PSEP Options History — December 2021

In December 2021, PSEP traded between $29.55 and $30.43. ATM implied volatility averaged 25.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 17.2% (HV 20d: 8.0%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days.

Notable Days

  • 2021-12-10: Largest IV spike — 63.1% change
  • 2021-12-10: Highest IV Rank — 24.7%
  • 2021-12-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.11$29.55$30.43$29.71$30.40
ATM IV25.1%13.0%43.5%32.0%18.4%
Expected Move5.6%3.7%9.8%9.2%5.3%
HV 20d8.0%5.7%9.3%5.7%7.9%
HV 60d6.7%6.3%7.2%6.5%6.3%
IV Rank12.9%5.1%24.7%17.3%8.5%
IV Percentile43.2%2.0%84.7%71.8%23.4%
Term Structure-5.5%-12.7%0.0%-11.7%-5.9%
Skew 25d1.6%0.1%8.2%2.0%1.0%
Skew 10d2.8%0.4%17.1%0.7%0.7%
Call IV 25d18.9%14.8%34.5%26.2%19.7%
Put IV 25d20.4%15.6%42.7%28.2%20.7%
Bid-Ask Spread %162.67157.66176.64158.41159.69
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$29.71$0.0032.0%9.2%5.7%17.3%0.0%2.0%-11.7%0000.00158.41N/AN/A0000
2021-12-02$29.81$0.0031.5%9.0%5.9%17.0%0.0%8.2%-11.1%0000.00168.68N/AN/A0000
2021-12-03$29.55$0.0034.2%9.8%6.4%18.7%0.0%3.9%-12.7%0000.00161.83N/AN/A0000
2021-12-06$29.81$0.0036.1%5.8%7.2%20.0%0.0%1.9%-4.0%0000.00161.95N/AN/A0000
2021-12-07$30.09$0.0023.9%3.7%8.1%12.1%0.0%1.1%-3.4%0000.00160.06N/AN/A0000
2021-12-08$30.15$0.0025.8%3.7%8.0%13.3%0.0%1.2%-3.5%0000.00159.49N/AN/A0000
2021-12-09$30.14$0.0026.7%3.7%7.9%13.9%0.0%0.4%-3.7%0000.00158.68N/AN/A0000
2021-12-10$30.20$0.0043.5%6.0%7.9%24.7%0.0%0.4%-4.0%0000.00164.70N/AN/A0000
2021-12-13$30.14$0.0038.7%6.2%7.9%21.6%0.0%0.7%-12.0%0000.00161.52N/AN/A0000
2021-12-14$30.06$0.0040.2%3.9%7.9%22.6%0.0%1.4%-4.0%0000.00157.66N/AN/A0000
2021-12-15$30.21$0.0021.5%6.2%8.1%10.6%0.0%0.1%-5.2%0000.00169.59N/AN/A0000
2021-12-16$30.15$0.0021.9%6.3%8.1%10.8%0.0%0.7%-3.6%0000.00170.56N/AN/A0000
2021-12-17$30.02$0.0022.3%6.4%8.2%11.0%0.0%0.7%-3.6%0000.00171.29N/AN/A0000
2021-12-20$29.78$0.0013.0%3.7%8.7%5.1%0.0%1.5%0.0%0000.00159.13N/AN/A0000
2021-12-21$30.05$0.0014.7%4.2%9.3%6.1%0.0%1.7%-3.3%0000.00159.04N/AN/A0000
2021-12-22$30.16$0.0014.8%4.3%9.3%6.3%0.0%1.9%-3.4%0000.00158.77N/AN/A0000
2021-12-23$30.27$0.0015.0%4.3%9.3%6.4%0.0%1.9%-3.7%0000.00160.49N/AN/A0000
2021-12-27$30.37$0.0016.5%4.7%8.9%7.3%0.0%0.4%-4.4%0000.00160.88N/AN/A0000
2021-12-28$30.39$0.0017.2%4.9%8.8%7.8%0.0%1.0%-5.1%0000.00159.69N/AN/A0000
2021-12-29$30.43$0.0027.1%7.8%8.1%14.2%0.0%1.4%-6.9%0000.00176.64N/AN/A0000
2021-12-30$30.43$0.0017.9%5.1%7.9%8.2%0.0%1.1%-5.5%0000.00159.92N/AN/A0000
2021-12-31$30.40$0.0018.4%5.3%7.9%8.5%0.0%1.0%-5.9%0000.00159.69N/AN/A0000