PCH Options History — June 2008

In June 2008, PCH traded between $45.12 and $50.33. ATM implied volatility averaged 29.4%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.7% (HV 20d: 27.7%). 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 21 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2008-06-18: Highest Volume — 382 contracts
  • 2008-06-12: Largest IV spike — 27.2% change
  • 2008-06-24: Highest IV Rank — 33.8%
  • 2008-06-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.08$45.12$50.33$47.93$45.12
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV29.4%23.3%33.3%27.8%31.6%
Expected Move8.5%7.8%9.5%8.0%9.1%
HV 20d27.7%22.2%30.9%24.1%30.9%
HV 60d30.6%29.5%31.5%31.4%30.5%
IV Rank26.9%15.9%33.8%24.1%30.7%
IV Percentile30.5%9.1%48.8%24.6%37.3%
Term Structure1.8%0.4%3.1%3.1%2.0%
VWIV28.8%19.7%31.3%27.4%19.7%
Skew 25d3.7%2.2%4.9%3.5%4.6%
Skew 10d1.9%-4.4%10.2%-2.9%10.2%
Call IV 25d30.4%29.4%31.7%30.1%30.7%
Put IV 25d34.1%32.8%35.7%33.5%35.3%
Bid-Ask Spread %63.5947.7286.3357.3786.33
Gamma HHI0.360.240.540.340.25
Net GEX52.0K33.3K101.2K33.3K47.5K
Net DEX-1.4M-2.0M-789.6K-1.2M-792.4K
Net VEX-8.9K-10.8K-5.4K-8.3K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.0010.500.001.88
Total Volume40.57103822323
Total OI1,172.198941,4281,0111,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$47.93$45.0027.8%8.0%24.1%24.1%0.0%3.5%3.1%33.3K-1.2M-8.3K0.0057.37N/AN/A230569442
2008-06-03$48.41$45.0027.2%7.8%24.2%23.1%27.4%3.2%2.6%37.3K-1.3M-8.4K0.0067.04N/AN/A40592442
2008-06-04$48.68$45.0029.3%8.4%24.1%26.7%29.3%2.2%0.9%39.3K-1.4M-8.3K0.0085.70N/AN/A80596442
2008-06-05$49.88$45.0027.2%7.8%22.2%22.8%27.2%3.1%2.1%46.7K-1.7M-7.6K0.5453.36N/AN/A137604442
2008-06-06$47.96$45.0029.3%8.4%27.4%26.6%0.0%4.3%2.2%38.9K-1.3M-8.5K0.0058.17N/AN/A130607449
2008-06-09$47.93$45.0028.5%8.5%27.4%25.3%0.0%4.9%1.5%42.4K-1.3M-8.4K0.2955.34N/AN/A72620449
2008-06-10$48.42$45.0028.7%8.5%25.0%25.6%0.0%3.8%1.1%45.4K-1.4M-8.2K2.5052.81N/AN/A410625448
2008-06-11$47.63$45.0023.3%8.4%25.9%15.9%29.9%2.3%1.7%42.8K-1.3M-8.5K0.5053.22N/AN/A21629458
2008-06-12$48.57$45.0029.6%8.5%26.4%27.2%0.0%0.0%1.4%48.1K-1.5M-8.3K0.0053.31N/AN/A00631459
2008-06-13$49.73$45.0028.8%8.2%27.2%25.7%0.0%4.8%1.7%57.1K-1.7M-7.6K0.0059.16N/AN/A150631459
2008-06-16$50.33$45.0030.0%8.6%27.3%27.9%30.0%3.1%0.4%54.6K-1.5M-5.4K0.0062.66N/AN/A90482412
2008-06-17$48.94$45.0029.0%8.3%29.2%26.2%28.3%3.8%2.3%61.4K-1.6M-7.9K2.6760.90N/AN/A38642459
2008-06-18$48.71$45.0029.3%8.4%29.2%26.7%0.0%4.0%2.2%55.4K-1.5M-7.9K0.0667.61N/AN/A36220643467
2008-06-19$49.41$45.0029.1%8.3%28.3%26.3%0.0%3.8%1.8%101.2K-2.0M-10.8K0.0063.61N/AN/A10908487
2008-06-20$48.09$45.0029.3%8.4%30.1%26.6%30.4%3.1%2.8%65.3K-1.7M-10.7K4.0068.17N/AN/A28908487
2008-06-23$47.35$45.0031.3%9.0%30.4%30.3%31.0%4.0%1.9%57.3K-1.3M-10.5K0.4565.35N/AN/A2210823425
2008-06-24$47.33$45.0033.3%9.5%30.2%33.8%31.3%3.1%0.7%56.4K-1.3M-10.6K1.0268.34N/AN/A4142832435
2008-06-25$47.80$45.0030.3%8.7%30.3%28.4%30.3%4.6%1.3%58.3K-1.4M-10.8K0.0047.72N/AN/A1230856473
2008-06-26$46.11$45.0032.4%9.3%30.8%32.2%30.4%3.9%2.0%55.7K-1.1M-10.6K0.0070.30N/AN/A230955473
2008-06-27$45.42$45.0032.3%9.3%30.9%32.0%29.8%4.5%1.3%46.5K-789.6K-10.1K10.5079.03N/AN/A442955473
2008-06-30$45.12$45.0031.6%9.1%30.9%30.7%19.7%4.6%2.0%47.5K-792.4K-9.7K1.8886.33N/AN/A815954473