PCH Options History — January 2008

In January 2008, PCH traded between $38.56 and $44.10. ATM implied volatility averaged 34.8%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 8.9% (HV 20d: 43.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2008-01-31: Highest Volume — 93 contracts
  • 2008-01-08: Largest IV spike — 67.6% change
  • 2008-01-09: Highest IV Rank — 61.2%
  • 2008-01-09: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.38$38.56$44.10$44.10$42.93
Max Pain$42.14$40.00$45.00$45.00$45.00
ATM IV34.8%22.9%45.9%31.6%38.2%
Expected Move9.8%6.6%11.5%9.0%10.9%
HV 20d43.7%39.1%52.3%40.9%52.3%
HV 60d41.0%37.2%44.7%37.2%44.4%
IV Rank40.8%19.1%61.2%34.9%47.1%
IV Percentile73.1%34.5%90.1%70.1%80.2%
Term Structure3.8%-4.1%22.1%-1.2%-1.4%
VWIV33.7%25.3%39.4%34.6%37.6%
Skew 25d8.6%-3.8%43.2%40.2%9.8%
Skew 10d16.7%-7.5%70.5%65.0%7.8%
Call IV 25d30.1%23.1%60.4%30.9%27.2%
Put IV 25d38.7%21.7%79.4%71.1%37.0%
Bid-Ask Spread %101.9964.41122.09115.7664.41
Gamma HHI0.310.250.450.450.35
Net GEX5.3K-17.2K27.7K27.7K14.4K
Net DEX30.6K-319.1K394.3K-319.1K-84.2K
Net VEX-3.6K-4.4K-2.9K-3.4K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.0010.000.002.00
Total Volume22.095093193
Total OI799.476570964836688

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$44.10$45.0031.6%9.0%40.9%34.9%34.6%40.2%-1.2%27.7K-319.1K-3.4K0.00115.76N/AN/A10473363
2008-01-03$43.29$45.0030.1%8.6%41.0%32.3%0.0%43.2%-4.1%19.6K-235.7K-3.2K0.00122.09N/AN/A00474363
2008-01-04$42.65$40.0035.7%8.9%41.1%42.5%35.6%3.8%-1.0%12.4K-128.0K-3.2K4.1193.52N/AN/A937474363
2008-01-07$43.91$40.0026.0%9.6%39.6%24.6%25.8%7.7%3.2%21.3K-162.5K-3.7K0.0096.97N/AN/A20483390
2008-01-08$41.63$40.0043.5%8.7%43.3%56.8%25.3%-0.8%11.5%3.9K25.4K-3.7K10.0093.34N/AN/A110484390
2008-01-09$40.75$40.0045.9%11.5%42.4%61.2%34.0%-3.8%-0.2%-3.9K221.8K-3.5K0.1486.53N/AN/A7010485400
2008-01-10$41.59$40.0032.2%9.2%40.7%36.0%0.0%8.3%3.3%7.3K54.7K-4.1K0.00110.62N/AN/A10554410
2008-01-11$41.19$40.0039.7%11.4%39.8%49.8%0.0%8.6%5.0%3.5K79.7K-4.0K0.0088.48N/AN/A00554410
2008-01-14$41.60$40.0037.3%10.7%40.2%45.5%0.0%8.4%3.7%7.0K58.9K-3.9K0.0098.11N/AN/A100554410
2008-01-15$40.08$40.0036.6%10.5%39.1%44.1%0.0%6.3%1.3%-1.0K200.2K-3.6K0.00111.90N/AN/A00544410
2008-01-16$40.75$40.0035.1%10.1%39.7%41.4%0.0%7.0%4.7%-1.9K144.4K-3.5K0.42106.35N/AN/A2410544400
2008-01-17$38.72$40.0033.8%9.7%40.8%38.9%37.7%2.4%4.8%-14.4K320.3K-3.2K0.63109.15N/AN/A85541400
2008-01-18$38.56$45.0039.0%11.2%40.1%48.6%0.0%2.1%0.3%-17.2K394.3K-3.1K0.0097.58N/AN/A00543405
2008-01-22$39.22$40.0033.3%9.6%40.5%38.2%0.0%2.8%-2.1%-2.7K89.9K-2.9K0.00111.68N/AN/A150345256
2008-01-23$41.97$45.0033.2%9.5%48.3%38.0%0.0%8.5%7.9%8.5K-21.0K-3.3K0.00111.30N/AN/A30314256
2008-01-24$40.11$45.0035.4%10.2%48.6%42.0%0.0%0.0%3.1%30799.4K-3.2K0.00111.35N/AN/A130317256
2008-01-25$40.02$40.0035.4%10.1%48.6%41.9%0.0%-1.5%1.0%1.9K-78.9K-3.3K0.00120.92N/AN/A050372256
2008-01-28$41.88$45.0035.4%10.2%49.6%42.0%0.0%8.2%4.3%6.3K20.5K-3.8K0.00110.02N/AN/A10327306
2008-01-29$42.60$45.0022.9%6.6%50.0%19.1%0.0%8.8%22.1%11.3K-56.4K-3.9K0.00100.42N/AN/A80328306
2008-01-30$41.53$45.0029.9%8.6%50.7%31.9%39.4%2.8%14.4%7.1K19.0K-3.9K0.7381.27N/AN/A4835335306
2008-01-31$42.93$45.0038.2%10.9%52.3%47.1%37.6%9.8%-1.4%14.4K-84.2K-4.4K2.0064.41N/AN/A3162357331