PSEP Options History — December 2022

In December 2022, PSEP traded between $29.00 and $30.13. ATM implied volatility averaged 36.9%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 24.9% (HV 20d: 12.0%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2022-12-21: Largest IV spike — 141.7% change
  • 2022-12-13: Highest IV Rank — 50.2%
  • 2022-12-21: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.50$29.00$30.13$30.13$29.21
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV36.9%17.9%77.1%38.5%20.5%
Expected Move7.9%4.5%20.7%11.0%5.9%
HV 20d12.0%9.7%15.0%14.5%11.0%
HV 60d14.2%13.4%15.0%14.9%13.4%
IV Rank22.1%8.8%50.2%23.2%10.7%
IV Percentile68.6%29.8%98.0%86.9%40.5%
Term Structure-5.9%-19.7%17.2%-14.0%-5.5%
Skew 25d1.8%-7.5%12.3%-7.5%1.9%
Skew 10d4.1%-13.8%25.7%8.2%4.3%
Call IV 25d19.9%8.5%30.4%30.4%23.4%
Put IV 25d21.6%11.2%27.8%22.9%25.3%
Bid-Ask Spread %168.15142.55181.83171.76161.03
Gamma HHI1.001.001.001.001.00
Net GEX-2.8K-6.9K0-4.2K0
Net DEX16.7K038.7K30.1K0
Net VEX-28-840-840
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI27.429048480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$30.13$28.0038.5%11.0%14.5%23.2%0.0%-7.5%-14.0%-4.2K30.1K-840.00171.76N/AN/A00048
2022-12-02$30.11$28.0022.3%6.4%14.1%11.9%0.0%1.7%-8.1%-4.5K19.3K-620.00149.29N/AN/A00048
2022-12-05$29.79$0.0042.8%7.0%14.9%26.2%0.0%1.0%-4.3%-4.6K34.5K-770.00175.94N/AN/A00048
2022-12-06$29.57$0.0045.0%7.1%15.0%27.7%0.0%1.0%-4.9%-4.8K37.8K-780.00176.40N/AN/A00048
2022-12-07$29.55$0.0036.5%4.5%14.9%21.9%0.0%1.9%-4.5%-5.7K30.7K-650.00153.99N/AN/A00048
2022-12-08$29.66$0.0024.5%6.0%14.0%13.5%0.0%12.3%-14.1%-2.9K3.9K-140.00155.48N/AN/A00048
2022-12-09$29.61$0.0056.0%7.5%9.7%35.4%0.0%1.1%-5.4%-4.9K36.6K-650.00178.66N/AN/A00048
2022-12-12$29.79$0.0070.9%7.5%9.7%45.9%0.0%1.6%-6.1%-4.8K33.6K-470.00177.86N/AN/A00048
2022-12-13$29.96$0.0077.1%4.7%9.8%50.2%0.0%2.9%-4.9%-4.9K24.1K-320.00142.55N/AN/A00048
2022-12-14$29.84$0.0026.0%7.4%9.9%14.5%0.0%1.3%-5.7%-4.8K31.9K-310.00175.39N/AN/A00048
2022-12-15$29.42$0.0028.9%8.3%11.1%16.5%0.0%1.2%17.2%-5.3K38.7K-250.00179.64N/AN/A00048
2022-12-16$29.31$0.0017.9%5.1%11.1%8.8%0.0%1.5%-3.0%-6.9K30.1K-50.00162.94N/AN/A00048
2022-12-19$29.06$0.0029.5%8.5%11.1%17.0%0.0%2.2%-5.4%0000.00176.32N/AN/A0000
2022-12-20$29.16$0.0029.9%8.6%11.2%17.2%0.0%2.5%-4.7%0000.00176.10N/AN/A0000
2022-12-21$29.41$0.0072.3%20.7%11.2%46.8%0.0%2.1%-19.7%0000.00181.83N/AN/A0000
2022-12-22$29.11$0.0024.1%6.9%11.7%13.1%0.0%1.5%-4.0%0000.00167.75N/AN/A0000
2022-12-23$29.23$0.0025.9%7.4%11.8%14.5%0.0%1.4%-5.9%0000.00169.14N/AN/A0000
2022-12-27$29.26$0.0033.5%9.6%11.5%19.7%0.0%2.1%-8.4%0000.00177.38N/AN/A0000
2022-12-28$29.00$0.0033.2%9.5%11.9%19.5%0.0%1.2%-9.1%0000.00169.48N/AN/A0000
2022-12-29$29.30$0.0018.6%5.3%11.1%9.4%0.0%2.3%-3.4%0000.00152.25N/AN/A0000
2022-12-30$29.21$0.0020.5%5.9%11.0%10.7%0.0%1.9%-5.5%0000.00161.03N/AN/A0000