PSEP Options History — September 2021 In September 2021, PSEP traded between $29.09 and $29.73. ATM implied volatility averaged 25.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 21.4% (HV 20d: 3.7%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2021-09-15 : Largest IV spike — 117.9% change2021-09-28 : Highest IV Rank — 25.0%2021-09-28 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $29.46 $29.09 $29.73 $29.70 $29.10 ATM IV 25.1% 13.6% 43.9% 29.5% 27.6% Expected Move 6.8% 3.9% 12.6% 8.4% 7.9% HV 20d 3.7% 0.8% 7.2% 0.8% 7.2% HV 60d 2.7% 1.7% 4.3% 1.7% 4.3% IV Rank 12.9% 5.4% 25.0% 15.7% 14.5% IV Percentile 39.5% 1.1% 82.1% 60.7% 55.1% Term Structure -5.7% -15.3% 6.7% -10.7% -8.4% Skew 25d 1.9% -0.3% 6.4% 3.4% 3.6% Skew 10d 2.3% 0.7% 11.5% 0.9% 1.5% Call IV 25d 22.2% 15.6% 37.0% 25.9% 29.3% Put IV 25d 24.1% 17.0% 41.7% 29.3% 32.9% Bid-Ask Spread % 168.56 155.63 190.09 165.84 163.30 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-09-01 $29.70 $0.00 29.5% 8.4% 0.8% 15.7% 0.0% 3.4% -10.7% 0 0 0 0.00 165.84 N/A N/A 0 0 0 0 2021-09-02 $29.70 $0.00 31.0% 5.8% 0.8% 16.6% 0.0% 2.3% -4.6% 0 0 0 0.00 177.22 N/A N/A 0 0 0 0 2021-09-03 $29.73 $0.00 32.0% 5.8% 0.8% 17.3% 0.0% 2.8% -4.7% 0 0 0 0.00 160.39 N/A N/A 0 0 0 0 2021-09-07 $29.68 $0.00 26.4% 4.9% 1.1% 13.7% 0.0% 1.5% -3.8% 0 0 0 0.00 167.58 N/A N/A 0 0 0 0 2021-09-08 $29.63 $0.00 21.7% 6.2% 1.2% 10.7% 0.0% 2.9% -5.6% 0 0 0 0.00 176.90 N/A N/A 0 0 0 0 2021-09-09 $29.60 $0.00 13.6% 3.9% 1.3% 5.4% 0.0% 1.3% -4.0% 0 0 0 0.00 164.59 N/A N/A 0 0 0 0 2021-09-10 $29.47 $0.00 15.7% 4.5% 2.0% 6.8% 0.0% 1.1% -6.1% 0 0 0 0.00 159.53 N/A N/A 0 0 0 0 2021-09-13 $29.47 $0.00 18.2% 5.2% 2.0% 8.4% 0.0% 1.5% -7.2% 0 0 0 0.00 166.37 N/A N/A 0 0 0 0 2021-09-14 $29.40 $0.00 17.5% 5.0% 2.1% 8.0% 0.0% 1.7% -7.1% 0 0 0 0.00 164.20 N/A N/A 0 0 0 0 2021-09-15 $29.58 $0.00 38.1% 10.9% 3.1% 21.3% 0.0% 4.7% -4.3% 0 0 0 0.00 179.47 N/A N/A 0 0 0 0 2021-09-16 $29.55 $0.00 14.7% 4.2% 3.1% 6.1% 0.0% 1.0% 6.7% 0 0 0 0.00 155.63 N/A N/A 0 0 0 0 2021-09-17 $29.40 $0.00 17.6% 5.1% 3.6% 8.0% 0.0% 0.7% -5.4% 0 0 0 0.00 162.70 N/A N/A 0 0 0 0 2021-09-20 $29.09 $0.00 27.2% 7.8% 5.1% 14.2% 0.0% 1.2% -6.7% 0 0 0 0.00 162.58 N/A N/A 0 0 0 0 2021-09-21 $29.20 $0.00 40.3% 11.6% 5.4% 22.7% 0.0% 6.4% -10.7% 0 0 0 0.00 190.09 N/A N/A 0 0 0 0 2021-09-22 $29.31 $0.00 27.3% 7.8% 5.6% 14.3% 0.0% 0.9% -7.4% 0 0 0 0.00 171.86 N/A N/A 0 0 0 0 2021-09-23 $29.49 $0.00 16.7% 4.8% 6.1% 7.4% 0.0% 0.6% -4.7% 0 0 0 0.00 155.77 N/A N/A 0 0 0 0 2021-09-24 $29.55 $0.00 19.4% 5.6% 6.1% 9.2% 0.0% 2.8% -9.0% 0 0 0 0.00 167.98 N/A N/A 0 0 0 0 2021-09-27 $29.53 $0.00 26.8% 7.7% 6.1% 13.9% 0.0% 0.1% 1.3% 0 0 0 0.00 179.51 N/A N/A 0 0 0 0 2021-09-28 $29.22 $0.00 43.9% 12.6% 7.1% 25.0% 0.0% -0.3% -15.3% 0 0 0 0.00 183.38 N/A N/A 0 0 0 0 2021-09-29 $29.23 $0.00 22.0% 6.3% 7.1% 10.9% 0.0% -0.1% -1.6% 0 0 0 0.00 164.92 N/A N/A 0 0 0 0 2021-09-30 $29.10 $0.00 27.6% 7.9% 7.2% 14.5% 0.0% 3.6% -8.4% 0 0 0 0.00 163.30 N/A N/A 0 0 0 0
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