PSEP Options History — April 2021

In April 2021, PSEP traded between $28.88 and $29.19. ATM implied volatility averaged 30.8%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 27.6% (HV 20d: 3.2%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2021-04-14: Largest IV drop — 73.9% change
  • 2021-04-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.07$28.88$29.19$28.88$29.14
ATM IV30.8%17.4%66.5%23.4%30.1%
Expected Move6.7%5.0%8.6%6.7%8.6%
HV 20d3.2%2.6%4.6%4.6%2.6%
HV 60d6.0%4.8%6.6%6.6%4.8%
Term Structure-4.7%-18.7%3.0%-18.7%-7.8%
Skew 25d3.2%-1.0%7.4%3.3%1.3%
Skew 10d3.7%-0.6%14.2%3.7%1.2%
Call IV 25d19.1%12.6%24.9%24.9%23.2%
Put IV 25d22.3%20.0%28.2%28.2%24.6%
Bid-Ask Spread %162.00125.64190.78152.35162.70
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$28.88$0.0023.4%6.7%4.6%0.0%0.0%3.3%-18.7%0000.00152.35N/AN/A0000
2021-04-05$28.97$0.0027.4%5.4%3.6%0.0%0.0%4.9%-1.8%0000.00174.06N/AN/A0000
2021-04-06$28.97$0.0039.8%6.5%3.6%0.0%0.0%3.6%-2.5%0000.00177.61N/AN/A0000
2021-04-07$28.96$0.0042.0%6.6%3.3%0.0%0.0%3.4%-2.0%0000.00176.34N/AN/A0000
2021-04-08$29.02$0.0043.0%6.6%3.3%0.0%0.0%3.9%-2.5%0000.00176.75N/AN/A0000
2021-04-09$29.04$0.0034.3%6.7%3.2%0.0%0.0%7.4%-7.8%0000.00154.66N/AN/A0000
2021-04-12$29.01$0.0058.8%6.7%3.3%0.0%0.0%3.6%-3.1%0000.00162.19N/AN/A0000
2021-04-13$29.06$0.0066.5%5.2%3.3%0.0%0.0%4.8%-2.3%0000.00136.82N/AN/A0000
2021-04-14$29.06$0.0017.4%5.0%3.3%0.0%0.0%4.7%-2.5%0000.00125.64N/AN/A0000
2021-04-15$29.16$0.0024.3%7.0%3.4%0.0%0.0%3.6%-3.5%0000.00177.04N/AN/A0000
2021-04-16$29.15$0.0024.0%6.9%3.0%0.0%0.0%-1.0%-9.7%0000.00190.78N/AN/A0000
2021-04-19$29.07$0.0021.9%6.3%3.3%0.0%0.0%3.9%3.0%0000.00139.25N/AN/A0000
2021-04-20$29.04$0.0026.3%7.5%3.3%0.0%0.0%3.6%-4.6%0000.00175.98N/AN/A0000
2021-04-21$29.10$0.0025.9%7.4%2.9%0.0%0.0%3.4%-3.9%0000.00157.15N/AN/A0000
2021-04-22$29.07$0.0027.2%7.8%3.0%0.0%0.0%1.9%-6.6%0000.00146.76N/AN/A0000
2021-04-23$29.12$0.0026.5%7.6%3.0%0.0%0.0%2.6%-5.2%0000.00167.66N/AN/A0000
2021-04-26$29.12$0.0028.0%8.0%2.9%0.0%0.0%1.8%-5.6%0000.00175.78N/AN/A0000
2021-04-27$29.12$0.0018.9%5.4%2.9%0.0%0.0%2.5%-3.3%0000.00160.25N/AN/A0000
2021-04-28$29.14$0.0024.0%6.9%2.9%0.0%0.0%1.4%-3.8%0000.00168.51N/AN/A0000
2021-04-29$29.19$0.0017.5%5.0%2.9%0.0%0.0%2.3%-3.7%0000.00143.68N/AN/A0000
2021-04-30$29.14$0.0030.1%8.6%2.6%0.0%0.0%1.3%-7.8%0000.00162.70N/AN/A0000