PCH Options History — August 2007

In August 2007, PCH traded between $41.70 and $46.57. ATM implied volatility averaged 28.7%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 17.5% (HV 20d: 46.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-08-17: Highest Volume — 159 contracts
  • 2007-08-15: Largest IV spike — 69.2% change
  • 2007-08-15: Highest IV Rank — 100.0%
  • 2007-08-15: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.01$41.70$46.57$45.11$45.04
Max Pain$40.65$40.00$45.00$45.00$40.00
ATM IV28.7%22.5%46.7%28.2%23.1%
Expected Move7.9%6.5%9.1%8.1%6.6%
HV 20d46.3%30.2%56.1%30.8%55.3%
HV 60d36.8%30.0%41.0%30.1%40.4%
IV Rank56.9%29.2%100.0%65.4%31.0%
IV Percentile85.4%51.8%100.0%95.2%57.5%
Term Structure0.1%-12.2%3.8%-1.1%2.4%
VWIV26.1%20.0%29.1%28.2%20.0%
Skew 25d4.9%-3.5%7.6%-3.5%5.9%
Skew 10d-0.1%-5.8%14.8%4.8%-3.5%
Call IV 25d25.8%23.3%30.9%30.9%24.9%
Put IV 25d30.7%26.2%32.5%27.4%30.8%
Bid-Ask Spread %82.7056.25102.1481.4794.72
Gamma HHI0.460.370.620.500.38
Net GEX178.3K130.0K278.7K197.2K139.2K
Net DEX-4.0M-4.9M-2.3M-4.3M-4.0M
Net VEX-13.0K-14.5K-12.1K-14.5K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.008.330.000.00
Total Volume25.870159241
Total OI1,920.5651,7322,0421,9551,918

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$45.11$45.0028.2%8.1%30.8%65.4%28.2%-3.5%-1.1%197.2K-4.3M-14.5K0.0081.47N/AN/A2401,685270
2007-08-02$46.07$45.0028.7%8.2%31.6%67.4%0.0%3.2%-2.1%202.7K-4.7M-13.7K2.0068.00N/AN/A5101,673270
2007-08-03$45.22$45.0028.6%8.2%32.4%67.3%0.0%3.6%-1.4%199.2K-4.3M-13.9K0.00102.14N/AN/A001,672280
2007-08-06$46.05$40.0031.3%8.0%32.8%78.5%0.0%4.7%0.0%207.0K-4.7M-13.4K0.0086.76N/AN/A2401,672280
2007-08-07$46.03$40.0031.9%7.8%30.3%80.9%27.1%4.6%-0.4%213.4K-4.8M-13.4K0.0081.47N/AN/A1601,696280
2007-08-08$46.14$40.0033.9%8.6%30.2%89.2%29.1%4.4%-1.4%210.9K-4.8M-13.5K0.2080.13N/AN/A511,710280
2007-08-09$42.49$40.0028.9%8.7%41.7%68.3%0.0%4.8%-12.2%170.4K-2.8M-12.9K0.0068.08N/AN/A401,715280
2007-08-10$44.85$40.0031.3%8.1%46.0%78.5%20.7%6.8%0.8%221.8K-4.2M-13.7K0.9190.06N/AN/A11101,715280
2007-08-13$44.75$40.0030.0%8.0%45.7%72.9%0.0%6.7%-0.3%252.6K-4.2M-13.1K0.2364.57N/AN/A43101,717290
2007-08-14$43.13$40.0027.6%7.8%47.5%63.0%0.0%7.0%-0.1%188.7K-2.9M-13.0K0.0056.25N/AN/A4701,728300
2007-08-15$41.70$40.0046.7%9.1%48.8%100.0%0.0%-2.3%-1.3%133.8K-2.3M-12.6K0.0099.77N/AN/A001,741300
2007-08-16$44.77$40.0030.9%8.9%55.3%53.7%0.0%7.1%0.9%261.8K-4.1M-13.3K0.0061.03N/AN/A101,741300
2007-08-17$45.79$40.0028.1%8.1%54.0%45.6%28.1%6.7%-0.8%278.7K-4.9M-13.1K0.0388.87N/AN/A15451,742300
2007-08-20$45.92$40.0027.4%7.9%54.0%43.5%27.4%6.2%1.0%142.0K-4.1M-12.4K0.0893.06N/AN/A1211,477255
2007-08-21$46.17$40.0028.1%8.0%51.9%45.4%28.1%5.9%0.6%143.5K-4.2M-12.3K8.3389.43N/AN/A3251,488256
2007-08-22$46.57$40.0027.1%7.8%51.9%42.7%0.0%5.5%1.8%136.8K-4.4M-12.1K2.6792.75N/AN/A12321,489281
2007-08-23$45.81$40.0027.3%7.8%52.4%43.1%0.0%6.5%1.2%130.0K-4.0M-12.8K0.0089.92N/AN/A301,501313
2007-08-24$45.99$40.0025.2%7.2%52.3%37.1%0.0%5.3%3.3%134.9K-4.1M-12.6K0.0086.45N/AN/A0101,504313
2007-08-27$44.89$40.0024.2%6.9%52.6%34.0%0.0%5.2%2.2%133.8K-3.7M-12.2K0.0068.63N/AN/A4201,504323
2007-08-28$42.88$40.0022.5%6.5%55.2%29.2%20.0%7.6%1.7%137.4K-2.8M-12.4K1.8290.76N/AN/A11201,544323
2007-08-29$44.71$40.0024.9%7.2%56.1%36.3%0.0%6.0%3.8%134.1K-3.6M-12.8K0.0074.37N/AN/A901,540343
2007-08-30$45.14$40.0024.9%7.1%55.7%36.2%0.0%4.9%2.7%130.9K-3.9M-12.6K0.0093.46N/AN/A4401,541343
2007-08-31$45.04$40.0023.1%6.6%55.3%31.0%0.0%5.9%2.4%139.2K-4.0M-12.5K0.0094.72N/AN/A101,575343