PSEP Options History — February 2021

In February 2021, PSEP traded between $27.92 and $28.36. ATM implied volatility averaged 37.9%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 30.1% (HV 20d: 7.8%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days.

Notable Days

  • 2021-02-18: Largest IV spike — 652.7% change
  • 2021-02-18: Largest Expected Move — 45.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.22$27.92$28.36$27.92$28.12
ATM IV37.9%19.8%160.1%61.2%33.1%
Expected Move10.3%5.3%45.9%17.5%9.5%
HV 20d7.8%6.6%8.7%8.7%6.6%
HV 60d6.5%6.2%6.7%6.3%6.6%
Term Structure-8.2%-42.7%2.5%-15.6%-7.9%
Skew 25d4.6%-0.3%14.9%1.0%5.0%
Skew 10d4.9%-0.0%24.8%5.7%2.7%
Call IV 25d25.2%13.6%63.7%48.9%25.2%
Put IV 25d29.8%21.0%66.3%49.9%30.1%
Bid-Ask Spread %162.14134.48196.62196.62158.22
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$27.92$0.0061.2%17.5%8.7%0.0%0.0%1.0%-15.6%0000.00196.62N/AN/A0000
2021-02-02$28.07$0.0041.4%11.9%8.3%0.0%0.0%-0.3%-15.7%0000.00195.60N/AN/A0000
2021-02-03$28.07$0.0026.7%7.6%8.2%0.0%0.0%14.9%-8.3%0000.00173.26N/AN/A0000
2021-02-04$28.16$0.0034.1%7.3%8.2%0.0%0.0%3.8%-2.6%0000.00160.91N/AN/A0000
2021-02-05$28.24$0.0019.8%6.4%8.0%0.0%0.0%2.9%0.8%0000.00134.48N/AN/A0000
2021-02-08$28.29$0.0030.6%5.3%8.0%0.0%0.0%2.9%-4.1%0000.00152.23N/AN/A0000
2021-02-09$28.31$0.0041.5%7.4%8.0%0.0%0.0%5.2%-9.4%0000.00160.44N/AN/A0000
2021-02-10$28.26$0.0026.2%7.5%8.1%0.0%0.0%5.4%-4.3%0000.00150.79N/AN/A0000
2021-02-11$28.23$0.0027.0%7.7%8.1%0.0%0.0%5.7%-5.7%0000.00158.62N/AN/A0000
2021-02-12$28.31$0.0027.3%7.8%8.1%0.0%0.0%5.8%-6.4%0000.00160.20N/AN/A0000
2021-02-16$28.33$0.0028.6%8.2%7.7%0.0%0.0%4.8%-7.7%0000.00160.82N/AN/A0000
2021-02-17$28.32$0.0021.3%6.1%7.7%0.0%0.0%8.6%-6.5%0000.00151.48N/AN/A0000
2021-02-18$28.30$0.00160.1%45.9%7.4%0.0%0.0%2.6%-42.7%0000.00193.04N/AN/A0000
2021-02-19$28.25$0.0024.1%6.9%7.5%0.0%0.0%6.8%-8.1%0000.00146.35N/AN/A0000
2021-02-22$28.24$0.0030.2%8.7%7.4%0.0%0.0%4.2%2.3%0000.00158.19N/AN/A0000
2021-02-23$28.26$0.0022.5%6.5%7.4%0.0%0.0%4.1%-4.7%0000.00150.09N/AN/A0000
2021-02-24$28.36$0.0020.2%5.8%7.5%0.0%0.0%2.3%2.5%0000.00149.09N/AN/A0000
2021-02-25$28.06$0.0043.8%12.6%7.0%0.0%0.0%1.4%-12.5%0000.00170.31N/AN/A0000
2021-02-26$28.12$0.0033.1%9.5%6.6%0.0%0.0%5.0%-7.9%0000.00158.22N/AN/A0000