PFFA Options History — September 2024 In September 2024, PFFA traded between $21.89 and $22.95. ATM implied volatility averaged 7.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 1.9% (HV 20d: 5.6%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.06.
Notable Days 2024-09-18 : Highest Volume — 107 contracts2024-09-26 : Largest IV spike — 59.4% change2024-09-16 : Highest IV Rank — 17.0%2024-09-16 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $22.52 $21.89 $22.95 $21.89 $22.82 Max Pain $21.90 $21.00 $22.00 $21.00 $22.00 ATM IV 7.4% 3.1% 13.5% 4.5% 5.3% Expected Move 2.1% 0.9% 3.9% 1.3% 1.5% HV 20d 5.6% 4.2% 7.2% 7.2% 5.6% HV 60d 7.8% 7.6% 7.9% 7.9% 7.7% IV Rank 7.2% 0.2% 17.0% 2.5% 3.8% IV Percentile 34.0% 0.4% 85.3% 3.6% 8.7% Term Structure 4.3% -2.5% 15.3% 1.7% 10.9% VWIV 12.4% 2.6% 37.0% 2.8% 3.8% Skew 25d 11.2% 2.1% 39.8% 38.4% 2.1% Skew 10d 19.8% 0.2% 60.9% 31.1% 0.2% Call IV 25d 6.4% 4.0% 18.3% 18.3% 5.3% Put IV 25d 17.6% 6.7% 56.7% 56.7% 7.4% Bid-Ask Spread % 120.31 106.27 145.87 107.52 106.27 Gamma HHI 0.60 0.30 0.94 0.74 0.33 Net GEX 26.0K -1.0K 73.3K 33.1K 16.9K Net DEX -212.4K -356.3K -69.4K -100.5K -90.2K Net VEX -767 -1.6K -296 -544 -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.00 7.00 7.00 0.89 Total Volume 23.65 0 107 16 36 Total OI 521.15 477 675 479 528
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 2024-09-03 $21.89 $21.00 4.5% 1.3% 7.2% 2.5% 2.8% 38.4% 1.7% 33.1K -100.5K -544 7.00 107.52 N/A N/A 2 14 173 306 2024-09-04 $21.99 $21.00 6.1% 1.7% 6.3% 5.0% 6.1% 39.8% 1.3% 39.4K -170.6K -485 0.00 108.56 N/A N/A 0 2 175 302 2024-09-05 $22.11 $22.00 8.7% 2.5% 6.4% 9.2% 8.8% 21.6% -1.8% 37.9K -207.4K -472 0.00 125.89 N/A N/A 21 0 175 302 2024-09-06 $22.06 $22.00 7.0% 2.0% 6.6% 6.6% 25.1% 23.0% 0.3% 43.6K -195.4K -527 1.00 114.23 N/A N/A 4 4 182 302 2024-09-09 $22.19 $22.00 6.7% 2.1% 6.7% 6.0% 0.0% 18.2% -0.5% 73.3K -291.2K -364 0.00 124.60 N/A N/A 13 0 182 306 2024-09-10 $22.23 $22.00 9.0% 2.3% 6.2% 9.7% 0.0% 17.6% -2.5% 55.5K -271.5K -462 0.67 124.58 N/A N/A 3 2 183 306 2024-09-11 $22.27 $22.00 6.5% 1.9% 5.3% 5.7% 7.9% 6.6% 4.6% 34.8K -277.8K -552 0.15 117.71 N/A N/A 13 2 186 308 2024-09-12 $22.37 $22.00 9.1% 2.6% 5.4% 9.8% 0.0% 11.4% -1.0% 25.7K -268.6K -497 0.00 121.56 N/A N/A 0 0 184 310 2024-09-13 $22.45 $22.00 8.8% 2.5% 5.4% 9.3% 0.0% 3.8% -0.3% 24.7K -284.7K -550 1.17 120.55 N/A N/A 12 14 183 310 2024-09-16 $22.57 $22.00 13.5% 3.9% 5.0% 17.0% 0.0% 5.1% 0.2% 12.7K -319.9K -296 0.70 121.51 N/A N/A 27 19 185 321 2024-09-17 $22.62 $22.00 9.7% 2.8% 4.9% 10.8% 9.0% 4.2% -1.2% 12.9K -294.8K -384 1.16 123.41 N/A N/A 43 50 194 340 2024-09-18 $22.76 $22.00 10.1% 2.9% 4.2% 11.5% 37.0% 3.5% -0.7% 22.9K -356.3K -412 1.97 145.87 N/A N/A 36 71 231 389 2024-09-19 $22.95 $22.00 10.5% 3.0% 4.6% 12.2% 23.0% 7.0% 10.2% 25.2K -346.0K -366 0.00 125.79 N/A N/A 25 0 216 459 2024-09-20 $22.84 $22.00 5.8% 1.7% 5.3% 4.6% 2.6% 4.1% 9.7% 3.5K -69.4K -1.4K 0.42 114.83 N/A N/A 24 10 147 459 2024-09-23 $22.81 $22.00 7.2% 2.1% 5.3% 6.8% 3.1% 4.4% 10.5% -1.0K -143.3K -1.2K 0.08 120.08 N/A N/A 13 1 156 351 2024-09-24 $22.89 $22.00 7.6% 2.2% 5.3% 7.4% 0.0% 3.6% 7.8% 21.0K -154.3K -1.2K 0.00 120.13 N/A N/A 0 0 164 352 2024-09-25 $22.86 $22.00 3.1% 0.9% 5.4% 0.2% 29.8% 2.2% 11.4% 12.2K -141.4K -1.3K 0.33 121.77 N/A N/A 3 1 165 352 2024-09-26 $22.88 $22.00 4.9% 1.4% 5.3% 3.1% 2.8% 3.4% 15.3% 10.3K -151.3K -1.3K 0.00 130.65 N/A N/A 1 0 167 352 2024-09-27 $22.88 $22.00 5.0% 1.4% 5.4% 3.3% 0.0% 3.5% 10.9% 15.5K -113.2K -1.5K 2.50 110.78 N/A N/A 2 5 168 352 2024-09-30 $22.82 $22.00 5.3% 1.5% 5.6% 3.8% 3.8% 2.1% 10.9% 16.9K -90.2K -1.6K 0.89 106.27 N/A N/A 19 17 171 357
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