PCH Options History — December 2007

In December 2007, PCH traded between $43.74 and $48.17. ATM implied volatility averaged 37.9%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.9% (HV 20d: 42.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2007-12-12: Highest Volume — 222 contracts
  • 2007-12-26: Largest IV spike — 101.9% change
  • 2007-12-07: Highest IV Rank — 100.0%
  • 2007-12-26: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.94$43.74$48.17$45.58$44.44
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV37.9%23.7%67.1%38.9%34.2%
Expected Move9.7%6.8%13.7%11.1%9.8%
HV 20d42.7%39.0%46.6%41.4%40.9%
HV 60d35.0%33.2%37.3%33.2%37.3%
IV Rank48.2%20.6%100.0%53.6%39.8%
IV Percentile78.7%44.7%100.0%84.4%77.6%
Term Structure-0.2%-12.3%8.3%-12.3%-1.1%
VWIV36.4%23.7%69.9%69.9%23.7%
Skew 25d4.4%-5.3%30.5%2.2%6.5%
Skew 10d12.7%-5.5%47.9%3.3%10.0%
Call IV 25d34.2%20.7%46.5%33.4%37.7%
Put IV 25d38.7%27.4%67.4%35.6%44.1%
Bid-Ask Spread %114.0595.48125.31122.24116.24
Gamma HHI0.520.360.740.470.47
Net GEX43.4K29.5K64.6K36.6K29.5K
Net DEX-757.4K-1.1M-353.9K-869.5K-353.9K
Net VEX-3.6K-4.3K-3.0K-3.2K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0010.000.200.00
Total Volume22.5022200
Total OI788.1712866732836

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$45.58$45.0038.9%11.1%41.4%53.6%0.0%2.2%-12.3%36.6K-869.5K-3.2K0.00122.24N/AN/A00437295
2007-12-04$44.84$45.0035.1%10.1%41.8%46.0%0.0%-4.5%-4.1%31.1K-764.2K-3.3K0.00122.24N/AN/A00437295
2007-12-05$45.25$45.0038.1%10.9%41.2%52.1%0.0%-0.5%-7.7%33.9K-816.8K-3.3K0.00121.67N/AN/A00437295
2007-12-06$47.14$45.0040.5%11.6%39.5%57.0%0.0%7.3%-8.7%41.2K-1.0M-3.2K0.00125.31N/AN/A00437295
2007-12-07$47.20$45.0062.3%8.9%39.0%100.0%69.9%5.1%1.2%46.0K-958.8K-3.0K0.20110.33N/AN/A102417295
2007-12-10$48.15$45.0035.7%7.7%39.2%46.5%30.7%-3.3%-3.3%50.4K-1.1M-3.0K0.00106.43N/AN/A220427293
2007-12-11$45.83$45.0067.1%9.5%43.4%100.0%0.0%20.9%-0.3%40.8K-935.0K-3.0K0.00112.24N/AN/A10466293
2007-12-12$46.65$45.0037.3%9.2%43.5%45.5%0.0%8.5%1.4%45.7K-872.0K-3.0K0.00112.75N/AN/A2220442293
2007-12-13$46.33$45.0032.2%9.2%43.1%36.0%27.0%8.2%2.0%48.4K-767.0K-3.4K0.00113.12N/AN/A430437293
2007-12-14$44.22$45.0033.4%9.6%46.4%38.3%0.0%-5.3%2.3%40.1K-553.8K-3.6K2.00107.98N/AN/A1020480293
2007-12-17$43.74$45.0037.7%10.8%45.9%46.1%35.4%0.4%-3.8%31.1K-408.5K-3.7K2.1495.48N/AN/A1430490313
2007-12-18$45.16$45.0033.6%9.6%46.6%38.6%36.0%-2.9%2.0%46.4K-619.6K-4.1K10.00107.83N/AN/A220501343
2007-12-19$45.76$45.0032.0%9.2%46.6%35.7%0.0%-2.5%3.6%49.6K-695.4K-4.3K0.00111.89N/AN/A010503363
2007-12-20$46.24$45.0032.3%9.3%46.5%36.3%32.3%5.5%1.6%51.3K-731.2K-4.2K0.00114.61N/AN/A010503363
2007-12-21$46.85$45.0031.2%8.9%44.9%34.3%0.0%11.9%-0.2%55.6K-874.9K-4.2K0.71117.41N/AN/A1410503353
2007-12-24$48.17$45.0023.7%6.8%41.2%20.6%23.7%7.0%8.3%64.6K-928.5K-4.0K0.00115.91N/AN/A100463363
2007-12-26$47.45$45.0047.9%13.7%41.6%64.9%0.0%30.5%4.5%52.4K-883.3K-4.2K0.00116.13N/AN/A00473363
2007-12-27$45.15$45.0030.8%8.8%41.0%33.5%0.0%-3.1%7.4%38.6K-579.3K-4.0K0.00115.55N/AN/A00473363
2007-12-28$44.62$45.0033.6%9.6%41.2%38.6%0.0%-2.9%3.4%34.0K-430.0K-3.8K0.00115.60N/AN/A00473363
2007-12-31$44.44$45.0034.2%9.8%40.9%39.8%0.0%6.5%-1.1%29.5K-353.9K-3.5K0.00116.24N/AN/A00473363