PCH Options History — August 2008

In August 2008, PCH traded between $44.53 and $48.69. ATM implied volatility averaged 36.8%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 12.7% (HV 20d: 49.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2008-08-19: Highest Volume — 195 contracts
  • 2008-08-12: Largest IV spike — 52.8% change
  • 2008-08-12: Highest IV Rank — 63.1%
  • 2008-08-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.55$44.53$48.69$46.93$46.69
Max Pain$43.57$40.00$50.00$50.00$45.00
ATM IV36.8%31.0%50.9%43.7%32.4%
Expected Move10.0%9.1%12.5%12.5%9.3%
HV 20d49.5%35.4%67.3%67.3%39.5%
HV 60d46.9%45.1%48.5%45.1%48.4%
IV Rank36.5%25.5%63.1%49.5%28.1%
IV Percentile54.0%23.4%94.4%85.7%29.0%
Term Structure1.4%-8.7%4.8%-8.7%4.8%
VWIV34.5%32.8%38.7%38.7%33.2%
Skew 25d4.1%0.8%6.6%2.1%4.5%
Skew 10d6.1%-2.4%11.4%1.2%5.9%
Call IV 25d34.7%32.0%39.2%38.8%32.5%
Put IV 25d38.7%37.0%42.0%40.9%37.0%
Bid-Ask Spread %43.7126.5963.2163.2157.61
Gamma HHI0.410.340.550.460.38
Net GEX76.0K40.4K120.2K88.6K61.9K
Net DEX-1.4M-2.9M-558.1K-887.1K-1.2M
Net VEX-14.9K-15.7K-13.9K-15.7K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.006.530.571.57
Total Volume34.8101953318
Total OI2,156.3811,6042,5832,5521,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$46.93$50.0043.7%12.5%67.3%49.5%38.7%2.1%-8.7%88.6K-887.1K-15.7K0.5763.21N/AN/A21121,554998
2008-08-04$46.25$40.0043.1%10.3%66.1%48.5%0.0%0.8%0.8%87.1K-558.1K-15.1K0.0028.66N/AN/A801,5731,010
2008-08-05$47.74$40.0039.6%9.6%61.1%41.7%33.3%2.7%1.5%104.5K-1.2M-15.5K2.0530.41N/AN/A20411,573990
2008-08-06$47.47$40.0043.0%10.2%53.7%48.2%0.0%3.4%0.3%109.7K-1.2M-15.3K0.0033.35N/AN/A1401,592989
2008-08-07$45.56$40.0042.9%10.1%55.5%48.1%0.0%6.6%1.1%84.8K-1.3M-14.3K0.6126.59N/AN/A18111,604754
2008-08-08$47.55$40.0035.1%9.7%56.9%33.2%33.5%1.3%1.6%120.1K-2.4M-15.1K6.5346.39N/AN/A171111,612743
2008-08-11$48.69$40.0033.3%9.7%56.2%29.8%35.3%4.3%1.9%120.2K-2.9M-15.6K0.0052.15N/AN/A4001,625852
2008-08-12$47.36$40.0050.9%10.4%57.0%63.1%35.9%4.3%0.9%112.1K-2.2M-15.6K0.5042.34N/AN/A631,630852
2008-08-13$47.14$45.0031.0%10.3%49.7%25.5%33.2%4.7%0.7%77.6K-2.2M-14.7K0.1843.98N/AN/A2241,630853
2008-08-14$47.80$45.0032.6%9.3%49.4%28.5%32.8%5.0%1.8%82.5K-2.4M-14.9K0.0842.61N/AN/A1311,651856
2008-08-15$47.54$45.0032.8%9.4%49.5%28.9%0.0%4.8%1.8%75.1K-2.4M-14.9K0.0045.00N/AN/A001,661857
2008-08-18$46.10$45.0035.5%10.2%50.7%33.9%34.1%5.2%0.1%59.6K-1.2M-14.0K0.1137.61N/AN/A2731,108496
2008-08-19$45.57$45.0035.1%10.1%49.2%33.2%34.3%4.4%3.1%55.9K-1.1M-13.9K1.1937.38N/AN/A891061,117494
2008-08-20$45.27$45.0035.2%10.1%49.2%33.4%33.7%4.8%2.6%50.0K-875.0K-14.8K0.4235.65N/AN/A24101,201600
2008-08-21$45.07$45.0034.8%10.0%38.9%32.7%34.8%4.3%2.4%46.3K-852.4K-14.5K0.0643.84N/AN/A1811,185610
2008-08-22$46.08$45.0034.6%9.9%39.1%32.4%0.0%4.2%3.0%53.7K-1.0M-14.8K0.9138.83N/AN/A11101,199610
2008-08-25$44.53$45.0035.7%10.2%40.0%34.4%0.0%4.1%1.2%43.6K-705.4K-14.3K0.0052.88N/AN/A201,208620
2008-08-26$44.60$45.0035.5%10.2%35.4%33.9%35.5%4.2%2.0%40.4K-611.0K-14.0K0.0060.17N/AN/A0101,208620
2008-08-27$45.98$45.0034.4%9.9%36.8%31.8%34.4%5.2%3.0%51.5K-982.4K-14.5K0.0046.56N/AN/A401,208630
2008-08-28$47.65$45.0031.9%9.1%38.8%27.2%33.2%4.4%3.1%69.9K-1.6M-15.5K1.5752.60N/AN/A14221,211630
2008-08-29$46.69$45.0032.4%9.3%39.5%28.1%0.0%4.5%4.8%61.9K-1.2M-15.0K1.5757.61N/AN/A7111,220650