PCH Options History — March 2007

In March 2007, PCH traded between $43.35 and $47.27. ATM implied volatility averaged 23.7%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.0% (HV 20d: 22.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2007-03-20: Highest Volume — 38 contracts
  • 2007-03-07: Largest IV drop — 24.3% change
  • 2007-03-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.40$43.35$47.27$45.18$45.78
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.7%19.5%36.5%26.5%21.5%
Expected Move6.4%5.9%8.6%7.6%6.2%
HV 20d22.7%16.1%25.8%16.1%24.0%
HV 60d20.2%19.8%20.6%19.9%19.9%
Term Structure-0.4%-8.2%2.2%-4.5%-0.3%
VWIV20.9%16.0%23.1%22.1%20.7%
Skew 25d8.7%5.9%10.0%6.7%8.6%
Skew 10d5.0%0.3%7.6%3.5%4.8%
Call IV 25d15.6%14.3%19.0%17.6%15.6%
Put IV 25d24.3%23.1%25.2%24.4%24.3%
Bid-Ask Spread %61.6228.59125.14125.1448.76
Gamma HHI0.670.580.720.650.69
Net GEX47.1K26.7K66.2K36.8K66.2K
Net DEX-891.8K-1.3M-543.9K-702.2K-1.1M
Net VEX-4.0K-4.2K-3.7K-4.1K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.000.00
Total Volume8.727038420
Total OI499.5461557461557

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$45.18$45.0026.5%7.6%16.1%0.0%0.0%6.7%-4.5%36.8K-702.2K-4.1K0.00125.14N/AN/A0439269
2007-03-02$44.61$45.0030.1%8.6%16.3%0.0%0.0%0.0%-8.2%35.8K-625.6K-4.1K0.00120.97N/AN/A10039272
2007-03-05$43.35$45.0036.5%6.3%18.7%0.0%0.0%5.9%1.6%36.7K-543.9K-3.9K1.0028.59N/AN/A1140272
2007-03-06$44.73$45.0032.3%6.2%21.0%0.0%0.0%7.0%2.2%38.4K-726.7K-4.1K0.0039.28N/AN/A4040271
2007-03-07$44.34$45.0024.5%6.3%21.0%0.0%0.0%10.0%-1.0%37.7K-625.5K-3.9K0.0032.96N/AN/A0040171
2007-03-08$44.83$45.0023.8%6.3%21.4%0.0%0.0%9.9%-0.6%37.9K-707.0K-4.0K0.0050.68N/AN/A1040171
2007-03-09$44.88$45.0023.4%6.1%21.4%0.0%0.0%9.0%-0.7%38.1K-720.7K-4.0K0.0050.63N/AN/A0040271
2007-03-12$45.27$45.0022.7%6.3%21.5%0.0%0.0%9.5%-0.9%37.7K-779.9K-3.9K0.0051.29N/AN/A0740271
2007-03-13$44.05$45.0024.8%6.3%22.9%0.0%22.1%9.3%-1.1%37.7K-568.3K-3.7K0.0040.32N/AN/A15040271
2007-03-14$44.39$45.0019.5%6.1%22.9%0.0%21.4%10.0%-0.6%37.6K-639.6K-3.8K0.0051.71N/AN/A16041071
2007-03-15$44.88$45.0021.3%6.1%23.4%0.0%0.0%9.4%-0.3%36.9K-760.5K-4.0K0.0051.25N/AN/A0042472
2007-03-16$44.99$45.0021.4%6.1%23.4%0.0%0.0%9.5%-0.2%26.7K-788.0K-3.9K0.0050.96N/AN/A1042471
2007-03-19$45.84$45.0023.1%6.6%24.5%0.0%23.1%9.0%-2.2%50.8K-939.0K-3.9K0.0039.29N/AN/A14042061
2007-03-20$46.03$45.0022.9%6.6%24.4%0.0%0.0%8.6%-1.5%54.8K-1.0M-3.9K0.0077.79N/AN/A38043461
2007-03-21$47.04$45.0022.4%6.4%25.7%0.0%22.4%8.0%0.0%55.8K-1.3M-4.1K0.0058.38N/AN/A12046061
2007-03-22$47.05$45.0020.6%5.9%25.6%0.0%0.0%8.1%1.8%58.3K-1.3M-4.1K0.0084.99N/AN/A1047161
2007-03-23$47.27$45.0020.5%5.9%25.5%0.0%16.0%0.0%2.0%58.3K-1.3M-4.1K0.0076.27N/AN/A3047261
2007-03-26$46.78$45.0020.8%5.9%25.8%0.0%20.6%0.0%1.3%60.2K-1.3M-4.1K0.0062.53N/AN/A3047561
2007-03-27$45.88$45.0020.5%5.9%24.6%0.0%0.0%0.0%1.4%63.9K-1.1M-4.2K0.0080.39N/AN/A0547861
2007-03-28$45.72$45.0021.3%6.1%24.5%0.0%0.0%9.1%1.5%63.7K-1.0M-4.2K0.0053.43N/AN/A0047866
2007-03-29$45.83$45.0020.7%5.9%24.5%0.0%20.7%8.8%0.6%65.0K-1.1M-4.1K0.7180.05N/AN/A211547866
2007-03-30$45.78$45.0021.5%6.2%24.0%0.0%0.0%8.6%-0.3%66.2K-1.1M-4.2K0.0048.76N/AN/A20048671