PFFA Options History — June 2024 In June 2024, PFFA traded between $20.98 and $21.37. ATM implied volatility averaged 8.2%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded below realized volatility by 0.8% (HV 20d: 9.0%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.40.
Notable Days 2024-06-03 : Highest Volume — 43 contracts2024-06-14 : Largest IV spike — 75.1% change2024-06-14 : Highest IV Rank — 15.7%2024-06-14 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.20 $20.98 $21.37 $21.24 $20.98 Max Pain $21.63 $20.00 $22.00 $21.00 $22.00 ATM IV 8.2% 5.0% 13.9% 9.0% 5.0% Expected Move 2.4% 1.4% 4.0% 2.6% 1.4% HV 20d 9.0% 6.6% 10.3% 10.3% 6.9% HV 60d 9.6% 9.5% 9.7% 9.5% 9.6% IV Rank 6.3% 1.0% 15.7% 7.7% 1.0% IV Percentile 33.0% 3.2% 84.9% 45.6% 3.2% Term Structure 2.2% -4.8% 11.3% 6.0% 0.9% VWIV 12.2% 5.0% 26.5% 5.9% 5.0% Skew 25d 9.0% -2.2% 83.8% 51.8% -0.4% Skew 10d 18.2% -0.3% 140.8% 118.2% 0.7% Call IV 25d 9.6% 6.1% 55.5% 7.2% 6.7% Put IV 25d 18.6% 4.7% 139.3% 59.1% 6.3% Bid-Ask Spread % 128.19 100.31 138.17 100.31 125.65 Gamma HHI 0.56 0.25 0.83 0.60 0.25 Net GEX 33.0K -1.4K 95.0K 21.2K -1.2K Net DEX -64.4K -163.9K 34.1K -45.9K 25.6K Net VEX -671 -860 -444 -860 -742 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.00 8.00 0.26 8.00 Total Volume 7.789 0 43 43 18 Total OI 349.211 226 405 377 248
Daily Data (19 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 2024-06-03 $21.24 $21.00 9.0% 2.6% 10.3% 7.7% 5.9% 51.8% 6.0% 21.2K -45.9K -860 0.26 100.31 N/A N/A 34 9 165 212 2024-06-04 $21.34 $21.00 7.6% 2.2% 10.3% 5.2% 7.0% 0.8% -1.2% 36.8K -151.4K -555 1.20 101.86 N/A N/A 5 6 167 217 2024-06-05 $21.37 $21.00 7.6% 2.2% 10.3% 5.3% 8.0% 83.8% -1.1% 18.9K -163.9K -534 0.00 102.27 N/A N/A 1 0 171 213 2024-06-06 $21.33 $20.00 8.9% 2.1% 9.7% 7.4% 0.0% 5.6% -1.6% 50.3K -136.0K -586 0.00 137.23 N/A N/A 0 1 171 213 2024-06-07 $21.29 $20.00 10.2% 3.6% 9.6% 9.5% 25.0% 6.9% 1.2% 43.9K -121.7K -444 0.00 138.07 N/A N/A 0 1 171 214 2024-06-10 $21.26 $22.00 8.9% 2.4% 9.6% 7.4% 0.0% 1.0% -3.1% 59.0K -133.1K -609 0.17 137.60 N/A N/A 6 1 171 215 2024-06-11 $21.17 $22.00 8.7% 2.4% 9.7% 7.1% 0.0% -0.2% -1.6% 73.3K -80.2K -692 0.00 137.73 N/A N/A 0 3 171 216 2024-06-12 $21.30 $22.00 7.7% 2.2% 9.9% 5.4% 0.0% 0.7% -3.1% 55.8K -129.3K -599 0.00 136.70 N/A N/A 0 15 171 213 2024-06-13 $21.21 $22.00 7.9% 2.3% 9.4% 5.9% 0.0% -0.5% -4.0% 68.1K -87.2K -767 0.00 137.34 N/A N/A 0 0 171 228 2024-06-14 $21.19 $22.00 13.9% 4.0% 9.4% 15.7% 0.0% 5.2% -2.2% 82.8K -88.9K -758 0.00 138.17 N/A N/A 0 0 171 228 2024-06-17 $21.16 $22.00 11.5% 3.3% 9.4% 11.8% 0.0% 2.1% -4.8% 95.0K -102.6K -675 0.00 137.85 N/A N/A 0 3 171 231 2024-06-18 $21.24 $22.00 7.6% 2.2% 9.0% 5.3% 8.0% 11.7% -0.5% 2.7K -126.8K -658 0.00 128.95 N/A N/A 0 3 171 234 2024-06-20 $21.10 $22.00 7.8% 2.3% 9.3% 5.7% 26.5% 1.4% 10.0% 12.6K 19.0K -794 0.14 127.66 N/A N/A 14 2 153 237 2024-06-21 $21.07 $22.00 7.4% 2.1% 9.3% 5.0% 0.0% 1.6% 8.7% 7.9K 34.1K -790 0.00 132.37 N/A N/A 0 3 154 239 2024-06-24 $21.18 $22.00 5.7% 1.6% 7.8% 2.2% 0.0% -1.7% 11.3% -1.1K 9.2K -650 0.00 132.65 N/A N/A 0 2 75 151 2024-06-25 $21.18 $22.00 6.5% 1.9% 7.3% 3.4% 0.0% -2.2% 6.9% -54 25.5K -715 0.00 133.58 N/A N/A 0 0 75 152 2024-06-26 $21.11 $22.00 6.9% 2.0% 6.9% 4.1% 0.0% 1.6% 10.0% -1.4K 19.0K -612 0.00 125.22 N/A N/A 21 0 75 152 2024-06-27 $21.11 $22.00 7.0% 2.0% 6.6% 4.4% 0.0% 1.6% 10.0% 2.6K 10.9K -714 0.00 124.34 N/A N/A 0 0 96 152 2024-06-28 $20.98 $22.00 5.0% 1.4% 6.9% 1.0% 5.0% -0.4% 0.9% -1.2K 25.6K -742 8.00 125.65 N/A N/A 2 16 96 152
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