PCH Options History — January 2007

In January 2007, PCH traded between $44.21 and $47.84. ATM implied volatility averaged 21.8%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.0% (HV 20d: 19.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-01-08: Highest Volume — 188 contracts
  • 2007-01-25: Largest IV spike — 70.6% change
  • 2007-01-25: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.56$44.21$47.84$44.35$47.21
Max Pain$43.75$35.00$45.00$35.00$45.00
ATM IV21.8%15.9%27.1%21.4%26.5%
Expected Move6.4%4.6%7.8%6.1%7.6%
HV 20d19.8%18.7%21.0%21.0%18.7%
Term Structure-1.0%-5.2%2.4%1.4%-3.3%
VWIV17.7%8.5%27.5%23.5%15.6%
Skew 25d7.0%1.7%13.4%8.8%4.8%
Skew 10d12.4%1.6%24.7%4.9%4.8%
Call IV 25d17.1%10.2%22.4%14.7%16.0%
Put IV 25d24.1%20.8%27.5%23.5%20.8%
Bid-Ask Spread %82.9246.81103.9785.10103.97
Gamma HHI0.730.600.910.870.60
Net GEX38.2K33.2K58.0K39.9K37.1K
Net DEX-1.1M-1.5M-483.3K-526.5K-1.2M
Net VEX-4.0K-4.6K-1.7K-1.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.000.000.00
Total Volume22.350188151
Total OI462.4236543236543

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$44.35$35.0021.4%6.1%0.0%0.0%0.0%8.8%1.4%39.9K-526.5K-1.7K0.0085.10N/AN/A15022412
2007-01-04$44.64$35.0021.0%6.0%0.0%0.0%0.0%7.6%1.8%42.8K-618.2K-1.8K0.0081.57N/AN/A0023912
2007-01-05$44.36$40.0022.4%6.7%0.0%0.0%23.5%7.4%-0.5%41.5K-582.4K-1.8K0.0080.48N/AN/A04123912
2007-01-08$44.21$45.0021.4%6.6%0.0%0.0%0.0%6.3%-1.1%35.2K-483.3K-2.0K0.0083.13N/AN/A188023953
2007-01-09$45.13$45.0020.7%7.2%0.0%0.0%27.5%2.9%-2.5%57.1K-1.1M-4.5K0.3786.83N/AN/A301142753
2007-01-10$45.61$45.0019.5%7.3%0.0%0.0%0.0%4.4%-2.3%58.0K-1.1M-4.5K1.0087.46N/AN/A5542764
2007-01-11$47.14$45.0024.7%7.1%0.0%0.0%23.1%5.5%0.2%35.3K-1.4M-4.3K0.0069.54N/AN/A74043269
2007-01-12$47.84$45.0017.9%5.1%0.0%0.0%0.0%1.7%-1.7%35.1K-1.5M-4.4K5.0076.03N/AN/A21044669
2007-01-16$47.73$45.0017.0%4.9%0.0%0.0%0.0%3.7%2.4%33.5K-1.5M-4.4K0.0083.52N/AN/A0044779
2007-01-17$47.64$45.0018.0%5.1%0.0%0.0%0.0%2.2%1.5%33.2K-1.5M-4.5K0.0077.09N/AN/A0044779
2007-01-18$47.00$45.0024.0%6.9%0.0%0.0%0.0%9.0%-0.0%34.9K-1.4M-4.6K0.0089.99N/AN/A6044779
2007-01-19$47.59$45.0016.3%4.7%0.0%0.0%0.0%6.4%1.9%33.6K-1.5M-4.6K0.0078.21N/AN/A0045279
2007-01-22$47.09$45.0024.0%6.9%0.0%0.0%0.0%13.4%-1.8%33.4K-1.2M-4.6K0.0075.58N/AN/A7041178
2007-01-23$47.16$45.0023.6%6.8%0.0%0.0%8.5%12.9%-1.6%33.6K-1.2M-4.5K0.0046.81N/AN/A6041478
2007-01-24$47.72$45.0015.9%4.6%0.0%0.0%17.0%4.1%-0.2%34.3K-1.3M-4.4K0.2088.39N/AN/A5141878
2007-01-25$47.11$45.0027.1%7.8%21.0%0.0%14.5%11.6%-5.2%35.4K-1.2M-4.6K0.6783.68N/AN/A151042379
2007-01-26$47.11$45.0024.5%7.0%20.4%0.0%14.2%10.9%-3.7%36.5K-1.2M-4.6K1.3390.74N/AN/A3443889
2007-01-29$47.18$45.0024.6%7.0%19.8%0.0%15.5%7.8%-3.0%36.5K-1.2M-4.5K1.0092.03N/AN/A2244193
2007-01-30$47.30$45.0025.0%7.2%19.2%0.0%15.6%8.2%-3.0%36.7K-1.2M-4.5K0.3398.32N/AN/A3144396
2007-01-31$47.21$45.0026.5%7.6%18.7%0.0%0.0%4.8%-3.3%37.1K-1.2M-4.6K0.00103.97N/AN/A1044697