PCH Options History — September 2008

In September 2008, PCH traded between $43.98 and $51.68. ATM implied volatility averaged 42.2%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 19.6% (HV 20d: 61.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2008-09-10: Highest Volume — 547 contracts
  • 2008-09-29: Largest IV spike — 49.2% change
  • 2008-09-29: Highest IV Rank — 87.3%
  • 2008-09-29: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.37$43.98$51.68$47.22$46.39
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV42.2%31.0%64.3%34.2%63.2%
Expected Move12.2%8.9%18.4%9.8%18.1%
HV 20d61.8%39.0%91.6%39.3%91.6%
HV 60d56.9%47.8%68.3%47.8%68.0%
IV Rank45.6%25.5%87.3%31.5%84.9%
IV Percentile70.2%18.7%99.2%42.1%98.8%
Term Structure-0.5%-8.2%3.5%2.8%-8.2%
VWIV43.7%29.2%88.8%29.2%64.1%
Skew 25d5.4%2.5%8.1%5.1%7.0%
Skew 10d5.1%-3.4%11.2%7.0%10.9%
Call IV 25d39.0%31.4%56.7%33.0%52.2%
Put IV 25d44.4%37.2%64.8%38.0%59.3%
Bid-Ask Spread %45.5223.61105.1451.5036.56
Gamma HHI0.390.290.730.380.38
Net GEX67.4K-61.4K305.1K64.1K52.0K
Net DEX-1.5M-3.8M214.0K-1.3M-1.1M
Net VEX-17.5K-19.9K-14.5K-14.9K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.0010.200.000.31
Total Volume90.66755473384
Total OI2,379.4761,8812,7821,8812,507

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$47.22$45.0034.2%9.8%39.3%31.5%29.2%5.1%2.8%64.1K-1.3M-14.9K0.0051.50N/AN/A3301,220661
2008-09-03$48.59$45.0031.0%8.9%39.0%25.5%31.1%4.9%3.5%83.5K-1.8M-15.5K0.2360.47N/AN/A44101,250661
2008-09-04$46.43$45.0034.4%9.9%42.3%31.8%34.9%4.3%2.4%69.0K-1.2M-14.7K3.3169.10N/AN/A13431,287671
2008-09-05$46.96$45.0035.5%10.6%39.8%34.0%0.0%5.9%-0.5%64.3K-1.2M-15.2K0.0028.63N/AN/A501,295714
2008-09-08$49.32$45.0031.6%9.8%40.7%26.7%0.0%6.0%-0.0%103.3K-2.2M-15.3K0.0040.54N/AN/A9501,298714
2008-09-09$46.46$45.0035.2%10.7%45.3%33.4%35.3%4.3%-0.2%62.8K-1.1M-14.5K0.4529.56N/AN/A1151,372714
2008-09-10$47.13$45.0040.8%11.4%44.6%44.0%45.3%6.0%-0.3%79.2K-1.4M-15.2K4.3123.61N/AN/A1034441,383715
2008-09-11$47.67$45.0037.3%10.7%44.7%37.5%37.3%6.8%0.6%70.9K-1.4M-18.7K0.2928.35N/AN/A38111,4631,106
2008-09-12$47.90$45.0038.0%10.9%44.5%38.8%0.0%7.7%1.4%72.4K-1.5M-18.9K0.6229.68N/AN/A65401,4861,114
2008-09-15$45.45$45.0043.1%12.4%48.2%48.5%0.0%6.0%-2.9%-10.3K-482.7K-18.5K0.5028.16N/AN/A631,5441,154
2008-09-16$46.88$45.0044.8%12.8%48.4%51.6%0.0%6.2%-1.0%-14.2K-957.3K-18.7K10.2023.69N/AN/A5511,5441,157
2008-09-17$43.98$45.0044.5%12.8%53.5%51.0%43.7%6.3%0.2%-61.4K214.0K-17.6K0.0026.91N/AN/A2101,5491,198
2008-09-18$51.68$45.0042.5%12.2%78.7%47.2%32.7%2.5%0.1%143.1K-3.8M-18.8K0.4355.04N/AN/A108461,5681,198
2008-09-19$50.08$45.0039.5%11.3%79.8%41.6%39.7%5.1%0.3%305.1K-3.1M-19.1K0.0295.36N/AN/A4311,5391,243
2008-09-22$45.99$45.0046.9%13.5%85.7%54.7%44.5%4.0%-1.1%40.1K-902.8K-18.0K1.8549.27N/AN/A27501,3231,005
2008-09-23$46.20$45.0046.6%13.3%84.7%49.8%0.0%4.0%-1.0%39.5K-798.4K-18.3K0.0048.92N/AN/A501,3501,034
2008-09-24$46.19$45.0047.7%13.7%84.7%52.3%43.1%5.9%-1.3%42.4K-920.8K-18.2K0.0129.32N/AN/A7811,3531,034
2008-09-25$48.60$45.0042.9%12.3%85.9%42.0%42.8%4.3%-0.5%64.3K-1.8M-19.1K0.0146.40N/AN/A16511,3911,034
2008-09-26$50.01$45.0043.1%12.4%85.6%42.5%43.3%3.9%-0.0%89.7K-2.7M-19.9K0.8549.81N/AN/A13111,5301,035
2008-09-29$45.68$45.0064.3%18.4%91.5%87.3%88.8%8.1%-4.1%55.5K-1.6M-19.8K0.00105.14N/AN/A22411,5291,026
2008-09-30$46.39$45.0063.2%18.1%91.6%84.9%64.1%7.0%-8.2%52.0K-1.1M-19.0K0.3136.56N/AN/A64201,4811,026