PCH Options History — June 2007 In June 2007, PCH traded between $41.24 and $45.11. ATM implied volatility averaged 22.5%. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 9.1% (HV 20d: 31.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.80.
Notable Days 2007-06-18 : Highest Volume — 110 contracts2007-06-13 : Largest IV spike — 47.4% change2007-06-12 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $42.84 $41.24 $45.11 $44.03 $43.05 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 22.5% 14.3% 29.3% 19.8% 22.4% Expected Move 7.0% 5.0% 8.4% 5.7% 6.4% HV 20d 31.6% 20.7% 37.0% 20.7% 37.0% HV 60d 24.4% 20.2% 27.2% 20.2% 27.2% Term Structure 1.0% -2.4% 4.2% 3.9% 2.0% VWIV 23.2% 19.9% 28.1% 19.9% 22.7% Skew 25d 7.4% 5.2% 10.4% 8.1% 7.9% Skew 10d 9.7% 1.9% 22.8% 4.2% 9.4% Call IV 25d 19.1% 15.8% 21.8% 16.8% 18.4% Put IV 25d 26.4% 23.6% 29.4% 25.0% 26.3% Bid-Ask Spread % 35.55 19.56 70.27 21.77 49.48 Gamma HHI 0.72 0.62 0.90 0.82 0.63 Net GEX 63.8K 36.6K 159.7K 90.1K 64.6K Net DEX -561.2K -1.2M -264.8K -791.8K -464.4K Net VEX -4.1K -5.3K -3.2K -4.0K -5.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.00 6.36 0.00 0.35 Total Volume 25.667 0 110 27 77 Total OI 628.571 519 789 540 789
Daily Data (21 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 2007-06-01 $44.03 $45.00 19.8% 5.7% 20.7% 0.0% 19.9% 8.1% 3.9% 90.1K -791.8K -4.0K 0.00 21.77 N/A N/A 27 0 490 50 2007-06-04 $45.11 $45.00 21.3% 6.7% 22.5% 0.0% 23.2% 9.5% 2.0% 107.9K -1.2M -4.2K 0.09 70.27 N/A N/A 22 2 517 50 2007-06-05 $43.26 $45.00 14.3% 7.1% 26.9% 0.0% 0.0% 9.7% -0.0% 79.0K -654.5K -3.8K 0.33 19.56 N/A N/A 6 2 528 52 2007-06-06 $42.37 $45.00 18.7% 8.1% 27.8% 0.0% 0.0% 5.6% -2.3% 54.4K -522.0K -3.5K 0.00 19.89 N/A N/A 2 0 534 50 2007-06-07 $41.27 $45.00 26.7% 8.1% 28.1% 0.0% 28.1% 5.6% -1.1% 44.9K -414.8K -3.3K 0.14 27.97 N/A N/A 7 1 536 50 2007-06-08 $41.82 $45.00 23.3% 7.7% 28.2% 0.0% 0.0% 6.3% 1.5% 51.9K -447.0K -3.4K 0.00 19.68 N/A N/A 0 0 537 51 2007-06-11 $42.20 $45.00 23.1% 8.1% 27.8% 0.0% 0.0% 7.2% -2.2% 46.4K -494.9K -3.3K 0.25 22.01 N/A N/A 12 3 537 31 2007-06-12 $41.24 $45.00 19.6% 8.4% 28.2% 0.0% 0.0% 6.7% -1.2% 36.6K -363.3K -3.2K 0.00 30.11 N/A N/A 0 0 539 54 2007-06-13 $42.19 $45.00 28.9% 8.2% 29.5% 0.0% 0.0% 7.6% 1.5% 44.3K -415.6K -3.2K 0.00 23.41 N/A N/A 0 20 539 54 2007-06-14 $42.18 $45.00 29.3% 8.4% 29.5% 0.0% 24.0% 7.2% -2.4% 43.0K -443.9K -3.4K 0.00 22.09 N/A N/A 26 0 539 74 2007-06-15 $44.45 $45.00 25.2% 7.2% 34.7% 0.0% 25.2% 10.4% 0.6% 159.7K -906.7K -4.1K 0.00 32.75 N/A N/A 27 0 565 74 2007-06-18 $43.41 $45.00 25.4% 7.3% 35.8% 0.0% 25.4% 8.9% -1.5% 56.8K -672.7K -4.0K 4.79 26.17 N/A N/A 19 91 445 74 2007-06-19 $43.20 $45.00 22.0% 6.3% 35.4% 0.0% 22.1% 7.0% 1.6% 53.3K -560.1K -4.5K 1.33 37.85 N/A N/A 30 40 459 155 2007-06-20 $42.62 $45.00 17.5% 5.0% 35.4% 0.0% 21.2% 7.0% 4.0% 50.5K -469.2K -4.9K 0.00 36.42 N/A N/A 15 0 479 195 2007-06-21 $42.86 $45.00 21.0% 6.0% 35.3% 0.0% 0.0% 6.7% 3.5% 57.7K -506.2K -4.8K 0.00 34.85 N/A N/A 0 0 494 195 2007-06-22 $42.51 $45.00 20.4% 5.9% 35.0% 0.0% 0.0% 6.3% 4.2% 51.8K -401.6K -4.7K 0.00 42.36 N/A N/A 5 0 494 195 2007-06-25 $41.60 $45.00 27.0% 7.7% 35.4% 0.0% 0.0% 5.2% 1.2% 41.6K -264.8K -4.3K 0.00 56.86 N/A N/A 3 0 489 195 2007-06-26 $42.75 $45.00 22.1% 6.3% 36.6% 0.0% 21.9% 6.4% 2.0% 56.0K -441.1K -4.6K 0.00 41.32 N/A N/A 9 0 492 195 2007-06-27 $43.75 $45.00 22.5% 6.5% 36.7% 0.0% 22.5% 7.6% 1.6% 72.9K -691.5K -4.8K 0.00 55.28 N/A N/A 12 0 501 195 2007-06-28 $43.69 $45.00 22.1% 6.3% 36.7% 0.0% 22.1% 7.3% 2.2% 76.8K -696.7K -4.9K 6.36 56.41 N/A N/A 11 70 513 195 2007-06-29 $43.05 $45.00 22.4% 6.4% 37.0% 0.0% 22.7% 7.9% 2.0% 64.6K -464.4K -5.3K 0.35 49.48 N/A N/A 57 20 524 265
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