PSEP Options History — July 2022

In July 2022, PSEP traded between $28.21 and $29.20. ATM implied volatility averaged 44.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 33.5% (HV 20d: 11.1%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2022-07-05: Highest Volume — 76 contracts
  • 2022-07-07: Largest IV spike — 225.3% change
  • 2022-07-07: Highest IV Rank — 100.0%
  • 2022-07-08: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.67$28.21$29.20$28.21$29.20
ATM IV44.6%16.0%148.4%49.8%17.4%
Expected Move8.4%4.6%17.8%7.9%5.0%
HV 20d11.1%6.9%15.1%14.7%6.9%
HV 60d13.9%13.0%14.2%14.1%13.0%
IV Rank30.3%7.5%100.0%57.1%8.5%
IV Percentile71.4%24.6%100.0%98.0%29.8%
Term Structure-16.3%-54.3%-1.6%-3.6%-11.3%
Skew 25d1.4%-2.4%9.4%1.8%-0.3%
Skew 10d2.8%0.6%12.4%1.2%0.8%
Call IV 25d27.7%17.2%78.2%20.9%22.0%
Put IV 25d29.1%19.0%87.0%22.7%21.7%
Bid-Ask Spread %163.31135.90177.52177.52153.14
Gamma HHI0.330.260.390.290.38
Net GEX-5.1K-11.1K-1.5K-7.5K-4.3K
Net DEX129.6K98.1K152.3K152.3K98.1K
Net VEX-664-909-543-648-543
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.171.171.171.171.17
Total Volume7676767676
Total OI170170170170170

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-05$28.21$0.0049.8%7.9%14.7%57.1%0.0%1.8%-3.6%-7.5K152.3K-6481.17177.52N/AN/A354135135
2022-07-06$28.40$0.0043.6%6.9%15.0%49.2%0.0%2.0%-2.9%-5.3K143.6K-6381.17171.70N/AN/A354135135
2022-07-07$28.55$0.00141.9%17.6%15.1%100.0%0.0%9.4%-54.3%-3.0K148.8K-6821.17174.27N/AN/A354135135
2022-07-08$28.59$0.00148.4%17.8%15.0%100.0%0.0%8.5%-53.5%-6.0K129.7K-9091.17170.15N/AN/A354135135
2022-07-11$28.45$0.0065.2%7.3%15.1%41.9%0.0%1.0%-4.2%-7.3K127.4K-7551.17163.44N/AN/A354135135
2022-07-12$28.31$0.0068.1%7.7%14.9%43.9%0.0%0.4%-8.6%-6.1K136.4K-6711.17163.29N/AN/A354135135
2022-07-13$28.33$0.0025.9%7.4%14.4%14.5%0.0%0.6%-3.4%-7.7K140.1K-7231.17160.16N/AN/A354135135
2022-07-14$28.28$0.0030.4%8.7%11.8%17.6%0.0%0.1%-1.6%-11.1K132.2K-8361.17166.54N/AN/A354135135
2022-07-15$28.52$0.0026.4%7.6%12.1%14.9%0.0%0.5%-11.1%-10.0K130.5K-7621.17153.94N/AN/A354135135
2022-07-18$28.54$0.0017.1%4.9%11.7%8.3%0.0%-2.4%-7.1%-8.1K125.2K-6841.17153.01N/AN/A354135135
2022-07-19$28.83$0.0016.0%4.6%9.1%7.5%0.0%0.1%-5.7%-4.5K130.3K-6151.17152.14N/AN/A354135135
2022-07-20$28.81$0.0029.5%8.5%9.2%17.0%0.0%1.8%-21.0%-2.1K134.9K-6201.17167.82N/AN/A354135135
2022-07-21$28.91$0.0032.2%9.2%8.1%18.9%0.0%0.8%-23.7%-2.0K128.1K-6111.17167.18N/AN/A354135135
2022-07-22$28.85$0.0031.7%9.1%8.2%18.5%0.0%0.4%-24.2%-1.5K124.6K-6021.17170.94N/AN/A354135135
2022-07-25$28.89$0.0016.7%4.8%8.2%8.0%0.0%1.5%-9.4%-1.6K123.2K-5701.17157.48N/AN/A354135135
2022-07-26$28.84$0.0017.5%5.0%7.3%8.6%0.0%-0.2%-9.8%-2.7K122.2K-5701.17135.90N/AN/A354135135
2022-07-27$29.03$0.0034.8%10.0%7.6%20.7%0.0%-0.1%-26.5%-2.8K121.3K-6101.17172.48N/AN/A354135135
2022-07-28$29.12$0.0035.0%10.0%7.2%20.8%0.0%0.1%-27.2%-2.5K113.4K-5731.17171.73N/AN/A354135135
2022-07-29$29.20$0.0017.4%5.0%6.9%8.5%0.0%-0.3%-11.3%-4.3K98.1K-5431.17153.14N/AN/A354135135