaged 11.9%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.5% (HV 20d: 8.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2024-01-29 : Highest Volume — 42 contracts2024-01-05 : Largest IV spike — 101.6% change2024-01-05 : Highest IV Rank — 18.9%2024-01-03 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.74 $20.56 $20.96 $20.68 $20.89 Max Pain $20.33 $19.00 $21.00 $20.00 $21.00 ATM IV 11.9% 6.5% 21.9% 9.7% 10.3% Expected Move 3.3% 1.8% 5.1% 2.8% 3.0% HV 20d 8.4% 6.7% 10.2% 9.9% 7.2% HV 60d 12.2% 10.6% 12.7% 12.7% 10.6% IV Rank 8.3% 1.8% 18.9% 5.4% 9.1% IV Percentile 41.2% 1.6% 87.7% 29.4% 34.1% Term Structure 2.7% -3.8% 10.1% -1.6% 0.4% VWIV 11.4% 4.7% 29.2% 11.3% 9.2% Skew 25d 18.2% -3.4% 69.3% -3.4% 5.4% Skew 10d 32.6% -3.3% 91.8% -3.3% 4.7% Call IV 25d 7.9% 6.1% 11.3% 11.3% 8.3% Put IV 25d 26.1% 6.7% 76.2% 7.9% 13.7% Bid-Ask Spread % 119.70 109.72 125.37 115.69 119.10 Gamma HHI 0.55 0.47 0.72 0.71 0.72 Net GEX 27.0K 14.0K 48.6K 23.2K 18.1K Net DEX -221.3K -385.3K -108.3K -280.8K -136.3K Net VEX -678 -950 -471 -892 -617 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.00 2.60 0.03 2.00 Total Volume 9.476 0 42 31 0 Total OI 300.476 206 389 322 272
Daily Data (21 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 2024-01-02 $20.68 $20.00 9.7% 2.8% 9.9% 5.4% 11.3% -3.4% -1.6% 23.2K -280.8K -892 0.03 115.69 N/A N/A 30 1 223 99 2024-01-03 $20.63 $20.00 17.9% 5.1% 10.0% 14.5% 0.0% 5.9% 2.9% 31.2K -280.4K -919 0.00 109.72 N/A N/A 0 1 253 100 2024-01-04 $20.57 $21.00 10.8% 4.5% 10.1% 6.7% 0.0% 12.3% 4.5% 29.5K -275.0K -884 0.00 124.92 N/A N/A 3 0 253 101 2024-01-05 $20.63 $21.00 21.9% 4.0% 10.1% 18.9% 0.0% 12.4% 4.8% 28.1K -285.3K -950 0.00 124.17 N/A N/A 25 0 256 101 2024-01-08 $20.76 $21.00 21.2% 4.0% 10.2% 18.2% 6.7% 69.3% 9.5% 34.6K -330.1K -922 0.15 123.71 N/A N/A 13 2 281 101 2024-01-09 $20.81 $19.00 11.4% 3.2% 10.2% 7.3% 0.0% 68.4% 10.1% 46.6K -367.7K -801 0.00 124.10 N/A N/A 3 0 285 103 2024-01-10 $20.86 $19.00 11.8% 3.4% 9.8% 7.8% 0.0% 66.2% 9.6% 48.6K -385.3K -789 0.00 122.03 N/A N/A 0 0 286 103 2024-01-11 $20.82 $19.00 13.1% 3.8% 9.9% 9.2% 0.0% 2.9% 3.3% 31.5K -250.9K -509 0.00 124.30 N/A N/A 6 0 205 103 2024-01-12 $20.96 $19.00 11.6% 3.3% 8.8% 7.5% 4.7% 5.8% 9.6% 33.5K -256.1K -472 0.50 125.37 N/A N/A 2 1 196 103 2024-01-16 $20.87 $19.00 6.5% 1.8% 7.1% 1.8% 0.0% 67.3% 8.2% 39.0K -246.8K -471 0.20 122.34 N/A N/A 5 1 211 104 2024-01-17 $20.69 $19.00 12.1% 3.5% 7.7% 8.1% 7.5% 1.5% 8.3% 26.0K -204.1K -619 0.60 122.45 N/A N/A 5 3 216 107 2024-01-18 $20.59 $21.00 12.1% 3.5% 8.0% 8.1% 0.0% -0.0% -1.5% 27.7K -189.8K -557 0.17 123.40 N/A N/A 18 3 215 109 2024-01-19 $20.66 $21.00 12.5% 3.6% 7.9% 8.5% 0.0% 0.1% -3.8% 20.9K -161.7K -554 0.00 120.98 N/A N/A 0 0 215 111 2024-01-22 $20.57 $21.00 12.0% 3.4% 6.9% 8.0% 29.2% 3.3% -1.6% 15.2K -136.8K -699 2.60 114.73 N/A N/A 5 13 157 49 2024-01-23 $20.58 $21.00 8.0% 2.3% 6.8% 3.6% 0.0% -1.1% -2.7% 14.0K -110.2K -693 0.00 115.22 N/A N/A 2 0 160 61 2024-01-24 $20.56 $21.00 8.1% 2.3% 6.7% 3.6% 0.0% 1.9% -2.9% 14.3K -108.3K -674 0.00 115.26 N/A N/A 0 0 160 61 2024-01-25 $20.73 $21.00 7.0% 2.0% 7.2% 2.3% 0.0% 2.5% -2.3% 18.8K -146.3K -647 0.00 114.91 N/A N/A 0 10 160 61 2024-01-26 $20.83 $21.00 10.5% 3.0% 7.3% 6.3% 0.0% 5.4% -2.0% 22.9K -175.1K -486 0.00 116.87 N/A N/A 0 0 160 71 2024-01-29 $20.93 $21.00 8.5% 2.4% 7.4% 5.5% 9.2% 45.0% 0.4% 24.1K -166.4K -518 2.00 116.97 N/A N/A 14 28 160 71 2024-01-30 $20.96 $21.00 13.7% 3.9% 7.1% 14.7% 0.0% 11.2% 3.4% 19.7K -154.1K -575 0.00 117.51 N/A N/A 0 5 168 99 2024-01-31 $20.89 $21.00 10.3% 3.0% 7.2% 9.1% 0.0% 5.4% 0.4% 18.1K -136.3K -617 0.00 119.10 N/A N/A 0 0 168 104
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