PFFA Options History — August 2024

In August 2024, PFFA traded between $20.98 and $21.93. ATM implied volatility averaged 8.6%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded below realized volatility by 0.9% (HV 20d: 9.5%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2024-08-15: Highest Volume — 65 contracts
  • 2024-08-28: Largest IV spike — 82.9% change
  • 2024-08-13: Highest IV Rank — 33.5%
  • 2024-08-08: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.57$20.98$21.93$21.41$21.93
Max Pain$21.09$21.00$22.00$22.00$21.00
ATM IV8.6%3.0%24.3%11.2%5.0%
Expected Move2.0%0.8%3.9%3.2%1.4%
HV 20d9.5%7.2%10.3%7.2%9.6%
HV 60d8.5%7.9%8.9%8.1%7.9%
IV Rank8.1%0.0%33.5%12.0%3.3%
IV Percentile37.0%0.0%98.8%72.6%6.3%
Term Structure3.9%-5.8%65.4%-1.1%0.7%
VWIV10.0%3.3%28.6%6.8%3.3%
Skew 25d19.1%-1.9%64.5%-0.5%40.9%
Skew 10d32.9%-12.4%83.6%2.0%54.9%
Call IV 25d9.5%3.4%21.1%6.7%6.9%
Put IV 25d28.5%6.2%71.8%6.2%47.8%
Bid-Ask Spread %113.10106.66129.00122.50108.25
Gamma HHI0.470.260.860.460.76
Net GEX419-23.3K35.1K-3.8K33.8K
Net DEX-18.3K-128.9K96.5K20.7K-128.9K
Net VEX-583-896-383-427-561
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.005.004.800.00
Total Volume13.81806501
Total OI355.864266478266478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$21.41$22.0011.2%3.2%7.2%12.0%0.0%-0.5%-1.1%-3.8K20.7K-4270.00122.50N/AN/A0077189
2024-08-02$21.32$22.008.5%2.4%7.2%7.7%0.0%-1.9%1.4%-5.1K30.5K-4250.00124.49N/AN/A0177189
2024-08-05$20.98$21.0010.1%2.0%9.1%10.3%6.8%50.2%-3.4%-17.9K96.5K-5764.80122.27N/AN/A52478189
2024-08-06$21.23$21.0011.7%2.7%9.9%12.8%11.8%0.6%8.7%-20.6K70.0K-5722.00129.00N/AN/A1280214
2024-08-07$21.27$21.0015.3%3.0%9.8%18.8%7.1%5.4%3.4%-14.8K48.7K-5890.00112.78N/AN/A1088214
2024-08-08$21.32$21.0011.7%3.9%9.0%12.8%0.0%4.6%-5.8%-13.0K46.2K-7460.00123.66N/AN/A0088214
2024-08-09$21.34$21.0012.3%3.0%9.0%13.9%10.1%24.6%4.0%-14.2K42.8K-5750.00110.97N/AN/A3088214
2024-08-12$21.24$21.0017.4%2.0%9.0%22.2%0.0%23.5%8.3%-23.3K65.1K-6560.00110.78N/AN/A0091214
2024-08-13$21.48$21.0024.3%3.6%9.9%33.5%0.0%19.9%1.7%-11.1K24.9K-6660.83110.23N/AN/A121091214
2024-08-14$21.54$21.005.9%1.7%9.9%3.4%7.2%0.4%-2.8%-10.0K-9.4K-5440.10112.64N/AN/A101103224
2024-08-15$21.59$21.008.3%2.4%9.8%7.2%8.8%1.1%65.4%-3.5K-31.5K-4491.95112.36N/AN/A2243111224
2024-08-16$21.77$21.006.5%1.9%10.1%4.3%4.7%64.5%1.5%8.4K-77.5K-5175.00112.52N/AN/A15132266
2024-08-19$21.76$21.003.5%1.0%10.1%0.0%0.0%0.4%-0.3%-4.0K-35.0K-8080.00107.73N/AN/A04122247
2024-08-20$21.63$21.004.0%1.2%10.3%0.8%4.3%22.4%-1.1%3.8K-35.8K-5920.45106.69N/AN/A115112251
2024-08-21$21.70$21.003.9%1.1%10.1%0.6%4.3%26.9%-0.2%5.6K-55.8K-5910.00107.64N/AN/A03123252
2024-08-22$21.72$21.004.1%1.2%10.0%0.9%28.6%28.9%-0.5%12.6K-66.6K-3831.15109.96N/AN/A2630123255
2024-08-23$21.86$21.004.8%1.4%10.1%2.0%0.0%39.6%-0.3%17.6K-101.1K-5290.00108.72N/AN/A00137275
2024-08-26$21.86$21.006.8%1.9%10.0%5.3%8.1%0.5%-1.0%6.4K-76.5K-7140.88111.11N/AN/A2623144276
2024-08-27$21.87$21.003.9%1.1%10.0%0.6%11.4%34.3%2.1%24.8K-85.6K-5352.00106.66N/AN/A24153299
2024-08-28$21.87$21.007.1%2.0%9.9%5.8%23.2%0.3%-0.3%2.5K-48.5K-8960.00109.84N/AN/A20153303
2024-08-29$21.91$21.003.0%0.8%9.8%0.0%3.3%32.8%5.0%35.1K-96.7K-4640.13107.36N/AN/A233154303
2024-08-30$21.93$21.005.0%1.4%9.6%3.3%0.0%40.9%0.7%33.8K-128.9K-5610.00108.25N/AN/A10172306