PFFA Options History — July 2024

In July 2024, PFFA traded between $21.04 and $21.54. ATM implied volatility averaged 8.4%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.0% (HV 20d: 7.4%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2024-07-16: Highest Volume — 29 contracts
  • 2024-07-02: Largest IV spike — 66.9% change
  • 2024-07-15: Highest IV Rank — 17.4%
  • 2024-07-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.36$21.04$21.54$21.04$21.46
Max Pain$21.41$21.00$22.00$22.00$22.00
ATM IV8.4%3.8%14.5%3.8%9.6%
Expected Move2.6%1.1%4.3%1.1%2.7%
HV 20d7.4%6.2%8.0%6.7%7.6%
HV 60d8.7%8.1%9.8%9.6%8.1%
IV Rank7.5%0.0%17.4%0.0%9.3%
IV Percentile39.4%0.0%88.9%0.0%63.1%
Term Structure-1.0%-16.2%7.0%1.8%3.8%
VWIV14.3%3.7%32.3%3.7%18.3%
Skew 25d1.9%-4.3%12.9%11.2%3.6%
Skew 10d9.9%1.1%39.2%39.2%3.9%
Call IV 25d6.8%5.1%11.1%6.7%6.3%
Put IV 25d8.7%5.8%20.3%17.9%9.9%
Bid-Ask Spread %127.97121.56136.97132.23125.21
Gamma HHI0.330.250.600.250.39
Net GEX-3.9K-12.2K6.3K-12.1K-4.1K
Net DEX-437-43.9K37.6K31.6K3.1K
Net VEX-557-779-391-718-417
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0014.000.670.40
Total Volume6.72702925
Total OI269.955240307264261

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$21.04$22.003.8%1.1%6.7%0.0%3.7%11.2%1.8%-12.1K31.6K-7180.00132.23N/AN/A0296168
2024-07-02$21.16$22.006.4%1.8%6.2%4.2%32.3%-1.9%-1.3%512-11.0K-3910.67128.07N/AN/A3296170
2024-07-03$21.32$22.008.8%2.5%6.5%8.2%0.0%-0.2%-3.8%4.1K-28.7K-4121.00122.88N/AN/A1195172
2024-07-05$21.41$21.007.0%4.3%6.7%5.1%16.7%7.3%-9.0%3.3K-33.8K-4420.00133.11N/AN/A3096173
2024-07-08$21.32$21.005.8%4.0%6.8%3.1%6.5%-4.3%-13.7%1.2K-10.5K-68014.00136.36N/AN/A11495173
2024-07-09$21.19$21.008.2%1.8%7.1%7.2%5.9%12.9%2.7%-9.7K30.0K-7790.00125.49N/AN/A8094187
2024-07-10$21.24$21.007.6%2.2%7.2%6.1%7.5%1.0%-0.6%347-3.5K-4940.17129.19N/AN/A6199187
2024-07-11$21.48$21.0012.6%3.6%8.0%14.4%0.0%1.6%-11.1%711-18.6K-4790.13135.21N/AN/A8193188
2024-07-12$21.52$21.0013.1%3.8%7.8%15.2%0.0%1.5%0.1%596-34.8K-5120.00136.97N/AN/A3097188
2024-07-15$21.46$21.0014.5%4.1%7.7%17.4%0.0%1.6%-16.2%-3.6K-11.2K-6010.00135.33N/AN/A3096188
2024-07-16$21.54$21.008.8%2.5%7.7%8.2%11.1%1.4%-0.2%-1.0K-38.8K-4550.16123.12N/AN/A25499188
2024-07-17$21.52$21.008.9%2.5%7.7%8.3%0.0%1.1%-0.6%-3.2K-43.9K-5260.00121.83N/AN/A20105189
2024-07-18$21.41$21.007.8%2.2%7.9%6.5%24.5%0.8%-2.4%-123-16.4K-6700.00128.39N/AN/A016105189
2024-07-19$21.44$21.008.4%2.4%7.5%7.5%0.0%0.3%-3.1%6.3K-37.9K-4382.00131.34N/AN/A12105202
2024-07-22$21.38$21.005.9%1.7%7.5%3.4%0.0%0.9%6.8%-5.2K30.3K-7790.07124.10N/AN/A15172168
2024-07-23$21.36$21.007.5%2.2%7.4%6.1%16.4%1.1%5.4%-8.0K23.8K-5850.00124.81N/AN/A0172169
2024-07-24$21.23$22.009.0%2.6%7.7%8.4%0.0%0.5%-5.4%-12.2K35.5K-5060.00121.56N/AN/A01172170
2024-07-25$21.30$22.007.6%2.2%7.7%6.1%0.0%-0.3%6.0%-11.7K34.3K-5850.00125.38N/AN/A0172181
2024-07-26$21.41$22.007.1%2.0%7.9%5.4%0.0%1.1%7.0%-9.6K22.6K-6020.00124.17N/AN/A0072182
2024-07-29$21.34$22.008.2%2.4%7.6%7.1%18.3%0.6%5.8%-11.4K37.6K-6330.40125.15N/AN/A5272182
2024-07-30$21.34$22.008.5%2.4%7.6%7.6%0.0%-0.2%5.6%-11.7K30.6K-5530.00125.49N/AN/A0077184
2024-07-31$21.46$22.009.6%2.7%7.6%9.3%0.0%3.6%3.8%-4.1K3.1K-4170.00125.21N/AN/A0577184