PCH Options History — February 2008

In February 2008, PCH traded between $38.89 and $43.88. ATM implied volatility averaged 38.0%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 13.5% (HV 20d: 51.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2008-02-20: Highest Volume — 97 contracts
  • 2008-02-13: Largest IV spike — 106.7% change
  • 2008-02-13: Highest IV Rank — 100.0%
  • 2008-02-04: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.42$38.89$43.88$43.88$41.27
Max Pain$40.50$40.00$45.00$45.00$40.00
ATM IV38.0%28.9%70.3%28.9%36.2%
Expected Move10.5%8.3%11.7%8.3%10.4%
HV 20d51.5%44.5%57.9%52.5%44.5%
HV 60d46.0%44.7%47.1%44.7%45.3%
IV Rank43.7%28.3%100.0%30.1%39.1%
IV Percentile75.0%55.2%100.0%58.3%71.0%
Term Structure2.1%-0.6%9.4%-0.1%5.6%
VWIV35.9%23.7%39.8%24.6%23.7%
Skew 25d11.7%5.8%15.6%15.5%7.1%
Skew 10d12.6%4.0%16.5%15.8%4.8%
Call IV 25d25.6%21.8%31.5%21.8%30.8%
Put IV 25d37.3%34.3%38.2%37.3%38.0%
Bid-Ask Spread %69.9349.78133.1595.5889.01
Gamma HHI0.390.250.550.520.31
Net GEX-3.4K-32.4K26.0K26.0K10.8K
Net DEX46.4K-503.0K525.0K-156.7K-52.6K
Net VEX-5.6K-6.9K-4.5K-4.5K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.0010.570.8310.57
Total Volume39.8510972281
Total OI853.55644996761931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$43.88$45.0028.9%8.3%52.5%30.1%24.6%0.0%-0.1%26.0K-156.7K-4.5K0.8395.58N/AN/A1210378383
2008-02-04$41.92$45.0035.6%11.7%54.8%42.3%39.7%15.5%-0.6%5.4K3.4K-5.0K1.1160.95N/AN/A910387393
2008-02-05$39.33$40.0039.4%10.4%57.9%49.3%35.9%11.6%2.9%-18.3K385.4K-4.6K0.0053.80N/AN/A032402411
2008-02-06$39.10$40.0038.3%10.8%55.1%47.2%37.5%0.0%2.4%-24.8K477.6K-4.5K2.9555.96N/AN/A1956402438
2008-02-07$39.83$40.0037.5%10.7%55.1%44.0%36.9%11.9%1.8%-25.7K478.2K-4.9K2.5052.85N/AN/A1230419492
2008-02-08$38.89$40.0035.2%11.6%55.1%39.6%0.0%13.3%0.0%-22.0K525.0K-5.0K3.3376.29N/AN/A310427482
2008-02-11$39.92$40.0041.8%10.8%56.0%52.1%37.7%12.4%1.2%-23.7K444.1K-5.0K0.5861.81N/AN/A1911430492
2008-02-12$40.41$40.0034.0%10.8%56.1%37.4%37.5%0.0%1.7%-28.8K386.6K-5.3K0.0060.93N/AN/A160446503
2008-02-13$41.19$40.0070.3%10.8%54.9%100.0%0.0%8.9%3.2%-6.7K157.0K-5.5K0.88133.15N/AN/A1715462503
2008-02-14$40.55$40.0038.0%10.9%54.9%42.3%37.5%15.6%1.4%-32.4K259.7K-5.5K0.0068.59N/AN/A010468518
2008-02-15$40.89$40.0038.3%11.0%51.5%42.8%38.0%0.0%1.8%-28.9K207.9K-5.5K0.0959.93N/AN/A111468528
2008-02-19$41.38$40.0039.2%11.3%51.5%44.5%39.6%15.6%1.0%754-7.9K-5.6K2.2063.11N/AN/A1022310334
2008-02-20$42.97$40.0037.9%10.9%52.8%42.1%38.0%11.5%1.4%1.7K-138.4K-5.4K0.2449.78N/AN/A7819312354
2008-02-21$41.63$40.0037.6%10.8%48.6%41.6%37.1%0.0%1.6%7.6K-156.6K-6.2K0.3663.99N/AN/A5620383351
2008-02-22$41.86$40.0038.9%11.1%45.6%43.8%38.3%0.0%2.0%9.9K-158.9K-6.5K0.5356.98N/AN/A158427371
2008-02-25$43.58$40.0036.3%10.4%47.6%39.3%37.5%0.0%0.8%15.7K-383.4K-6.6K0.3962.53N/AN/A187441379
2008-02-26$43.81$40.0030.2%8.7%45.0%28.3%30.3%0.0%3.0%20.1K-500.0K-6.8K0.0083.48N/AN/A750459386
2008-02-27$43.69$40.0033.1%9.5%44.7%33.6%35.6%0.0%1.7%25.9K-503.0K-6.8K1.1476.19N/AN/A2933492386
2008-02-28$42.39$40.0033.1%9.5%45.1%33.5%39.8%5.8%9.4%19.2K-338.8K-6.9K6.6773.65N/AN/A320509414
2008-02-29$41.27$40.0036.2%10.4%44.5%39.1%23.7%7.1%5.6%10.8K-52.6K-6.5K10.5789.01N/AN/A774512419