PCH Options History — July 2008

In July 2008, PCH traded between $42.11 and $48.29. ATM implied volatility averaged 40.7%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 13.6% (HV 20d: 54.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.59.

Notable Days

  • 2008-07-09: Highest Volume — 343 contracts
  • 2008-07-07: Largest IV spike — 12.1% change
  • 2008-07-18: Highest IV Rank — 53.8%
  • 2008-07-18: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.18$42.11$48.29$45.95$46.57
Max Pain$47.05$45.00$50.00$45.00$50.00
ATM IV40.7%32.5%45.9%32.6%44.2%
Expected Move11.8%9.3%13.2%9.3%12.7%
HV 20d54.3%31.5%69.2%31.5%67.5%
HV 60d39.2%30.4%45.4%30.7%45.4%
IV Rank45.1%32.4%53.8%32.5%50.5%
IV Percentile78.1%43.3%89.7%44.4%86.9%
Term Structure-5.1%-11.2%1.4%1.4%-8.0%
VWIV40.4%32.6%45.6%32.7%44.0%
Skew 25d2.5%-2.5%12.2%4.4%-0.5%
Skew 10d4.4%-10.5%15.8%12.1%-0.4%
Call IV 25d38.4%31.1%43.6%31.1%40.2%
Put IV 25d40.9%35.5%47.2%35.5%39.7%
Bid-Ask Spread %62.8841.9076.9963.4860.91
Gamma HHI0.300.200.460.250.44
Net GEX59.5K19.1K88.6K50.7K81.9K
Net DEX-732.4K-2.2M591.9K-867.5K-731.2K
Net VEX-13.0K-16.8K-8.3K-10.0K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0022.0018.000.13
Total Volume89.3186343199
Total OI2,016.8181,4352,5431,4352,543

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$45.95$45.0032.6%9.3%31.5%32.5%32.7%4.4%1.4%50.7K-867.5K-10.0K18.0063.48N/AN/A118960475
2008-07-02$44.16$45.0032.6%9.4%33.9%32.6%32.6%4.6%1.4%37.0K-511.4K-9.2K0.0070.46N/AN/A340961484
2008-07-03$43.65$45.0032.5%9.3%32.2%32.4%0.0%4.5%0.8%33.3K-409.2K-9.3K0.0073.25N/AN/A110982484
2008-07-07$42.11$45.0036.4%11.6%31.7%39.4%40.3%3.3%-4.3%19.1K-46.7K-8.3K0.4657.57N/AN/A14265992484
2008-07-08$45.52$45.0037.4%11.4%43.7%41.1%39.2%5.5%-5.7%55.4K-969.3K-10.4K2.1753.29N/AN/A12261,070521
2008-07-09$42.16$45.0038.5%11.3%50.6%43.1%0.0%-0.7%-1.9%24.0K-143.0K-8.9K0.0841.90N/AN/A317261,062514
2008-07-10$43.35$45.0042.2%12.1%51.9%49.8%42.2%0.2%-5.7%50.8K-752.8K-12.8K0.0060.77N/AN/A1201,357530
2008-07-11$44.38$45.0042.2%12.1%52.2%46.8%41.2%0.2%-5.6%64.2K-1.2M-13.4K1.0061.96N/AN/A331,359530
2008-07-14$43.26$45.0041.8%12.0%51.6%45.9%41.1%1.4%-5.5%54.5K-852.3K-12.6K0.6153.51N/AN/A33201,362530
2008-07-15$42.56$45.0041.6%11.9%51.2%45.5%39.8%-2.5%-4.5%51.3K-629.6K-11.8K22.0062.61N/AN/A1221,377534
2008-07-16$46.12$45.0042.1%12.1%59.5%46.5%42.0%2.7%-4.7%77.9K-1.7M-13.7K1.6765.23N/AN/A36601,378554
2008-07-17$47.02$45.0041.5%11.9%60.0%45.4%41.3%5.8%-5.0%88.6K-2.1M-14.3K3.7368.15N/AN/A11411,375600
2008-07-18$47.05$45.0045.9%13.2%59.7%53.8%35.4%3.5%-9.1%82.8K-2.2M-14.7K2.7549.19N/AN/A892451,386630
2008-07-21$46.71$50.0045.6%13.1%59.0%53.1%40.8%4.7%-8.1%66.3K-923.3K-14.8K0.7158.04N/AN/A127901,333778
2008-07-22$48.29$50.0042.8%12.3%60.0%47.7%42.3%2.9%-6.0%77.8K-1.3M-16.0K1.7658.11N/AN/A42741,432868
2008-07-23$48.23$50.0045.3%13.0%60.0%52.5%45.6%3.7%-11.2%76.8K-1.2M-16.8K0.1461.26N/AN/A77111,474938
2008-07-24$44.35$50.0039.9%11.4%67.0%42.3%39.9%-1.4%-4.1%56.5K458.7K-14.2K1.3166.27N/AN/A70921,515947
2008-07-25$45.17$50.0039.9%11.4%66.3%42.3%39.8%-1.0%-4.3%57.7K253.8K-14.5K0.0072.00N/AN/A1001,503987
2008-07-28$44.02$50.0043.9%12.6%66.7%50.0%44.6%12.2%-7.6%48.0K591.9K-13.4K0.4775.42N/AN/A43201,502987
2008-07-29$46.30$50.0043.2%12.4%69.2%48.6%43.2%3.0%-6.6%72.8K-262.9K-15.2K0.0073.00N/AN/A1501,535997
2008-07-30$47.01$50.0043.9%12.6%69.1%49.8%44.0%-1.5%-7.1%81.0K-625.0K-15.4K0.0076.99N/AN/A5701,543997
2008-07-31$46.57$50.0044.2%12.7%67.5%50.5%0.0%-0.5%-8.0%81.9K-731.2K-15.8K0.1360.91N/AN/A811,546997