PCH Options History — April 2007

In April 2007, PCH traded between $43.39 and $46.29. ATM implied volatility averaged 22.5%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.7% (HV 20d: 16.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-04-27: Highest Volume — 80 contracts
  • 2007-04-30: Largest IV spike — 11.9% change
  • 2007-04-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.08$43.39$46.29$46.05$43.39
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.5%20.9%25.9%21.6%25.9%
Expected Move6.4%6.0%7.4%6.2%7.4%
HV 20d16.8%12.0%21.3%21.3%20.6%
HV 60d18.9%17.9%20.5%19.9%20.5%
Term Structure0.2%-2.8%1.8%1.4%-2.8%
VWIV23.0%21.6%25.9%21.6%25.9%
Skew 25d9.4%7.4%10.3%8.7%7.4%
Skew 10d6.7%3.3%13.0%5.3%3.3%
Call IV 25d15.1%14.4%16.9%15.2%16.9%
Put IV 25d24.6%23.6%25.3%24.0%24.4%
Bid-Ask Spread %73.9556.3590.2458.7864.09
Gamma HHI0.770.670.860.680.77
Net GEX76.6K63.7K109.8K66.6K75.7K
Net DEX-935.6K-1.2M-670.9K-1.1M-754.3K
Net VEX-3.8K-4.1K-3.5K-4.1K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.006.006.000.00
Total Volume10.408071
Total OI576.45513629557629

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$46.05$45.0021.6%6.2%21.3%0.0%21.6%8.7%1.4%66.6K-1.1M-4.1K6.0058.78N/AN/A1648671
2007-04-03$46.29$45.0022.3%6.4%18.5%0.0%0.0%8.3%-0.2%66.5K-1.2M-4.0K0.0083.17N/AN/A15048768
2007-04-04$46.05$45.0021.3%6.1%18.3%0.0%0.0%8.8%1.1%71.0K-1.2M-4.1K0.0083.70N/AN/A0050268
2007-04-05$45.09$45.0020.9%6.0%19.6%0.0%0.0%10.3%1.8%73.5K-974.9K-4.1K0.0056.35N/AN/A0050268
2007-04-09$45.13$45.0022.0%6.5%19.6%0.0%0.0%9.8%-0.1%76.1K-957.7K-3.9K0.7565.91N/AN/A4350268
2007-04-10$45.55$45.0021.7%6.4%19.7%0.0%0.0%0.0%-0.1%77.1K-1.1M-3.9K0.0066.48N/AN/A01050471
2007-04-11$45.05$45.0021.8%6.1%17.3%0.0%21.8%10.0%0.8%78.3K-919.5K-3.9K5.0089.98N/AN/A21050481
2007-04-12$45.16$45.0021.1%6.1%17.2%0.0%0.0%0.0%1.3%73.9K-912.4K-3.9K0.0090.24N/AN/A4050491
2007-04-13$45.18$45.0022.4%6.4%16.8%0.0%0.0%9.8%-0.4%75.7K-928.7K-3.9K0.0083.46N/AN/A0050891
2007-04-16$45.23$45.0022.9%6.6%16.7%0.0%0.0%10.1%-0.5%81.0K-956.1K-3.8K0.0066.85N/AN/A0050891
2007-04-17$45.37$45.0022.6%6.5%15.3%0.0%22.6%9.7%-0.6%83.1K-1.0M-3.7K0.1767.05N/AN/A6150891
2007-04-18$44.94$45.0022.5%6.4%15.5%0.0%0.0%0.0%-0.4%89.7K-909.9K-3.7K0.0083.00N/AN/A0151481
2007-04-19$44.64$45.0022.3%6.4%13.0%0.0%0.0%0.0%-0.2%98.8K-766.9K-3.6K0.0067.06N/AN/A0051480
2007-04-20$44.94$45.0022.3%6.4%13.4%0.0%0.0%10.2%0.0%109.8K-878.4K-3.6K0.0066.72N/AN/A0051480
2007-04-23$44.95$45.0022.9%6.6%13.2%0.0%22.9%9.5%0.6%63.7K-841.3K-3.5K0.5983.50N/AN/A171045756
2007-04-24$44.76$45.0022.4%6.4%12.9%0.0%22.4%10.1%1.1%65.4K-807.1K-3.5K0.0065.72N/AN/A20047466
2007-04-25$45.27$45.0023.2%6.6%12.0%0.0%23.1%0.0%0.9%68.5K-952.0K-3.7K0.0084.11N/AN/A11048966
2007-04-26$43.83$45.0023.9%6.8%16.5%0.0%23.7%0.0%-1.0%65.9K-670.9K-3.5K0.5084.93N/AN/A4250066
2007-04-27$44.68$45.0023.1%6.6%18.1%0.0%23.1%0.0%0.6%72.3K-874.8K-3.6K0.0067.80N/AN/A80050267
2007-04-30$43.39$45.0025.9%7.4%20.6%0.0%25.9%7.4%-2.8%75.7K-754.3K-3.5K0.0064.09N/AN/A1056267