PSEP Options History — March 2021

In March 2021, PSEP traded between $27.94 and $28.74. ATM implied volatility averaged 27.6%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 20.8% (HV 20d: 6.8%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 3 of 23 days.

Notable Days

  • 2021-03-15: Largest IV spike — 61.0% change
  • 2021-03-22: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.45$27.94$28.74$28.33$28.74
ATM IV27.6%14.2%44.3%34.0%19.0%
Expected Move7.3%4.1%11.1%9.7%5.5%
HV 20d6.8%5.5%7.6%6.3%5.5%
HV 60d6.8%6.5%7.1%6.8%6.5%
Term Structure-5.8%-21.7%4.9%-8.9%-0.4%
Skew 25d4.0%0.5%12.0%4.1%2.6%
Skew 10d5.8%0.5%14.4%13.4%8.9%
Call IV 25d20.5%12.1%27.7%25.4%24.8%
Put IV 25d24.5%14.4%31.2%29.5%27.4%
Bid-Ask Spread %154.36106.91176.01149.78146.80
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$28.33$0.0034.0%9.7%6.3%0.0%0.0%4.1%-8.9%0000.00149.78N/AN/A0000
2021-03-02$28.26$0.0036.1%10.3%5.8%0.0%0.0%2.3%-21.7%0000.00158.88N/AN/A0000
2021-03-03$28.16$0.0035.7%10.2%5.7%0.0%0.0%3.5%-10.7%0000.00158.78N/AN/A0000
2021-03-04$27.94$0.0024.9%5.9%6.3%0.0%0.0%1.5%-5.1%0000.00163.97N/AN/A0000
2021-03-05$28.21$0.0037.0%7.2%7.2%0.0%0.0%5.9%-4.3%0000.00172.76N/AN/A0000
2021-03-08$28.20$0.0030.8%5.1%7.1%0.0%0.0%1.4%-2.3%0000.00154.54N/AN/A0000
2021-03-09$28.34$0.0044.3%7.5%7.3%0.0%0.0%3.4%-3.8%0000.00159.57N/AN/A0000
2021-03-10$28.36$0.0026.8%7.7%7.3%0.0%0.0%5.7%-13.3%0000.00176.01N/AN/A0000
2021-03-11$28.46$0.0014.2%4.1%7.3%0.0%0.0%2.3%-6.9%0000.00141.85N/AN/A0000
2021-03-12$28.49$0.0016.6%4.8%7.3%0.0%0.0%0.5%-5.5%0000.00149.66N/AN/A0000
2021-03-15$28.52$0.0026.7%7.7%7.3%0.0%0.0%3.5%-4.3%0000.00161.15N/AN/A0000
2021-03-16$28.57$0.0026.4%7.6%7.3%0.0%0.0%4.0%-6.0%0000.00172.16N/AN/A0000
2021-03-17$28.59$0.0020.3%5.8%7.3%0.0%0.0%12.0%-4.3%0000.00121.81N/AN/A0000
2021-03-18$28.48$0.0027.8%8.0%7.4%0.0%0.0%2.8%4.9%0000.00170.58N/AN/A0000
2021-03-19$28.52$0.0025.8%7.4%7.4%0.0%0.0%3.5%-3.5%0000.00155.82N/AN/A0000
2021-03-22$28.59$0.0038.6%11.1%7.4%0.0%0.0%1.9%-5.4%0000.00169.45N/AN/A0000
2021-03-23$28.49$0.0029.7%8.5%7.6%0.0%0.0%3.6%-11.8%0000.00160.52N/AN/A0000
2021-03-24$28.49$0.0030.3%8.7%7.5%0.0%0.0%3.0%-12.9%0000.00153.57N/AN/A0000
2021-03-25$28.56$0.0018.3%5.3%6.3%0.0%0.0%8.1%0.4%0000.00122.21N/AN/A0000
2021-03-26$28.65$0.0025.7%7.4%6.4%0.0%0.0%3.0%0.7%0000.00166.39N/AN/A0000
2021-03-29$28.70$0.0017.9%5.1%5.9%0.0%0.0%11.3%-0.2%0000.00106.91N/AN/A0000
2021-03-30$28.72$0.0028.1%8.0%5.8%0.0%0.0%3.0%-6.9%0000.00157.07N/AN/A0000
2021-03-31$28.74$0.0019.0%5.5%5.5%0.0%0.0%2.6%-0.4%0000.00146.80N/AN/A0000