PSEP Options History — September 2022

In September 2022, PSEP traded between $27.90 and $29.98. ATM implied volatility averaged 22.6%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 0.5% (HV 20d: 23.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2022-09-06: Highest Volume — 76 contracts
  • 2022-09-21: Largest IV spike — 203.7% change
  • 2022-09-21: Highest IV Rank — 47.5%
  • 2022-09-21: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.94$27.90$29.98$29.39$27.90
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.6%7.2%73.2%7.6%40.9%
Expected Move7.3%2.2%21.0%2.2%11.7%
HV 20d23.2%14.2%25.5%22.9%14.2%
HV 60d15.5%15.1%16.0%16.0%15.9%
IV Rank12.2%1.3%47.5%1.7%24.9%
IV Percentile44.3%2.8%98.8%2.8%92.1%
Term Structure-3.9%-21.3%17.4%6.8%-9.7%
Skew 25d1.5%-3.7%13.4%0.4%0.1%
Skew 10d3.5%-5.8%15.6%11.0%-0.2%
Call IV 25d22.3%7.7%92.8%7.7%30.4%
Put IV 25d23.9%8.0%97.2%8.0%30.5%
Bid-Ask Spread %158.63132.62187.73132.62160.65
Gamma HHI0.760.391.000.391.00
Net GEX-6.0K-66.5K29.3K-7.9K-9.6K
Net DEX62.9K-2.0K138.3K76.4K58.2K
Net VEX-260-379-199-343-243
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.171.171.171.171.17
Total Volume14.47607600
Total OI111.9054817017048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$29.39$30.007.6%2.2%22.9%1.7%0.0%0.4%6.8%-7.9K76.4K-3430.00132.62N/AN/A0035135
2022-09-02$29.26$30.007.8%2.2%22.9%1.8%0.0%2.7%17.4%-900101.2K-3790.00150.99N/AN/A0035135
2022-09-06$29.27$0.007.2%7.3%22.9%1.3%0.0%-0.2%-3.4%9.3K100.9K-3161.17153.68N/AN/A354135135
2022-09-07$29.54$0.009.4%5.5%23.1%2.9%0.0%9.1%-5.4%-17.9K69.7K-3151.17144.88N/AN/A354135135
2022-09-08$29.59$0.0010.4%4.2%23.1%3.6%0.0%3.1%-5.4%-20.9K47.8K-2630.00157.77N/AN/A0035135
2022-09-09$29.87$0.0017.3%4.5%23.3%8.4%0.0%1.0%-3.2%-17.4K15.2K-2910.00159.47N/AN/A0035135
2022-09-12$29.98$0.008.9%4.7%23.3%2.6%0.0%0.9%-0.1%-66.5K-2.0K-2410.00168.19N/AN/A0035135
2022-09-13$29.28$0.0011.8%9.4%24.9%4.6%0.0%-0.6%-9.9%15.9K105.0K-2791.17160.76N/AN/A354135135
2022-09-14$29.31$0.0018.1%5.2%24.9%9.0%0.0%0.3%-7.3%6.2K86.7K-2170.00168.24N/AN/A0035135
2022-09-15$29.12$0.0013.3%3.8%24.9%5.6%0.0%-0.9%8.0%27.1K110.7K-2240.00166.78N/AN/A0035135
2022-09-16$29.07$0.0033.5%9.6%24.8%19.7%0.0%0.7%-5.0%29.3K138.3K-2671.17165.77N/AN/A354135135
2022-09-19$29.12$0.0030.2%8.7%24.8%17.4%0.0%1.1%-6.8%-6.6K30.3K-1990.00177.61N/AN/A00048
2022-09-20$29.01$0.0024.1%6.9%24.9%13.2%0.0%13.4%-4.6%-6.9K32.5K-2110.00157.13N/AN/A00048
2022-09-21$28.75$0.0073.2%21.0%25.0%47.5%0.0%4.4%-21.3%-7.0K41.0K-2350.00187.73N/AN/A00048
2022-09-22$28.66$0.0019.6%5.6%25.0%10.0%0.0%3.0%-3.9%-6.7K40.2K-2270.00156.90N/AN/A00048
2022-09-23$28.23$0.0033.4%9.6%25.5%19.6%0.0%-3.7%-6.7%-8.8K51.9K-2480.00173.34N/AN/A00048
2022-09-26$28.10$0.0024.9%7.1%25.5%13.7%0.0%0.0%-6.5%-9.2K52.4K-2440.00144.73N/AN/A00048
2022-09-27$27.99$0.0038.5%11.0%25.5%23.2%0.0%0.3%-8.2%-9.1K53.7K-2430.00159.55N/AN/A00048
2022-09-28$28.40$0.0019.0%5.4%21.1%9.6%0.0%-2.9%-1.3%-9.3K56.9K-2430.00139.46N/AN/A00048
2022-09-29$27.96$0.0026.4%7.6%14.2%14.8%0.0%0.4%-5.9%-9.1K53.0K-2390.00145.00N/AN/A00048
2022-09-30$27.90$0.0040.9%11.7%14.2%24.9%0.0%0.1%-9.7%-9.6K58.2K-2430.00160.65N/AN/A00048