PCH Options History — March 2008

In March 2008, PCH traded between $38.77 and $43.76. ATM implied volatility averaged 36.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.6% (HV 20d: 38.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2008-03-24: Highest Volume — 48 contracts
2008-03-27: Largest IV spike — 14.4% change
2008-03-10: Highest IV Rank — 46.5%
2008-03-05: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.27	$38.77	$43.76	$41.72	$41.27
Max Pain	$41.50	$40.00	$45.00	$40.00	$40.00
ATM IV	36.7%	32.0%	40.4%	36.3%	36.3%
Expected Move	10.4%	9.2%	11.2%	10.4%	10.4%
HV 20d	38.3%	33.6%	43.8%	43.8%	35.0%
HV 60d	44.5%	43.5%	45.5%	45.3%	43.8%
IV Rank	40.0%	31.5%	46.5%	39.3%	39.2%
IV Percentile	70.3%	53.2%	84.9%	71.4%	66.3%
Term Structure	2.5%	-0.8%	5.5%	5.5%	4.6%
VWIV	35.0%	31.6%	39.6%	39.6%	34.1%
Skew 25d	6.1%	1.9%	13.5%	3.0%	5.8%
Skew 10d	8.9%	0.3%	14.3%	3.0%	11.9%
Call IV 25d	29.0%	24.1%	31.1%	31.1%	29.3%
Put IV 25d	35.0%	31.1%	37.6%	34.1%	35.1%
Bid-Ask Spread %	79.64	65.37	93.20	71.00	83.42
Gamma HHI	0.29	0.26	0.32	0.30	0.29
Net GEX	2.5K	-8.6K	18.0K	9.9K	4.5K
Net DEX	45.2K	-411.4K	482.0K	-56.8K	60.7K
Net VEX	-6.9K	-7.3K	-6.2K	-7.3K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	6.67	0.52	0.00
Total Volume	22.35	0	48	35	26
Total OI	1,028.9	921	1,115	1,001	1,021

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-03-03	$41.72	$40.00	36.3%	10.4%	43.8%	39.3%	39.6%	3.0%	5.5%	9.9K	-56.8K	-7.3K	0.52	71.00	N/A	N/A	23	12	512	489
2008-03-04	$41.17	$40.00	38.0%	10.9%	41.0%	42.4%	37.9%	5.0%	-0.3%	4.9K	37.4K	-7.3K	0.00	90.60	N/A	N/A	24	0	529	501
2008-03-05	$41.29	$40.00	39.0%	11.2%	33.6%	44.1%	0.0%	5.7%	-0.8%	4.8K	50.1K	-7.3K	0.83	93.20	N/A	N/A	6	5	537	501
2008-03-06	$39.56	$40.00	37.2%	10.7%	37.2%	40.9%	36.2%	8.6%	0.2%	-5.1K	318.3K	-6.9K	0.50	90.60	N/A	N/A	22	11	543	506
2008-03-07	$39.73	$45.00	38.6%	10.8%	36.6%	43.3%	0.0%	8.4%	2.4%	-4.6K	336.8K	-6.6K	0.08	73.85	N/A	N/A	12	1	528	497
2008-03-10	$38.77	$45.00	40.4%	10.9%	36.7%	46.5%	0.0%	7.0%	2.3%	-8.5K	482.0K	-6.2K	0.38	74.28	N/A	N/A	32	12	534	497
2008-03-11	$40.86	$45.00	39.8%	10.9%	40.2%	45.5%	0.0%	5.9%	2.2%	-4.2K	218.9K	-6.7K	0.00	77.37	N/A	N/A	0	21	526	497
2008-03-12	$40.29	$45.00	38.4%	10.8%	40.3%	43.0%	33.7%	13.5%	2.6%	-8.6K	312.5K	-6.6K	0.00	82.19	N/A	N/A	8	0	526	506
2008-03-13	$40.89	$45.00	37.7%	10.8%	40.1%	41.8%	0.0%	5.9%	2.3%	-3.1K	178.5K	-6.7K	1.67	77.17	N/A	N/A	9	15	530	501
2008-03-14	$40.52	$45.00	37.8%	10.8%	39.8%	41.9%	37.6%	6.1%	2.7%	-7.3K	231.5K	-6.8K	0.00	76.19	N/A	N/A	30	0	539	516
2008-03-17	$40.43	$40.00	37.3%	10.7%	39.7%	41.0%	0.0%	7.2%	2.5%	-8.2K	215.8K	-6.7K	0.00	75.38	N/A	N/A	21	0	569	516
2008-03-18	$41.62	$40.00	37.0%	10.6%	40.9%	40.4%	33.3%	1.9%	3.5%	-3.5K	-11.5K	-6.8K	0.04	72.81	N/A	N/A	25	1	566	516
2008-03-19	$41.66	$40.00	36.0%	10.3%	38.4%	38.7%	34.8%	5.1%	3.1%	-518	-112.5K	-6.9K	0.00	65.37	N/A	N/A	20	0	580	517
2008-03-20	$42.61	$40.00	34.6%	9.9%	37.6%	36.2%	0.0%	5.8%	2.4%	15.3K	-276.5K	-7.1K	0.00	69.89	N/A	N/A	0	0	598	517
2008-03-24	$43.76	$40.00	34.3%	9.8%	38.6%	35.6%	34.3%	6.1%	3.1%	12.3K	-348.6K	-7.1K	0.00	81.20	N/A	N/A	48	0	465	456
2008-03-25	$43.62	$40.00	32.5%	9.3%	36.0%	32.5%	31.8%	5.7%	2.7%	18.0K	-411.4K	-7.3K	0.19	82.79	N/A	N/A	21	4	511	456
2008-03-26	$42.74	$40.00	32.0%	9.2%	36.6%	31.5%	31.6%	4.2%	3.2%	16.6K	-289.8K	-7.3K	0.00	79.78	N/A	N/A	0	5	525	460
2008-03-27	$41.85	$40.00	36.6%	10.5%	37.3%	39.8%	0.0%	4.5%	2.2%	11.4K	-102.0K	-7.1K	0.00	89.98	N/A	N/A	0	10	525	465
2008-03-28	$41.12	$40.00	34.6%	9.9%	36.3%	36.2%	34.1%	5.9%	3.1%	6.4K	70.7K	-7.0K	6.67	85.69	N/A	N/A	3	20	525	475
2008-03-31	$41.27	$40.00	36.3%	10.4%	35.0%	39.2%	0.0%	5.8%	4.6%	4.5K	60.7K	-6.9K	0.00	83.42	N/A	N/A	26	0	526	495