PCH Options History — November 2007

In November 2007, PCH traded between $41.65 and $46.27. ATM implied volatility averaged 43.6%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 7.3% (HV 20d: 36.3%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2007-11-19: Highest Volume — 29 contracts
  • 2007-11-08: Largest IV drop — 24.9% change
  • 2007-11-02: Highest IV Rank — 92.7%
  • 2007-11-02: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.19$41.65$46.27$45.32$45.91
Max Pain$48.10$40.00$50.00$40.00$45.00
ATM IV43.6%31.6%58.1%56.5%38.6%
Expected Move11.3%8.5%16.6%16.2%11.1%
HV 20d36.3%30.1%45.3%30.6%41.3%
HV 60d33.2%30.2%40.0%40.0%34.1%
IV Rank63.2%38.8%92.7%89.4%52.9%
IV Percentile88.9%76.2%99.5%99.0%84.3%
Term Structure-6.4%-27.7%8.3%-10.5%-6.6%
VWIV39.4%38.7%40.1%38.7%40.1%
Skew 25d3.5%-10.4%16.0%11.5%0.8%
Skew 10d12.5%2.7%42.8%21.8%2.7%
Call IV 25d32.5%14.9%54.7%43.6%33.3%
Put IV 25d36.0%26.8%55.1%55.1%34.1%
Bid-Ask Spread %122.5999.01156.42140.43119.31
Gamma HHI0.510.340.850.400.49
Net GEX129.8K9.7K335.9K189.6K36.1K
Net DEX-2.3M-4.6M-386.3K-4.0M-921.5K
Net VEX-4.9K-8.7K-3.0K-7.9K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.000.000.91
Total Volume5.762029121
Total OI1,504.7146992,1032,102732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$45.32$40.0056.5%16.2%30.6%89.4%0.0%11.5%-10.5%189.6K-4.0M-7.9K0.00140.43N/AN/A101,669433
2007-11-02$45.33$40.0058.1%16.6%30.1%92.7%0.0%-1.6%-27.7%144.9K-4.0M-8.7K0.00151.72N/AN/A1001,668433
2007-11-05$45.30$50.0053.2%11.2%30.1%82.8%0.0%7.7%0.1%179.8K-4.0M-7.4K0.00156.42N/AN/A001,668433
2007-11-06$46.27$50.0049.3%11.1%31.0%74.9%0.0%12.8%-4.9%201.7K-4.6M-6.8K0.00151.47N/AN/A101,668433
2007-11-07$44.02$50.0056.3%8.5%35.5%89.0%0.0%2.7%8.3%173.1K-3.3M-7.1K0.00152.73N/AN/A101,668433
2007-11-08$44.93$50.0042.2%11.3%36.2%60.5%0.0%-2.2%-5.1%212.9K-3.8M-6.4K0.00104.07N/AN/A501,668433
2007-11-09$44.50$50.0040.5%11.4%36.3%56.9%0.0%2.9%-5.3%218.4K-3.5M-6.1K0.00106.89N/AN/A001,670433
2007-11-12$44.14$50.0049.7%11.2%36.2%75.7%0.0%0.7%-4.3%217.3K-3.2M-5.4K0.00107.56N/AN/A0101,670433
2007-11-13$44.85$50.0049.9%11.2%36.1%76.0%0.0%2.5%-5.0%238.5K-3.7M-5.2K0.00107.26N/AN/A101,670433
2007-11-14$44.15$50.0050.8%11.1%36.6%77.9%0.0%1.5%-4.3%250.2K-3.5M-4.8K0.00110.07N/AN/A001,669433
2007-11-15$44.41$50.0038.5%11.0%36.6%52.8%0.0%2.5%-4.1%335.9K-3.2M-4.4K0.00107.63N/AN/A001,669433
2007-11-16$43.44$50.0038.5%11.1%35.2%52.9%0.0%4.3%-3.7%188.3K-2.4M-3.9K0.00111.74N/AN/A011,669433
2007-11-19$42.60$50.0033.0%9.5%35.5%41.6%0.0%3.1%-1.6%11.7K-436.7K-3.4K0.00120.35N/AN/A290416283
2007-11-20$42.32$50.0036.6%10.5%35.2%49.1%0.0%3.2%-3.2%10.8K-410.1K-3.3K0.00121.42N/AN/A00418283
2007-11-21$42.05$50.0036.9%10.6%35.3%49.6%0.0%2.8%-2.1%9.7K-386.3K-3.3K0.00120.77N/AN/A00418283
2007-11-23$43.70$50.0038.0%10.9%36.0%51.9%0.0%-4.7%-5.0%16.1K-537.2K-3.3K0.00119.24N/AN/A00418283
2007-11-26$41.65$50.0039.3%11.3%39.2%54.4%38.7%3.2%-16.5%10.3K-396.1K-3.0K0.00124.34N/AN/A110418283
2007-11-27$42.60$45.0031.6%9.1%40.0%38.8%0.0%15.4%-1.4%14.8K-493.8K-3.2K2.00124.98N/AN/A12429283
2007-11-28$45.15$45.0039.2%11.2%45.3%54.2%39.5%16.0%-9.8%26.5K-687.1K-3.2K0.0099.01N/AN/A160422285
2007-11-29$45.33$45.0038.9%11.2%44.8%53.7%40.1%-10.4%-22.5%38.8K-878.2K-3.1K0.00116.87N/AN/A110438285
2007-11-30$45.91$45.0038.6%11.1%41.3%52.9%0.0%0.8%-6.6%36.1K-921.5K-3.3K0.91119.31N/AN/A1110447285