PFFA Options History — March 2024 In March 2024, PFFA traded between $20.88 and $21.16. ATM implied volatility averaged 6.7%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded below realized volatility by 1.1% (HV 20d: 7.8%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.89.
Notable Days 2024-03-11 : Highest Volume — 28 contracts2024-03-12 : Largest IV spike — 69.9% change2024-03-14 : Highest IV Rank — 9.0%2024-03-14 : Largest Expected Move — 2.8%Monthly Statistics Metric Avg Min Max Open Close Price $21.04 $20.88 $21.16 $20.94 $21.12 Max Pain $21.00 $21.00 $21.00 $21.00 $21.00 ATM IV 6.7% 4.4% 9.8% 8.7% 7.8% Expected Move 2.1% 1.3% 2.8% 2.5% 2.2% HV 20d 7.8% 4.5% 10.7% 10.7% 4.5% HV 60d 8.5% 7.8% 9.5% 9.4% 7.8% IV Rank 3.7% 0.0% 9.0% 6.5% 5.6% IV Percentile 10.5% 0.0% 39.3% 24.6% 20.2% Term Structure 3.3% -0.1% 11.4% -0.1% -0.1% VWIV 10.8% 5.8% 28.9% 9.4% 7.7% Skew 25d 25.2% -0.2% 52.4% 52.4% 2.6% Skew 10d 40.5% 5.2% 76.2% 71.2% 5.9% Call IV 25d 6.9% 4.3% 10.0% 10.0% 7.4% Put IV 25d 32.1% 5.8% 62.4% 62.4% 10.0% Bid-Ask Spread % 118.71 108.97 124.88 108.97 117.01 Gamma HHI 0.72 0.48 0.93 0.82 0.51 Net GEX 12.2K 1.7K 26.2K 12.5K 4.9K Net DEX -101.6K -218.3K -21.4K -98.7K -46.2K Net VEX -640 -834 -485 -787 -616 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.00 8.33 0.00 0.71 Total Volume 11.35 0 28 2 12 Total OI 301.8 218 366 335 245
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 2024-03-01 $20.94 $21.00 8.7% 2.5% 10.7% 6.5% 9.4% 52.4% -0.1% 12.5K -98.7K -787 0.00 108.97 N/A N/A 2 0 186 149 2024-03-04 $20.88 $21.00 7.6% 2.8% 10.6% 4.6% 0.0% 4.6% 1.7% 13.7K -102.2K -757 0.71 124.88 N/A N/A 7 5 187 149 2024-03-05 $20.92 $21.00 7.1% 2.7% 9.4% 3.8% 7.6% 4.8% 2.1% 20.1K -121.6K -726 0.11 123.08 N/A N/A 9 1 194 149 2024-03-06 $20.96 $21.00 6.6% 2.5% 9.4% 3.0% 0.0% 47.2% 4.0% 9.8K -125.7K -834 0.00 124.25 N/A N/A 3 0 203 150 2024-03-07 $21.09 $21.00 5.7% 2.1% 9.6% 1.3% 0.0% 36.0% 5.1% 26.2K -208.1K -622 0.33 124.48 N/A N/A 3 1 201 150 2024-03-08 $21.16 $21.00 6.8% 2.3% 9.6% 3.3% 5.8% 9.5% 3.2% 20.0K -207.4K -593 1.50 124.27 N/A N/A 8 12 189 151 2024-03-11 $21.13 $21.00 4.4% 2.0% 9.4% 0.0% 7.8% 38.0% 3.8% 23.3K -218.3K -562 8.33 119.85 N/A N/A 3 25 189 161 2024-03-12 $21.11 $21.00 7.5% 2.3% 9.2% 5.1% 0.0% 42.2% 2.1% 20.0K -176.3K -596 0.00 121.80 N/A N/A 8 0 187 178 2024-03-13 $21.09 $21.00 7.2% 2.1% 7.9% 4.7% 8.0% 43.4% 2.9% 10.0K -139.1K -607 0.44 122.98 N/A N/A 9 4 179 178 2024-03-14 $21.06 $21.00 9.8% 2.8% 7.7% 9.0% 9.8% 45.7% 3.5% 11.6K -96.9K -757 0.17 118.30 N/A N/A 6 1 178 182 2024-03-15 $20.98 $21.00 7.0% 2.0% 7.7% 4.4% 0.0% 50.7% 1.9% 22.0K -71.2K -485 0.17 120.28 N/A N/A 12 2 183 183 2024-03-18 $20.95 $21.00 7.8% 2.2% 7.6% 5.7% 7.8% 28.2% 6.1% 5.9K -75.6K -575 0.05 113.95 N/A N/A 21 1 136 114 2024-03-19 $20.98 $21.00 5.0% 1.4% 7.6% 1.0% 0.0% 30.6% 11.4% 9.4K -110.3K -535 0.00 116.66 N/A N/A 25 0 149 115 2024-03-20 $21.03 $21.00 6.3% 1.8% 7.2% 3.1% 0.0% 26.4% 3.9% 5.1K -24.0K -529 1.20 112.51 N/A N/A 10 12 102 116 2024-03-21 $21.14 $21.00 4.4% 1.3% 7.3% 0.0% 0.0% -0.2% 2.5% 3.9K -60.4K -638 0.46 115.65 N/A N/A 13 6 112 125 2024-03-22 $21.11 $21.00 4.8% 1.4% 6.1% 0.7% 0.0% 4.9% 5.0% 5.5K -55.2K -685 0.00 117.54 N/A N/A 0 0 115 125 2024-03-25 $21.02 $21.00 6.0% 1.7% 4.9% 2.6% 28.9% 5.2% 4.3% 13.5K -30.1K -542 0.00 118.08 N/A N/A 0 2 115 125 2024-03-26 $21.03 $21.00 6.2% 1.8% 4.8% 3.0% 0.0% 28.7% 1.3% 1.7K -21.4K -687 0.00 114.41 N/A N/A 0 2 115 127 2024-03-27 $21.11 $21.00 8.1% 2.3% 5.0% 6.1% 15.0% 3.0% 0.9% 5.0K -42.5K -670 0.00 115.36 N/A N/A 0 2 115 129 2024-03-28 $21.12 $21.00 7.8% 2.2% 4.5% 5.6% 7.7% 2.6% -0.1% 4.9K -46.2K -616 0.71 117.01 N/A N/A 7 5 115 130
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