PSEP Options History — December 2020

In December 2020, PSEP traded between $27.69 and $27.95. ATM implied volatility averaged 51.5%. The 30-day expected move averaged 14.8%. Net GEX was positive for 0 of 11 trading days. Term structure was in contango for 2 of 11 days.

Notable Days

  • 2020-12-28: Largest IV spike — 163.8% change
  • 2020-12-31: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.80$27.69$27.95$27.79$27.95
ATM IV51.5%19.6%66.5%45.1%66.5%
Expected Move14.8%5.6%19.1%12.9%19.1%
Term Structure-3.5%-23.2%61.2%-5.2%-23.2%
Skew 25d1.2%-1.0%4.1%4.1%-1.0%
Skew 10d10.5%1.8%15.0%9.8%15.0%
Call IV 25d44.0%22.3%55.7%37.2%53.2%
Put IV 25d45.2%23.3%59.8%41.3%52.2%
Bid-Ask Spread %190.79158.15196.87194.63192.62
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (11 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-16$27.79$0.0045.1%12.9%0.0%0.0%0.0%4.1%-5.2%0000.00194.63N/AN/A0000
2020-12-17$27.81$0.0051.1%14.6%0.0%0.0%0.0%3.5%61.2%0000.00194.86N/AN/A0000
2020-12-18$27.70$0.0049.2%14.1%0.0%0.0%0.0%1.3%-7.5%0000.00194.37N/AN/A0000
2020-12-21$27.69$0.0051.7%14.8%0.0%0.0%0.0%4.0%20.7%0000.00196.87N/AN/A0000
2020-12-22$27.70$0.0049.6%14.2%0.0%0.0%0.0%0.5%-15.9%0000.00194.60N/AN/A0000
2020-12-23$27.80$0.0056.0%16.1%0.0%0.0%0.0%0.6%-14.0%0000.00194.97N/AN/A0000
2020-12-24$27.83$0.0019.6%5.6%0.0%0.0%0.0%1.1%-5.4%0000.00158.15N/AN/A0000
2020-12-28$27.87$0.0051.6%14.8%0.0%0.0%0.0%0.1%-9.8%0000.00191.25N/AN/A0000
2020-12-29$27.88$0.0062.5%17.9%0.0%0.0%0.0%-0.9%-19.2%0000.00194.19N/AN/A0000
2020-12-30$27.82$0.0063.4%18.2%0.0%0.0%0.0%-0.3%-20.8%0000.00192.21N/AN/A0000
2020-12-31$27.95$0.0066.5%19.1%0.0%0.0%0.0%-1.0%-23.2%0000.00192.62N/AN/A0000