PCH Options History — October 2007

In October 2007, PCH traded between $42.35 and $47.66. ATM implied volatility averaged 44.0%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 19.2% (HV 20d: 24.7%). 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 6 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-10-04: Highest Volume — 243 contracts
  • 2007-10-10: Largest IV spike — 56.9% change
  • 2007-10-01: Highest IV Rank — 100.0%
  • 2007-10-29: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.92$42.35$47.66$45.00$47.66
Max Pain$40.65$40.00$45.00$40.00$40.00
ATM IV44.0%26.9%61.7%55.4%38.2%
Expected Move12.6%7.7%16.6%15.9%11.0%
HV 20d24.7%18.3%31.8%31.8%24.3%
HV 60d39.2%38.3%40.6%40.6%38.6%
IV Rank66.0%33.5%100.0%100.0%52.3%
IV Percentile94.0%73.7%100.0%100.0%88.5%
Term Structure-6.7%-31.5%10.4%-15.9%-9.6%
VWIV40.9%22.6%70.1%41.4%32.1%
Skew 25d9.1%-2.6%35.3%-2.6%2.6%
Skew 10d17.9%0.9%55.2%0.9%6.6%
Call IV 25d31.5%18.0%41.7%30.0%30.8%
Put IV 25d40.6%27.4%54.5%27.4%33.4%
Bid-Ask Spread %122.5055.19153.2693.32138.62
Gamma HHI0.410.340.500.410.49
Net GEX157.5K107.5K194.5K154.9K190.3K
Net DEX-3.8M-5.4M-2.2M-3.8M-5.4M
Net VEX-10.4K-12.6K-6.8K-11.4K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.0010.001.020.20
Total Volume32.957024311518
Total OI2,246.6092,0322,4822,0452,096

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$45.00$40.0055.4%15.9%31.8%100.0%41.4%-2.6%-15.9%154.9K-3.8M-11.4K1.0293.32N/AN/A57581,678367
2007-10-02$45.10$45.0032.8%9.4%31.8%47.3%22.6%3.3%5.6%163.5K-3.6M-11.4K0.00102.64N/AN/A2501,693425
2007-10-03$45.00$45.0031.7%9.1%31.3%44.8%0.0%2.5%4.3%168.4K-3.5M-11.3K0.00107.50N/AN/A001,698425
2007-10-04$45.43$45.0026.9%7.7%31.0%33.5%26.1%14.1%10.4%170.6K-3.7M-10.9K0.33110.11N/AN/A183601,698425
2007-10-05$46.09$40.0028.4%11.0%27.6%37.1%38.4%3.8%-9.6%178.9K-4.3M-11.4K0.0067.93N/AN/A101,851475
2007-10-08$46.24$40.0031.5%11.1%26.3%44.3%32.0%5.1%-7.5%183.7K-4.5M-11.2K0.1969.73N/AN/A53101,852475
2007-10-09$45.98$40.0039.3%10.7%26.6%62.5%33.3%0.8%-2.1%182.1K-4.8M-10.9K1.2555.19N/AN/A16201,890485
2007-10-10$45.40$40.0061.7%13.0%27.2%100.0%25.8%8.6%10.0%154.9K-4.1M-12.6K0.03148.53N/AN/A7621,894495
2007-10-11$44.88$40.0050.4%14.5%27.7%77.1%41.5%10.7%-3.7%148.6K-4.1M-11.7K0.00137.23N/AN/A601,947497
2007-10-12$44.75$40.0052.3%15.0%27.2%80.8%0.0%8.8%-5.9%146.9K-3.9M-11.9K0.00136.15N/AN/A001,959497
2007-10-15$44.27$40.0040.2%11.5%26.9%56.4%70.1%11.1%-31.5%132.7K-3.4M-12.0K0.00153.26N/AN/A2101,959497
2007-10-16$43.54$40.0046.9%13.4%21.2%69.9%47.7%15.4%-9.5%147.9K-3.1M-11.3K0.33122.70N/AN/A621,972497
2007-10-17$43.76$40.0046.6%13.3%20.1%69.2%31.2%12.1%-14.8%155.7K-3.2M-10.8K0.00140.93N/AN/A101,976495
2007-10-18$43.86$40.0051.9%14.9%18.7%80.2%58.7%20.4%-11.4%150.9K-3.2M-10.3K10.00129.72N/AN/A1101,976495
2007-10-19$42.35$40.0047.6%13.6%18.3%71.3%0.0%3.6%-10.3%107.5K-2.2M-10.3K0.00147.88N/AN/A101,977505
2007-10-22$43.02$40.0048.7%14.0%19.4%73.6%46.6%11.8%-15.3%116.7K-2.7M-9.8K0.04141.32N/AN/A2311,626422
2007-10-23$43.57$40.0051.7%14.8%20.0%79.6%56.3%-0.1%-19.4%122.6K-3.1M-9.9K0.00130.98N/AN/A2101,610422
2007-10-24$43.61$40.0044.6%12.8%19.2%65.2%41.9%11.8%-4.8%154.8K-3.0M-9.4K0.33139.25N/AN/A30101,629422
2007-10-25$45.08$40.0041.6%11.9%23.0%59.2%35.6%5.5%4.2%182.2K-3.7M-9.1K0.00135.78N/AN/A301,659430
2007-10-26$45.61$40.0051.0%14.6%22.9%78.2%49.9%14.0%-11.5%155.4K-3.9M-9.2K0.11145.23N/AN/A911,661430
2007-10-29$46.10$40.0058.1%16.6%23.1%92.7%46.4%35.3%-9.5%158.0K-4.2M-8.6K0.00139.51N/AN/A3201,665430
2007-10-30$46.84$40.0033.8%9.7%23.7%43.2%0.0%11.2%2.8%194.5K-5.0M-7.5K0.00124.04N/AN/A101,665430
2007-10-31$47.66$40.0038.2%11.0%24.3%52.3%32.1%2.6%-9.6%190.3K-5.4M-6.8K0.20138.62N/AN/A1531,666430