PCH Options History — May 2008

In May 2008, PCH traded between $43.85 and $48.34. ATM implied volatility averaged 31.7%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.7% (HV 20d: 30.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-05-12: Highest Volume — 70 contracts
  • 2008-05-09: Largest IV drop — 11.0% change
  • 2008-05-01: Highest IV Rank — 36.6%
  • 2008-05-05: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.83$43.85$48.34$45.60$48.34
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV31.7%28.6%34.8%34.8%28.7%
Expected Move9.4%8.2%10.1%10.0%8.2%
HV 20d30.0%23.2%36.8%36.8%24.2%
HV 60d34.1%32.3%35.4%35.3%32.7%
IV Rank31.1%25.5%36.6%36.6%25.7%
IV Percentile42.1%28.6%58.3%58.3%28.6%
Term Structure0.1%-1.7%2.7%0.3%1.7%
VWIV32.1%28.7%36.4%35.1%30.5%
Skew 25d4.0%1.8%6.2%3.6%3.3%
Skew 10d2.4%-5.8%8.9%4.9%-3.3%
Call IV 25d30.2%28.2%34.1%34.1%30.8%
Put IV 25d34.2%32.5%37.7%37.7%34.1%
Bid-Ask Spread %55.5529.1589.6589.2563.02
Gamma HHI0.430.290.710.420.34
Net GEX41.7K20.1K88.4K50.1K32.2K
Net DEX-923.1K-1.6M-404.3K-905.1K-1.2M
Net VEX-7.9K-8.3K-7.5K-8.1K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0010.250.000.00
Total Volume26.4760701533
Total OI1,162.818221,4121,287995

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$45.60$45.0034.8%10.0%36.8%36.6%0.0%0.0%0.3%50.1K-905.1K-8.1K0.0089.25N/AN/A150702585
2008-05-02$45.12$45.0032.8%9.4%35.9%32.9%0.0%3.6%1.4%44.4K-829.4K-8.2K0.0089.65N/AN/A00712585
2008-05-05$45.15$45.0034.0%10.1%35.9%35.2%0.0%0.0%-1.1%44.7K-812.1K-8.0K0.0031.71N/AN/A05712585
2008-05-06$45.05$45.0033.1%9.9%35.9%33.5%0.0%1.8%-0.4%49.7K-734.4K-7.8K0.0029.15N/AN/A130712590
2008-05-07$43.85$45.0033.9%10.0%32.9%35.0%35.1%4.9%-0.8%33.0K-404.3K-7.7K1.5041.34N/AN/A812720590
2008-05-08$44.29$45.0032.9%10.0%32.8%33.1%36.4%3.9%-0.9%42.0K-522.3K-7.7K0.1042.68N/AN/A101725587
2008-05-09$44.32$45.0029.3%10.0%32.5%26.7%35.7%4.7%-1.0%53.0K-575.8K-7.8K0.3349.14N/AN/A3010735588
2008-05-12$45.90$45.0028.6%10.0%33.7%25.5%35.0%0.0%-1.7%76.9K-1.2M-7.7K0.1748.78N/AN/A6010760598
2008-05-13$45.84$45.0030.0%9.5%33.2%28.0%0.0%0.0%-1.3%72.8K-1.3M-7.8K2.2543.70N/AN/A49780588
2008-05-14$45.58$45.0032.8%9.6%29.4%32.9%33.2%6.2%-1.1%88.4K-1.2M-7.8K10.2546.53N/AN/A441782588
2008-05-15$46.18$45.0032.0%9.2%28.8%31.5%31.4%0.0%0.7%59.1K-1.5M-7.6K0.2845.10N/AN/A185784620
2008-05-16$46.58$45.0033.6%9.6%27.8%34.4%33.5%4.7%-1.4%40.0K-1.6M-7.6K0.1443.82N/AN/A284787625
2008-05-19$46.10$45.0032.3%9.3%27.7%32.1%32.3%2.3%-0.2%20.1K-725.8K-7.5K0.4454.74N/AN/A4821464358
2008-05-20$46.50$45.0030.9%8.8%27.1%29.5%28.7%2.8%1.2%23.7K-856.2K-7.9K0.6350.94N/AN/A1912508378
2008-05-21$45.57$45.0031.6%9.1%28.3%30.8%28.8%0.0%0.7%23.7K-726.5K-8.1K1.7360.97N/AN/A1119524390
2008-05-22$46.14$45.0031.3%9.0%26.7%30.3%31.2%0.0%0.7%23.2K-761.5K-8.3K0.0063.77N/AN/A014527409
2008-05-23$45.62$45.0029.9%8.6%26.2%27.8%29.9%5.2%1.9%21.1K-659.0K-8.2K0.0071.81N/AN/A100527422
2008-05-27$46.14$45.0032.2%9.2%25.9%31.9%29.9%3.6%-0.0%23.3K-757.7K-8.3K6.2567.23N/AN/A425526422
2008-05-28$46.52$45.0030.0%8.6%23.2%28.1%30.1%5.5%2.7%25.1K-867.4K-8.3K4.0064.72N/AN/A520530432
2008-05-29$48.03$45.0031.4%9.0%24.7%30.5%30.5%3.2%-0.3%28.2K-1.1M-8.1K0.5668.46N/AN/A1810535432
2008-05-30$48.34$45.0028.7%8.2%24.2%25.7%0.0%3.3%1.7%32.2K-1.2M-8.3K0.0063.02N/AN/A330553442