PSEP Options History — May 2021

In May 2021, PSEP traded between $28.94 and $29.30. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 23.7% (HV 20d: 3.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.

Notable Days

  • 2021-05-10: Largest IV spike — 92.6% change
  • 2021-05-05: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.15$28.94$29.30$29.15$29.30
ATM IV27.4%16.6%49.5%32.0%21.4%
Expected Move7.0%3.8%9.6%9.2%6.1%
HV 20d3.7%2.4%4.8%2.4%4.7%
HV 60d4.9%4.1%5.3%4.8%4.1%
Term Structure-5.9%-11.5%3.7%-9.1%-7.4%
Skew 25d2.9%0.6%12.6%0.6%2.1%
Skew 10d2.4%0.4%15.3%1.1%1.2%
Call IV 25d19.8%10.1%26.6%25.0%20.2%
Put IV 25d22.7%17.4%27.2%25.6%22.3%
Bid-Ask Spread %147.58112.92175.13175.13124.86
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$29.15$0.0032.0%9.2%2.4%0.0%0.0%0.6%-9.1%0000.00175.13N/AN/A0000
2021-05-04$29.09$0.0018.5%5.3%2.5%0.0%0.0%12.6%3.7%0000.00112.92N/AN/A0000
2021-05-05$29.11$0.0033.5%9.6%2.5%0.0%0.0%0.6%-9.7%0000.00170.55N/AN/A0000
2021-05-06$29.15$0.0022.8%4.7%2.5%0.0%0.0%2.0%-2.7%0000.00136.09N/AN/A0000
2021-05-07$29.22$0.0020.2%3.8%2.6%0.0%0.0%1.5%-3.6%0000.00151.94N/AN/A0000
2021-05-10$29.21$0.0039.0%7.0%2.5%0.0%0.0%3.8%-6.6%0000.00157.08N/AN/A0000
2021-05-11$29.14$0.0049.5%5.0%2.7%0.0%0.0%2.3%-2.7%0000.00134.49N/AN/A0000
2021-05-12$28.94$0.0026.4%7.6%3.6%0.0%0.0%5.0%-11.5%0000.00154.16N/AN/A0000
2021-05-13$29.01$0.0016.6%4.7%3.5%0.0%0.0%1.8%-2.1%0000.00131.99N/AN/A0000
2021-05-14$29.16$0.0025.4%7.3%4.0%0.0%0.0%4.5%-5.2%0000.00145.76N/AN/A0000
2021-05-17$29.14$0.0025.8%7.4%3.9%0.0%0.0%4.1%-10.0%0000.00152.26N/AN/A0000
2021-05-18$29.14$0.0026.6%7.6%3.9%0.0%0.0%4.0%-6.6%0000.00143.25N/AN/A0000
2021-05-19$29.01$0.0026.8%7.7%4.1%0.0%0.0%1.5%-9.1%0000.00143.87N/AN/A0000
2021-05-20$29.16$0.0020.2%5.8%4.5%0.0%0.0%1.2%-2.2%0000.00159.25N/AN/A0000
2021-05-21$29.15$0.0027.6%7.9%4.5%0.0%0.0%3.5%-5.6%0000.00159.94N/AN/A0000
2021-05-24$29.26$0.0028.3%8.1%4.7%0.0%0.0%2.9%-6.8%0000.00160.39N/AN/A0000
2021-05-25$29.21$0.0028.9%8.3%4.7%0.0%0.0%2.0%-6.5%0000.00156.01N/AN/A0000
2021-05-26$29.23$0.0029.1%8.3%4.7%0.0%0.0%1.4%-6.9%0000.00147.08N/AN/A0000
2021-05-27$29.30$0.0029.3%8.4%4.8%0.0%0.0%0.6%-6.5%0000.00134.64N/AN/A0000
2021-05-28$29.30$0.0021.4%6.1%4.7%0.0%0.0%2.1%-7.4%0000.00124.86N/AN/A0000