PCH Options History — July 2007

In July 2007, PCH traded between $41.55 and $44.90. ATM implied volatility averaged 24.9%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.2% (HV 20d: 30.1%). 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 7 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2007-07-31: Highest Volume — 624 contracts
  • 2007-07-12: Largest IV spike — 87.9% change
  • 2007-07-25: Highest IV Rank — 79.9%
  • 2007-07-25: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.59$41.55$44.90$43.97$43.69
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV24.9%14.4%31.7%20.9%26.5%
Expected Move7.6%6.0%9.1%6.0%7.6%
HV 20d30.1%25.5%36.7%36.7%28.6%
HV 60d28.5%27.1%29.7%27.2%29.4%
IV Rank52.9%7.7%79.9%45.7%58.2%
IV Percentile77.8%1.5%98.6%76.2%84.7%
Term Structure0.7%-2.4%8.2%5.2%-0.8%
VWIV26.3%21.8%31.8%22.8%28.9%
Skew 25d2.8%-1.7%8.6%8.2%3.6%
Skew 10d1.4%-5.9%7.5%5.4%7.5%
Call IV 25d25.8%19.1%28.7%19.5%26.6%
Put IV 25d28.6%24.6%31.6%27.8%30.3%
Bid-Ask Spread %69.3817.53112.9217.53112.02
Gamma HHI0.520.310.700.640.35
Net GEX107.6K46.7K217.0K83.9K121.4K
Net DEX-1.1M-2.4M-329.9K-694.0K-2.4M
Net VEX-7.0K-9.6K-5.5K-5.6K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.003.330.000.00
Total Volume75.42906242624
Total OI1,061.7148321,4308321,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$43.97$45.0020.9%6.0%36.7%0.0%0.0%8.2%5.2%83.9K-694.0K-5.6K0.0017.53N/AN/A20567265
2007-07-03$44.23$45.0022.8%6.5%33.5%0.0%22.8%8.6%3.8%85.6K-795.1K-5.7K0.0020.60N/AN/A10569265
2007-07-05$44.50$45.0023.5%6.7%32.5%45.7%23.5%2.7%3.1%90.7K-856.8K-5.5K0.0146.62N/AN/A901570265
2007-07-06$44.53$45.0023.6%8.2%30.7%46.1%0.0%-0.3%-2.4%97.3K-959.4K-6.3K0.0060.28N/AN/A210642266
2007-07-09$44.19$45.0022.8%8.0%30.8%42.8%27.8%-1.7%-1.8%104.2K-890.4K-6.3K0.0045.50N/AN/A550660266
2007-07-10$42.80$45.0015.8%7.2%33.0%13.9%0.0%0.0%-0.4%74.0K-496.8K-5.9K0.0047.54N/AN/A00695266
2007-07-11$43.17$45.0014.4%7.7%31.9%7.7%0.0%-0.2%0.1%78.0K-492.7K-6.0K0.0053.18N/AN/A1280695266
2007-07-12$44.33$45.0027.0%7.7%32.2%60.4%0.0%2.9%-0.3%124.5K-995.6K-7.4K0.0052.91N/AN/A300783266
2007-07-13$44.90$45.0027.1%7.8%32.4%60.8%27.1%3.0%-0.3%138.9K-1.3M-7.6K0.0065.51N/AN/A100783266
2007-07-16$44.22$45.0027.3%7.8%27.3%61.6%0.0%6.2%-1.2%144.4K-1.0M-7.2K0.0067.01N/AN/A00785266
2007-07-17$44.47$45.0026.9%7.7%25.9%60.0%0.0%3.2%-0.4%166.1K-1.1M-7.2K0.0066.44N/AN/A00785266
2007-07-18$44.20$45.0027.0%7.7%25.9%60.5%0.0%-1.2%-0.2%143.4K-834.0K-6.8K0.0069.02N/AN/A00785266
2007-07-19$44.65$45.0027.1%7.8%25.5%61.0%27.1%2.6%-0.9%217.0K-1.1M-7.0K3.3368.63N/AN/A310785266
2007-07-20$42.98$45.0022.2%6.4%29.2%40.5%0.0%3.6%-0.1%83.9K-574.3K-6.3K0.0089.46N/AN/A100785276
2007-07-23$43.11$45.0027.6%7.9%29.1%63.1%27.9%1.6%-1.2%66.9K-634.6K-6.2K0.0074.63N/AN/A380663264
2007-07-24$41.58$45.0029.5%8.4%30.9%70.7%28.3%2.0%1.6%46.7K-329.9K-5.8K0.0087.75N/AN/A3880695264
2007-07-25$41.55$45.0031.7%9.1%29.2%79.9%31.8%2.2%-0.9%78.2K-1.2M-8.6K0.5093.65N/AN/A631,033264
2007-07-26$42.13$45.0024.3%7.0%28.3%49.0%21.8%3.2%8.2%95.0K-1.5M-8.7K0.00103.29N/AN/A2101,039267
2007-07-27$42.50$45.0027.9%8.0%28.6%64.1%22.6%6.0%5.2%93.1K-1.6M-8.8K0.02112.92N/AN/A14031,060267
2007-07-30$43.59$45.0026.7%7.7%29.6%59.1%0.0%2.5%-1.4%126.6K-2.3M-9.6K0.00102.40N/AN/A001,160270
2007-07-31$43.69$45.0026.5%7.6%28.6%58.2%28.9%3.6%-0.8%121.4K-2.4M-9.5K0.00112.02N/AN/A62401,160270