PSEP Options History — October 2021 In October 2021, PSEP traded between $29.01 and $29.98. ATM implied volatility averaged 23.0%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 15.3% (HV 20d: 7.7%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2021-10-13 : Highest Volume — 88 contracts2021-10-12 : Largest IV spike — 177.4% change2021-10-12 : Highest IV Rank — 39.4%2021-10-27 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.56 $29.01 $29.98 $29.23 $29.98 Max Pain $29.00 $29.00 $29.00 $29.00 $29.00 ATM IV 23.0% 10.4% 66.3% 20.8% 15.2% Expected Move 4.8% 3.0% 7.2% 6.0% 4.4% HV 20d 7.7% 5.8% 8.9% 7.4% 5.8% HV 60d 5.2% 4.4% 5.5% 4.4% 5.5% IV Rank 11.5% 3.4% 39.4% 10.1% 6.5% IV Percentile 30.2% 1.0% 95.1% 27.1% 7.8% Term Structure -3.7% -18.9% 6.6% -6.1% -3.7% VWIV 11.4% 11.4% 11.4% 11.4% 11.4% Skew 25d -3.1% -10.7% 5.8% 0.4% -10.7% Skew 10d 0.0% -7.2% 2.5% 1.1% -3.6% Call IV 25d 16.1% 4.7% 28.9% 28.9% 19.5% Put IV 25d 13.0% 6.8% 29.3% 29.3% 8.8% Bid-Ask Spread % 150.12 88.74 171.35 160.21 152.00 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -9.2K -20.2K 0 0 -18.1K Net DEX 37.2K 0 91.1K 0 54.3K Net VEX -125 -289 0 0 -188 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 4.19 0 88 0 0 Total OI 46.095 0 88 0 88
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 2021-10-01 $29.23 $0.00 20.8% 6.0% 7.4% 10.1% 0.0% 0.4% -6.1% 0 0 0 0.00 160.21 N/A N/A 0 0 0 0 2021-10-04 $29.01 $0.00 25.5% 3.7% 7.8% 13.1% 0.0% 0.2% -0.3% 0 0 0 0.00 162.04 N/A N/A 0 0 0 0 2021-10-05 $29.17 $0.00 38.3% 6.1% 8.1% 21.4% 0.0% 1.7% -3.2% 0 0 0 0.00 167.72 N/A N/A 0 0 0 0 2021-10-06 $29.18 $0.00 39.7% 5.2% 8.1% 22.3% 0.0% 1.1% -10.5% 0 0 0 0.00 149.16 N/A N/A 0 0 0 0 2021-10-07 $29.38 $0.00 27.9% 3.6% 8.6% 14.7% 0.0% 0.4% -2.3% 0 0 0 0.00 139.01 N/A N/A 0 0 0 0 2021-10-08 $29.34 $0.00 22.8% 3.8% 8.5% 11.4% 0.0% 1.1% -2.6% 0 0 0 0.00 157.79 N/A N/A 0 0 0 0 2021-10-11 $29.28 $0.00 23.9% 4.0% 8.5% 12.1% 0.0% 5.8% -1.1% 0 0 0 0.00 117.50 N/A N/A 0 0 0 0 2021-10-12 $29.20 $0.00 66.3% 6.5% 8.5% 39.4% 0.0% 0.8% -4.1% 0 0 0 0.00 171.35 N/A N/A 0 0 0 0 2021-10-13 $29.27 $0.00 10.4% 3.0% 8.2% 3.4% 11.4% 1.0% 2.8% 0 0 0 0.00 154.94 N/A N/A 0 88 0 0 2021-10-14 $29.53 $0.00 11.2% 3.2% 8.9% 3.9% 0.0% 1.8% 6.6% 0 0 0 0.00 107.98 N/A N/A 0 0 0 0 2021-10-15 $29.62 $29.00 14.1% 4.0% 8.7% 5.8% 0.0% -4.9% -2.9% -20.2K 81.8K -289 0.00 156.63 N/A N/A 0 0 0 88 2021-10-18 $29.68 $29.00 22.6% 6.5% 7.7% 11.3% 0.0% -1.2% -4.4% -14.8K 91.1K -287 0.00 170.76 N/A N/A 0 0 0 88 2021-10-19 $29.70 $29.00 15.7% 4.5% 7.6% 6.8% 0.0% -5.1% -2.9% -18.2K 80.9K -272 0.00 156.72 N/A N/A 0 0 0 88 2021-10-20 $29.84 $29.00 22.2% 6.4% 7.7% 11.0% 0.0% -2.4% -18.9% -18.7K 67.3K -240 0.00 88.74 N/A N/A 0 0 0 88 2021-10-21 $29.84 $29.00 13.7% 3.9% 7.4% 5.5% 0.0% -10.2% -2.7% -19.1K 65.6K -236 0.00 153.98 N/A N/A 0 0 0 88 2021-10-22 $29.84 $29.00 13.6% 3.9% 7.4% 5.4% 0.0% -10.3% -2.8% -19.3K 64.8K -232 0.00 151.85 N/A N/A 0 0 0 88 2021-10-25 $29.91 $29.00 24.3% 7.0% 7.4% 12.4% 0.0% -7.2% -5.3% -14.3K 80.1K -245 0.00 161.29 N/A N/A 0 0 0 88 2021-10-26 $29.95 $29.00 14.2% 4.1% 6.1% 5.9% 0.0% -9.8% -3.4% -18.2K 57.2K -201 0.00 151.81 N/A N/A 0 0 0 88 2021-10-27 $29.88 $29.00 25.0% 7.2% 6.3% 12.8% 0.0% -6.8% -6.0% -14.6K 81.0K -235 0.00 168.43 N/A N/A 0 0 0 88 2021-10-28 $29.96 $29.00 15.3% 4.4% 5.9% 6.5% 0.0% -10.4% -4.4% -18.3K 56.9K -192 0.00 152.69 N/A N/A 0 0 0 88 2021-10-29 $29.98 $29.00 15.2% 4.4% 5.8% 6.5% 0.0% -10.7% -3.7% -18.1K 54.3K -188 0.00 152.00 N/A N/A 0 0 0 88
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