PFFA Options History — May 2024 In May 2024, PFFA traded between $20.58 and $21.16. ATM implied volatility averaged 7.8%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 2.0% (HV 20d: 9.8%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.98.
Notable Days 2024-05-31 : Highest Volume — 25 contracts2024-05-17 : Largest IV drop — 44.6% change2024-05-30 : Highest IV Rank — 8.7%2024-05-30 : Largest Expected Move — 2.8%Monthly Statistics Metric Avg Min Max Open Close Price $20.88 $20.58 $21.16 $20.58 $21.05 Max Pain $21.00 $21.00 $21.00 $21.00 $21.00 ATM IV 7.8% 4.9% 9.6% 7.2% 7.8% Expected Move 2.3% 1.4% 2.8% 2.1% 2.2% HV 20d 9.8% 7.1% 12.1% 11.6% 9.9% HV 60d 9.0% 8.6% 9.4% 9.1% 9.4% IV Rank 5.6% 0.9% 8.7% 4.7% 5.7% IV Percentile 27.5% 2.0% 56.3% 16.7% 29.0% Term Structure 3.2% -3.7% 61.0% -0.1% 0.9% VWIV 9.8% 5.1% 29.2% 10.7% 7.8% Skew 25d 31.9% -1.9% 87.5% 17.9% 74.7% Skew 10d 51.6% -1.3% 121.6% 6.8% 121.6% Call IV 25d 7.9% 3.9% 16.3% 16.3% 8.1% Put IV 25d 39.8% 5.8% 97.3% 34.2% 82.8% Bid-Ask Spread % 104.15 97.17 110.28 98.01 99.69 Gamma HHI 0.54 0.37 0.86 0.38 0.63 Net GEX 15.0K -7.2K 72.3K -7.2K 31.2K Net DEX 45.3K -97.9K 112.0K 100.2K 5.9K Net VEX -831 -993 -627 -881 -792 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.98 0.00 11.50 0.00 11.50 Total Volume 8.727 0 25 3 25 Total OI 368.545 336 393 348 378
Daily Data (22 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 2024-05-01 $20.58 $21.00 7.2% 2.1% 11.6% 4.7% 0.0% 17.9% -0.1% -7.2K 100.2K -881 0.00 98.01 N/A N/A 3 0 155 193 2024-05-02 $20.71 $21.00 7.4% 2.1% 11.9% 5.0% 10.7% 4.9% 0.2% 3.1K 63.7K -971 2.00 97.17 N/A N/A 1 2 158 193 2024-05-03 $20.75 $21.00 7.0% 2.0% 11.9% 4.4% 5.7% 5.5% 0.2% 2.6K 60.8K -843 0.00 104.64 N/A N/A 5 0 159 194 2024-05-06 $20.86 $21.00 6.6% 1.9% 12.1% 3.7% 29.2% 69.0% 3.2% 20.5K 36.1K -700 3.25 108.74 N/A N/A 4 13 161 194 2024-05-07 $20.83 $21.00 6.8% 2.6% 12.1% 4.0% 9.3% 64.0% -3.1% 13.5K 61.5K -788 0.00 109.36 N/A N/A 2 0 162 206 2024-05-08 $20.66 $21.00 9.1% 2.5% 11.7% 7.8% 0.0% -0.4% -2.2% -1.8K 98.4K -668 0.00 110.28 N/A N/A 0 10 164 206 2024-05-09 $20.81 $21.00 7.5% 2.5% 11.9% 5.1% 0.0% 7.1% 0.1% 4.7K 62.9K -925 0.00 109.76 N/A N/A 0 1 164 216 2024-05-10 $20.80 $21.00 7.9% 2.4% 11.9% 5.9% 0.0% 3.8% -0.9% 5.8K 94.7K -902 0.00 109.16 N/A N/A 0 0 164 217 2024-05-13 $20.88 $21.00 8.1% 2.4% 7.8% 6.2% 0.0% 7.2% 0.1% 6.7K 52.0K -907 1.33 109.37 N/A N/A 3 4 164 217 2024-05-14 $20.90 $21.00 9.5% 2.7% 7.6% 8.5% 0.0% 66.4% -3.7% 13.6K 56.4K -773 0.00 109.94 N/A N/A 0 1 167 221 2024-05-15 $21.12 $21.00 6.2% 1.8% 7.4% 3.0% 5.1% 6.8% 0.8% 11.7K 2.7K -944 1.00 106.16 N/A N/A 9 9 167 222 2024-05-16 $21.11 $21.00 8.9% 2.6% 7.2% 7.5% 9.0% 53.5% 61.0% 22.5K -32.6K -788 0.77 104.90 N/A N/A 13 10 170 223 2024-05-17 $21.16 $21.00 4.9% 1.4% 7.1% 0.9% 13.2% -1.4% 10.1% 72.3K -97.9K -627 0.00 107.29 N/A N/A 0 13 171 222 2024-05-20 $20.99 $21.00 7.1% 2.0% 7.9% 4.5% 7.7% 1.9% 1.7% 16.8K 11.0K -993 0.83 103.55 N/A N/A 6 5 147 189 2024-05-21 $20.95 $21.00 6.9% 2.0% 7.9% 4.1% 6.9% 71.3% 0.1% 20.9K 44.8K -877 0.00 97.99 N/A N/A 13 0 149 194 2024-05-22 $20.91 $21.00 6.7% 1.9% 7.9% 3.8% 6.7% -0.1% 0.7% 23.7K 38.1K -862 1.67 99.56 N/A N/A 3 5 162 194 2024-05-23 $20.63 $21.00 9.5% 2.7% 9.4% 8.5% 9.6% -1.9% -1.0% 4.1K 112.0K -763 0.30 98.53 N/A N/A 10 3 165 196 2024-05-24 $20.81 $21.00 7.6% 2.2% 9.7% 5.2% 7.6% 85.2% -0.2% 18.2K 84.0K -708 1.50 102.24 N/A N/A 2 3 165 200 2024-05-28 $20.98 $21.00 9.2% 2.6% 9.9% 7.9% 9.3% 79.2% 6.0% 24.4K 34.9K -838 5.50 102.47 N/A N/A 2 11 165 200 2024-05-29 $20.86 $21.00 9.6% 2.7% 10.2% 8.6% 0.0% 87.5% -1.3% 16.8K 66.7K -814 0.00 102.96 N/A N/A 0 0 167 210 2024-05-30 $20.93 $21.00 9.6% 2.8% 10.0% 8.7% 0.0% -0.2% -1.0% 6.3K 41.3K -918 0.00 99.62 N/A N/A 0 1 167 210 2024-05-31 $21.05 $21.00 7.8% 2.2% 9.9% 5.7% 7.8% 74.7% 0.9% 31.2K 5.9K -792 11.50 99.69 N/A N/A 2 23 167 211
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