PCH Options History — February 2007

Name: PCH Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, PCH traded between $44.85 and $48.10. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.3% (HV 20d: 15.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2007-02-05: Highest Volume — 40 contracts
2007-02-07: Largest IV spike — 47.8% change
2007-02-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$44.85	$48.10	$47.40	$45.20
Max Pain	$49.74	$45.00	$50.00	$45.00	$50.00
ATM IV	20.9%	12.5%	27.2%	25.3%	24.7%
Expected Move	6.1%	4.6%	7.8%	7.3%	7.1%
HV 20d	15.6%	12.4%	19.4%	18.2%	16.1%
Term Structure	0.7%	-13.3%	3.2%	-13.3%	-2.3%
VWIV	24.7%	24.7%	24.7%	24.7%	24.7%
Skew 25d	4.2%	-3.4%	8.5%	4.0%	6.9%
Skew 10d	8.0%	1.8%	15.8%	14.1%	3.0%
Call IV 25d	15.6%	12.6%	21.3%	12.6%	17.8%
Put IV 25d	19.8%	14.1%	24.7%	16.6%	24.7%
Bid-Ask Spread %	72.09	34.16	135.47	95.45	93.53
Gamma HHI	0.62	0.59	0.70	0.59	0.70
Net GEX	39.4K	37.3K	44.3K	37.3K	40.8K
Net DEX	-1.0M	-1.3M	-702.9K	-1.2M	-702.9K
Net VEX	-4.3K	-4.6K	-4.0K	-4.6K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	2.50	0.00	2.50
Total Volume	8.421	0	40	0	14
Total OI	525.211	411	594	544	450

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-02-01	$47.40	$45.00	25.3%	7.3%	18.2%	0.0%	0.0%	4.0%	-13.3%	37.3K	-1.2M	-4.6K	0.00	95.45	N/A	N/A	0	0	447	97
2007-02-02	$47.16	$50.00	25.3%	6.7%	18.4%	0.0%	0.0%	4.3%	1.8%	37.6K	-1.2M	-4.5K	0.00	84.56	N/A	N/A	5	0	447	96
2007-02-05	$48.10	$50.00	15.6%	5.7%	19.0%	0.0%	0.0%	-3.4%	3.0%	38.9K	-1.3M	-4.3K	1.22	60.06	N/A	N/A	18	22	452	96
2007-02-06	$47.70	$50.00	12.5%	4.6%	19.4%	0.0%	0.0%	0.0%	2.5%	37.6K	-1.2M	-4.5K	0.00	60.83	N/A	N/A	0	1	467	116
2007-02-07	$47.98	$50.00	18.5%	4.6%	18.4%	0.0%	0.0%	0.0%	2.7%	37.5K	-1.2M	-4.5K	0.00	60.20	N/A	N/A	8	0	467	117
2007-02-08	$47.75	$50.00	16.0%	4.6%	18.3%	0.0%	0.0%	0.0%	3.2%	37.3K	-1.2M	-4.5K	0.00	89.97	N/A	N/A	6	0	468	117
2007-02-09	$47.15	$50.00	21.4%	6.1%	15.1%	0.0%	0.0%	-1.5%	2.3%	37.8K	-1.1M	-4.5K	0.00	63.38	N/A	N/A	5	0	471	117
2007-02-12	$46.47	$50.00	21.5%	6.2%	14.9%	0.0%	0.0%	6.6%	1.5%	37.9K	-966.0K	-4.3K	0.00	66.31	N/A	N/A	27	0	469	117
2007-02-13	$46.84	$50.00	21.6%	6.2%	15.2%	0.0%	0.0%	0.0%	2.0%	38.6K	-1.0M	-4.4K	0.00	36.27	N/A	N/A	4	0	476	117
2007-02-14	$46.95	$50.00	22.0%	6.3%	15.3%	0.0%	0.0%	6.0%	2.5%	38.5K	-1.1M	-4.3K	0.00	68.03	N/A	N/A	1	0	476	117
2007-02-15	$46.84	$50.00	21.4%	6.1%	14.5%	0.0%	0.0%	0.0%	2.4%	39.0K	-1.0M	-4.3K	0.00	34.16	N/A	N/A	1	0	477	117
2007-02-16	$46.76	$50.00	21.8%	6.3%	13.7%	0.0%	0.0%	6.1%	2.5%	42.4K	-1.1M	-4.1K	0.00	34.34	N/A	N/A	5	0	477	117
2007-02-20	$47.10	$50.00	20.5%	5.9%	13.5%	0.0%	0.0%	0.0%	2.0%	44.3K	-1.0M	-4.0K	0.00	99.66	N/A	N/A	0	20	386	25
2007-02-21	$46.97	$50.00	21.5%	6.2%	13.5%	0.0%	0.0%	0.0%	1.1%	41.2K	-1.0M	-4.2K	1.50	96.74	N/A	N/A	2	3	386	45
2007-02-22	$46.67	$50.00	20.3%	5.8%	12.9%	0.0%	0.0%	8.5%	1.8%	40.5K	-973.9K	-4.2K	0.00	45.57	N/A	N/A	1	0	388	48
2007-02-23	$46.36	$50.00	20.6%	5.9%	12.4%	0.0%	0.0%	0.0%	1.6%	40.7K	-931.0K	-4.2K	1.00	72.11	N/A	N/A	1	1	389	48
2007-02-26	$46.15	$50.00	20.0%	5.7%	12.4%	0.0%	0.0%	0.0%	1.7%	41.0K	-906.3K	-4.1K	0.00	73.13	N/A	N/A	1	0	390	49
2007-02-27	$44.85	$50.00	27.2%	7.8%	15.8%	0.0%	0.0%	6.9%	-5.6%	40.5K	-715.0K	-4.1K	0.00	135.47	N/A	N/A	0	14	391	49
2007-02-28	$45.20	$50.00	24.7%	7.1%	16.1%	0.0%	24.7%	0.0%	-2.3%	40.8K	-702.9K	-4.0K	2.50	93.53	N/A	N/A	4	10	391	59