PCH Options History — May 2007

In May 2007, PCH traded between $42.50 and $45.44. ATM implied volatility averaged 21.3%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.5% (HV 20d: 22.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2007-05-24: Highest Volume — 98 contracts
  • 2007-05-25: Largest IV spike — 24.2% change
  • 2007-05-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.10$42.50$45.44$43.81$43.78
Max Pain$41.59$40.00$45.00$45.00$45.00
ATM IV21.3%16.6%26.7%26.4%21.8%
Expected Move6.1%4.8%7.6%7.6%6.3%
HV 20d22.8%20.6%25.4%20.9%20.6%
HV 60d21.1%20.3%21.9%20.6%20.3%
Term Structure1.8%-3.1%11.4%-3.1%2.4%
VWIV23.6%20.2%33.3%26.4%21.6%
Skew 25d8.5%6.1%9.9%9.3%8.6%
Skew 10d4.5%2.4%7.1%4.4%4.3%
Call IV 25d16.5%15.1%17.7%16.4%16.8%
Put IV 25d25.0%23.6%25.7%25.7%25.4%
Bid-Ask Spread %54.1721.8676.6354.5628.05
Gamma HHI0.830.710.930.760.83
Net GEX104.0K61.2K183.3K77.1K82.3K
Net DEX-965.7K-1.6M-584.6K-818.0K-758.6K
Net VEX-3.9K-4.5K-3.5K-3.5K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.910.110.91
Total Volume260988821
Total OI678.909489835629519

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$43.81$45.0026.4%7.6%20.9%0.0%26.4%9.3%-3.1%77.1K-818.0K-3.5K0.1154.56N/AN/A79956267
2007-05-02$44.67$45.0026.7%7.6%22.2%0.0%26.7%0.0%-2.6%92.5K-1.1M-4.2K0.0062.53N/AN/A20062276
2007-05-03$44.85$45.0023.3%6.7%22.2%0.0%23.3%9.6%-0.7%101.2K-1.2M-4.1K0.2468.59N/AN/A421062776
2007-05-04$45.10$40.0021.9%6.5%21.1%0.0%0.0%9.9%-0.2%115.9K-1.3M-4.3K0.0066.23N/AN/A0065986
2007-05-07$44.86$40.0022.6%6.2%21.1%0.0%21.8%9.6%0.2%120.2K-1.3M-4.2K0.0038.84N/AN/A30065986
2007-05-08$44.78$40.0019.9%6.1%20.8%0.0%21.3%9.4%0.8%139.9K-1.2M-4.3K0.2765.09N/AN/A371068986
2007-05-09$45.44$40.0021.5%6.2%21.2%0.0%22.9%0.0%-0.8%145.3K-1.6M-4.5K0.0051.36N/AN/A49072196
2007-05-10$44.53$40.0021.6%6.2%22.4%0.0%0.0%9.2%2.2%150.1K-1.2M-4.4K0.0040.87N/AN/A5072296
2007-05-11$45.21$40.0021.5%6.2%23.1%0.0%0.0%0.0%1.6%164.0K-1.5M-4.4K0.0076.63N/AN/A8072696
2007-05-14$44.40$40.0021.5%6.2%23.9%0.0%0.0%9.4%2.5%183.3K-1.1M-4.1K0.0076.45N/AN/A27072696
2007-05-15$43.88$40.0021.4%6.1%24.2%0.0%0.0%7.3%2.1%137.7K-908.7K-4.0K0.0064.13N/AN/A3073996
2007-05-16$43.76$40.0020.6%5.9%24.0%0.0%0.0%8.9%3.1%117.2K-715.9K-3.7K0.0060.93N/AN/A0073696
2007-05-17$43.06$40.0017.3%5.0%24.5%0.0%0.0%0.0%3.0%82.3K-637.3K-3.5K0.0037.71N/AN/A2073686
2007-05-18$43.31$40.0017.4%5.0%24.5%0.0%0.0%6.1%2.3%88.7K-729.0K-3.6K0.0065.96N/AN/A20073877
2007-05-21$43.91$40.0020.6%5.9%25.1%0.0%20.6%8.1%2.5%67.7K-779.5K-3.6K0.0070.96N/AN/A33045239
2007-05-22$44.37$40.0020.2%5.8%25.4%0.0%20.2%0.0%3.6%72.3K-849.3K-3.6K0.0051.10N/AN/A8045039
2007-05-23$43.81$40.0021.7%6.2%25.4%0.0%21.8%6.8%1.5%70.4K-771.4K-3.5K0.0040.42N/AN/A24045839
2007-05-24$43.12$40.0016.6%4.8%23.3%0.0%33.3%0.0%4.0%66.3K-681.9K-3.5K0.0046.49N/AN/A98048239
2007-05-25$42.50$45.0020.6%5.9%22.5%0.0%24.6%6.1%11.4%61.2K-584.6K-3.7K0.0033.12N/AN/A3047239
2007-05-29$43.01$45.0021.4%6.1%20.7%0.0%22.2%7.6%1.6%69.3K-608.1K-3.6K0.0769.78N/AN/A14147439
2007-05-30$43.94$45.0021.6%6.2%21.8%0.0%21.6%9.1%1.8%83.2K-801.4K-3.9K0.0021.86N/AN/A19047740
2007-05-31$43.78$45.0021.8%6.3%20.6%0.0%0.0%8.6%2.4%82.3K-758.6K-3.8K0.9128.05N/AN/A111047940