PFFA Options History — February 2024 In February 2024, PFFA traded between $20.63 and $21.04. ATM implied volatility averaged 9.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 0.3% (HV 20d: 9.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.81.
Notable Days 2024-02-02 : Highest Volume — 38 contracts2024-02-13 : Largest IV spike — 86.9% change2024-02-06 : Highest IV Rank — 23.8%2024-02-13 : Largest Expected Move — 3.3%Monthly Statistics Metric Avg Min Max Open Close Price $20.82 $20.63 $21.04 $21.00 $20.93 Max Pain $20.55 $20.00 $21.00 $20.00 $21.00 ATM IV 9.1% 6.1% 19.1% 8.3% 6.6% Expected Move 2.3% 1.7% 3.3% 2.6% 1.9% HV 20d 9.4% 7.3% 10.8% 7.3% 10.8% HV 60d 9.9% 9.4% 10.3% 10.1% 9.4% IV Rank 7.1% 2.0% 23.8% 5.8% 2.9% IV Percentile 22.1% 1.2% 82.1% 15.1% 4.0% Term Structure 6.7% -6.5% 67.3% -2.2% 5.1% VWIV 10.3% 4.6% 18.4% 8.9% 18.4% Skew 25d 26.1% -3.3% 74.5% 49.4% 6.4% Skew 10d 34.9% -4.3% 97.8% 73.7% 4.2% Call IV 25d 8.0% 4.5% 10.5% 9.7% 5.7% Put IV 25d 34.1% 7.2% 82.5% 59.1% 12.0% Bid-Ask Spread % 109.84 103.56 114.98 112.04 110.74 Gamma HHI 0.81 0.57 0.99 0.93 0.86 Net GEX 15.2K 4.0K 41.8K 19.8K 11.7K Net DEX -111.8K -183.5K -45.9K -183.5K -115.0K Net VEX -644 -970 -418 -418 -462 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.81 0.00 20.00 13.00 0.00 Total Volume 7.95 0 38 14 3 Total OI 317.5 272 339 272 314
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 2024-02-01 $21.00 $20.00 8.3% 2.6% 7.3% 5.8% 8.9% 49.4% -2.2% 19.8K -183.5K -418 13.00 112.04 N/A N/A 1 13 168 104 2024-02-02 $20.91 $20.00 12.9% 2.4% 7.4% 13.4% 0.0% 56.0% -1.4% 17.0K -149.5K -515 0.23 113.77 N/A N/A 31 7 169 117 2024-02-05 $20.63 $20.00 18.2% 2.6% 8.9% 22.2% 0.0% 1.1% -2.9% 13.1K -87.7K -970 0.00 112.69 N/A N/A 0 1 200 124 2024-02-06 $20.65 $20.00 19.1% 2.6% 8.6% 23.8% 0.0% 1.1% 0.8% 19.4K -96.4K -845 0.00 114.98 N/A N/A 1 0 200 118 2024-02-07 $20.69 $20.00 8.0% 2.3% 8.6% 5.3% 10.5% 1.7% 0.8% 16.9K -103.4K -868 20.00 114.76 N/A N/A 1 20 200 118 2024-02-08 $20.70 $20.00 9.2% 2.6% 8.6% 7.3% 0.0% -1.5% -3.3% 15.6K -95.4K -824 0.00 114.21 N/A N/A 0 3 200 138 2024-02-09 $20.85 $20.00 6.2% 1.8% 9.0% 2.2% 0.0% 66.4% -1.0% 18.2K -154.6K -473 0.00 109.65 N/A N/A 0 0 200 135 2024-02-12 $20.96 $20.00 6.3% 1.8% 8.8% 2.3% 0.0% 66.0% -0.1% 41.8K -171.2K -453 0.00 111.02 N/A N/A 0 0 200 135 2024-02-13 $20.70 $20.00 11.7% 3.3% 9.8% 11.4% 12.8% -3.3% -6.5% 19.1K -79.6K -827 0.00 106.81 N/A N/A 0 4 200 135 2024-02-14 $20.82 $21.00 9.2% 2.6% 9.5% 7.2% 0.0% 72.7% -3.2% 23.4K -135.1K -428 0.00 108.34 N/A N/A 0 0 200 139 2024-02-15 $20.93 $21.00 7.0% 2.0% 9.5% 3.5% 0.0% 71.0% 64.0% 20.6K -161.3K -440 0.00 110.72 N/A N/A 7 0 200 139 2024-02-16 $20.87 $21.00 7.4% 2.1% 9.5% 4.3% 7.5% 74.5% 67.3% 17.2K -145.4K -534 0.15 111.41 N/A N/A 13 2 200 139 2024-02-20 $20.84 $21.00 6.5% 1.9% 9.4% 2.8% 4.6% 43.4% 6.4% 12.5K -113.9K -438 1.11 105.55 N/A N/A 9 10 163 134 2024-02-21 $20.71 $21.00 7.4% 2.1% 9.7% 4.2% 0.0% 7.1% 7.6% 4.0K -45.9K -946 0.00 109.18 N/A N/A 0 3 162 144 2024-02-22 $20.80 $21.00 7.0% 2.0% 9.8% 3.7% 0.0% 0.6% 0.8% 6.0K -59.2K -777 2.00 104.65 N/A N/A 1 2 162 147 2024-02-23 $21.04 $21.00 7.3% 2.1% 10.2% 4.2% 0.0% 2.4% -0.7% 11.7K -136.4K -549 0.00 106.66 N/A N/A 3 0 163 149 2024-02-26 $20.82 $21.00 9.3% 2.7% 10.8% 7.3% 9.5% 0.5% -2.3% 6.9K -83.0K -693 0.00 103.56 N/A N/A 9 0 164 149 2024-02-27 $20.77 $21.00 8.3% 2.4% 10.7% 5.7% 18.4% 0.9% -0.6% 4.5K -56.2K -715 0.00 106.72 N/A N/A 6 0 161 149 2024-02-28 $20.80 $21.00 6.1% 1.7% 10.7% 2.0% 0.0% 5.9% 4.5% 5.3K -63.1K -710 0.00 109.30 N/A N/A 9 0 162 149 2024-02-29 $20.93 $21.00 6.6% 1.9% 10.8% 2.9% 0.0% 6.4% 5.1% 11.7K -115.0K -462 0.00 110.74 N/A N/A 3 0 165 149
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