PCH Options History — April 2008

In April 2008, PCH traded between $40.18 and $47.06. ATM implied volatility averaged 33.0%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.2% (HV 20d: 35.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-04-18: Highest Volume — 98 contracts
  • 2008-04-08: Largest IV spike — 31.9% change
  • 2008-04-15: Highest IV Rank — 45.5%
  • 2008-04-15: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$40.18$47.06$42.82$44.81
Max Pain$44.32$40.00$45.00$40.00$45.00
ATM IV33.0%23.2%39.8%23.2%33.9%
Expected Move10.0%6.7%11.4%6.7%9.7%
HV 20d35.2%32.4%37.3%37.3%36.7%
HV 60d41.4%37.7%44.3%44.3%37.7%
IV Rank33.3%15.9%45.5%15.9%34.9%
IV Percentile55.3%25.8%83.7%25.8%54.0%
Term Structure0.1%-3.9%8.6%8.6%0.8%
VWIV33.8%23.2%39.4%34.3%33.9%
Skew 25d4.8%-2.0%6.7%4.5%3.8%
Skew 10d3.6%0.7%5.7%3.0%5.2%
Call IV 25d32.9%28.1%38.9%34.0%33.8%
Put IV 25d37.7%33.3%39.9%38.5%37.6%
Bid-Ask Spread %76.9450.70100.4871.9189.11
Gamma HHI0.360.300.580.310.38
Net GEX25.9K-5.7K87.3K9.9K42.0K
Net DEX-404.4K-1.4M268.1K-128.6K-772.3K
Net VEX-7.3K-8.2K-6.3K-6.9K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.007.500.033.33
Total Volume23.2270984020
Total OI1,1401,0201,2671,0201,267

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$42.82$40.0023.2%6.7%37.3%15.9%34.3%0.0%8.6%9.9K-128.6K-6.9K0.0371.91N/AN/A391525495
2008-04-02$42.73$40.0028.0%8.0%36.9%24.5%0.0%4.5%4.4%16.5K-230.7K-7.2K1.05100.48N/AN/A1920564496
2008-04-03$43.39$40.0024.8%7.1%37.2%18.7%27.9%0.0%5.1%21.2K-365.2K-7.6K0.0098.23N/AN/A100583516
2008-04-04$42.38$45.0023.4%11.0%34.6%16.2%23.2%4.7%-1.8%17.2K-188.9K-7.3K1.0066.45N/AN/A11593516
2008-04-07$42.39$45.0024.2%11.1%34.7%17.6%0.0%6.2%-2.3%14.7K-163.7K-7.2K1.0072.42N/AN/A44593516
2008-04-08$42.37$45.0031.9%10.8%33.1%31.4%0.0%5.8%-1.1%17.8K-180.8K-7.2K0.0068.96N/AN/A30597512
2008-04-09$40.45$45.0033.9%11.2%32.7%34.9%39.0%5.9%-2.9%731178.5K-6.8K2.0069.34N/AN/A12598512
2008-04-10$40.99$45.0039.3%11.3%32.6%44.6%0.0%5.3%-2.4%1.1K159.9K-6.8K0.0076.80N/AN/A00599514
2008-04-11$40.62$45.0037.6%10.8%32.4%41.6%39.0%6.2%-2.4%-1.4K205.7K-6.6K0.4469.45N/AN/A167599514
2008-04-14$40.18$45.0039.6%11.4%32.4%45.2%0.0%6.2%-3.9%-5.7K268.1K-6.3K0.0075.41N/AN/A01599521
2008-04-15$41.13$45.0039.8%11.4%33.5%45.5%39.4%0.0%-2.7%-4.8K178.0K-6.4K1.3672.38N/AN/A1115599522
2008-04-16$43.14$45.0033.1%9.5%36.1%33.6%0.0%5.2%0.0%22.1K-254.0K-6.9K0.1070.46N/AN/A101609531
2008-04-17$44.06$45.0033.7%9.7%36.8%34.6%34.3%4.2%-0.7%48.8K-535.8K-7.1K0.0072.90N/AN/A120619531
2008-04-18$45.14$45.0034.8%10.0%36.9%36.5%33.0%6.7%-0.7%87.3K-1.0M-7.0K0.1580.60N/AN/A8513631531
2008-04-21$44.60$45.0035.5%10.2%36.2%37.8%35.5%0.0%0.3%28.6K-603.8K-7.7K0.6181.09N/AN/A3622595513
2008-04-22$43.98$45.0036.2%10.4%36.5%39.0%36.4%0.0%-0.5%23.7K-469.2K-7.6K7.5050.70N/AN/A215593513
2008-04-23$44.21$45.0035.5%10.2%35.7%37.8%28.2%4.9%-0.4%27.0K-539.8K-8.1K0.0079.39N/AN/A140621546
2008-04-24$45.52$45.0033.7%9.7%35.9%34.5%32.9%-2.0%2.5%39.1K-881.3K-7.7K0.0483.98N/AN/A522625546
2008-04-25$46.37$45.0033.9%9.7%35.3%34.9%0.0%3.5%2.1%51.2K-1.2M-8.2K0.4882.53N/AN/A2311676546
2008-04-28$47.06$45.0034.9%10.0%35.4%36.8%35.0%0.0%1.1%64.9K-1.4M-8.2K0.4780.10N/AN/A178694555
2008-04-29$45.55$45.0034.8%10.0%36.1%36.6%34.8%5.7%-0.0%48.5K-987.7K-8.2K3.3380.08N/AN/A310700555
2008-04-30$44.81$45.0033.9%9.7%36.7%34.9%33.9%3.8%0.8%42.0K-772.3K-8.2K0.0089.11N/AN/A020702565