PCH Options History — September 2007

In September 2007, PCH traded between $41.21 and $45.62. ATM implied volatility averaged 32.4%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 8.4% (HV 20d: 40.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 2.51.

Notable Days

2007-09-21: Highest Volume — 91 contracts
2007-09-24: Largest IV spike — 142.1% change
2007-09-25: Highest IV Rank — 100.0%
2007-09-25: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.52	$41.21	$45.62	$44.95	$45.03
Max Pain	$38.95	$35.00	$40.00	$40.00	$40.00
ATM IV	32.4%	17.6%	49.1%	25.1%	38.3%
Expected Move	9.5%	5.0%	14.1%	7.2%	11.0%
HV 20d	40.8%	30.6%	55.2%	54.8%	31.8%
HV 60d	40.2%	39.2%	40.9%	40.3%	40.6%
IV Rank	56.8%	14.7%	100.0%	36.8%	70.5%
IV Percentile	75.3%	7.2%	100.0%	71.4%	96.2%
Term Structure	0.9%	-8.2%	16.0%	1.1%	0.5%
VWIV	33.7%	19.2%	49.0%	29.4%	35.5%
Skew 25d	6.8%	-0.1%	25.0%	5.5%	6.7%
Skew 10d	4.5%	-9.0%	29.7%	-4.3%	11.1%
Call IV 25d	28.8%	17.2%	43.7%	25.2%	30.0%
Put IV 25d	35.6%	29.3%	44.6%	30.7%	36.7%
Bid-Ask Spread %	88.18	59.41	147.94	96.35	78.23
Gamma HHI	0.39	0.33	0.51	0.38	0.41
Net GEX	139.8K	103.4K	196.1K	136.5K	147.4K
Net DEX	-3.1M	-4.1M	-2.1M	-3.9M	-3.9M
Net VEX	-11.7K	-12.4K	-10.9K	-12.4K	-11.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.51	0.00	26.00	0.00	0.63
Total Volume	27.579	0	91	10	78
Total OI	1,942.368	1,895	1,973	1,919	1,973

Daily Data (19 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
2007-09-04	$44.95	$40.00	25.1%	7.2%	54.8%	36.8%	0.0%	5.5%	1.1%	136.5K	-3.9M	-12.4K	0.00	96.35	N/A	N/A	10	0	1,576	343
2007-09-05	$44.26	$40.00	25.1%	7.2%	55.1%	36.7%	0.0%	5.9%	0.4%	141.0K	-3.4M	-12.2K	0.00	76.41	N/A	N/A	11	0	1,576	343
2007-09-06	$43.69	$40.00	21.4%	6.1%	55.2%	25.9%	0.0%	4.5%	2.5%	137.2K	-3.2M	-12.0K	0.00	98.93	N/A	N/A	0	0	1,573	343
2007-09-07	$42.11	$40.00	23.6%	8.9%	48.4%	32.3%	0.0%	8.9%	4.8%	129.5K	-2.5M	-12.2K	26.00	59.41	N/A	N/A	1	26	1,573	343
2007-09-10	$41.35	$40.00	30.0%	8.8%	44.2%	51.2%	29.4%	3.8%	4.8%	119.4K	-2.2M	-11.5K	12.50	68.72	N/A	N/A	2	25	1,574	357
2007-09-11	$41.50	$40.00	32.4%	9.5%	44.3%	58.1%	31.1%	2.3%	0.1%	125.1K	-2.1M	-11.6K	0.24	69.97	N/A	N/A	41	10	1,576	332
2007-09-12	$42.00	$40.00	34.2%	10.5%	42.8%	63.3%	0.0%	2.6%	-2.0%	134.3K	-2.4M	-11.9K	0.00	64.65	N/A	N/A	6	0	1,614	342
2007-09-13	$42.32	$40.00	40.9%	11.7%	41.2%	82.9%	0.0%	2.6%	-8.2%	141.0K	-2.6M	-11.6K	0.00	79.01	N/A	N/A	0	31	1,614	342
2007-09-14	$41.81	$40.00	44.4%	12.7%	31.9%	93.1%	0.0%	-0.1%	-6.7%	103.4K	-2.4M	-12.2K	0.00	147.94	N/A	N/A	0	1	1,614	348
2007-09-17	$41.21	$40.00	37.5%	10.8%	30.6%	73.1%	34.5%	14.4%	-1.3%	130.4K	-2.2M	-11.2K	0.00	81.80	N/A	N/A	2	0	1,614	348
2007-09-18	$43.37	$35.00	31.7%	9.1%	36.5%	56.0%	0.0%	14.4%	-2.5%	151.9K	-3.0M	-11.2K	0.08	76.86	N/A	N/A	12	1	1,614	348
2007-09-19	$44.22	$35.00	17.8%	5.1%	37.2%	15.5%	0.0%	4.8%	16.0%	156.4K	-3.6M	-11.4K	0.00	121.23	N/A	N/A	12	0	1,621	348
2007-09-20	$43.34	$35.00	17.6%	5.0%	37.5%	14.7%	19.2%	6.7%	9.9%	154.4K	-3.2M	-10.9K	0.00	114.01	N/A	N/A	2	0	1,619	348
2007-09-21	$44.86	$35.00	18.7%	5.4%	39.5%	18.1%	22.7%	3.5%	11.1%	196.1K	-3.7M	-11.0K	0.12	105.97	N/A	N/A	81	10	1,619	348
2007-09-24	$44.78	$40.00	45.3%	13.0%	39.5%	95.8%	36.0%	25.0%	-5.5%	128.6K	-3.5M	-11.8K	0.00	95.26	N/A	N/A	62	0	1,568	327
2007-09-25	$44.91	$40.00	49.1%	14.1%	38.5%	100.0%	49.0%	5.0%	-7.7%	132.4K	-3.5M	-11.6K	0.00	82.65	N/A	N/A	35	0	1,597	327
2007-09-26	$45.53	$40.00	40.0%	11.5%	34.8%	75.2%	36.8%	6.5%	4.5%	142.1K	-3.9M	-12.2K	0.51	75.04	N/A	N/A	39	20	1,608	327
2007-09-27	$45.62	$40.00	42.1%	12.1%	31.6%	80.9%	42.5%	6.3%	-5.1%	149.9K	-4.1M	-11.8K	0.00	83.02	N/A	N/A	6	0	1,631	337
2007-09-28	$45.03	$40.00	38.3%	11.0%	31.8%	70.5%	35.5%	6.7%	0.5%	147.4K	-3.9M	-11.8K	0.63	78.23	N/A	N/A	48	30	1,636	337