PCH Options History — October 2008

In October 2008, PCH traded between $25.25 and $46.52. ATM implied volatility averaged 91.7%, placing in the 67.2% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded below realized volatility by 10.8% (HV 20d: 102.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.19.

Notable Days

  • 2008-10-06: Highest Volume — 352 contracts
  • 2008-10-15: Largest IV spike — 58.2% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.82$25.25$46.52$46.52$33.21
Max Pain$47.83$45.00$50.00$45.00$45.00
ATM IV91.7%62.4%180.8%62.4%82.8%
Expected Move24.4%17.9%29.4%17.9%23.7%
HV 20d102.6%87.2%133.5%91.0%133.5%
HV 60d75.9%63.9%95.0%66.1%95.0%
IV Rank67.2%31.7%100.0%83.2%37.9%
IV Percentile97.8%94.0%100.0%98.4%94.0%
Term Structure-16.9%-74.5%2.2%-5.1%-14.5%
VWIV81.6%64.6%93.8%64.6%75.6%
Skew 25d9.6%-27.6%34.8%7.1%10.5%
Skew 10d16.2%-17.1%49.6%11.9%34.0%
Call IV 25d76.4%46.3%96.9%46.3%77.5%
Put IV 25d86.0%53.3%100.9%53.3%88.0%
Bid-Ask Spread %53.0416.45113.3544.4659.21
Gamma HHI0.310.260.380.380.30
Net GEX10.8K-17.4K53.1K53.1K-3.5K
Net DEX884.8K-1.3M2.5M-1.3M2.1M
Net VEX-14.3K-20.8K-5.7K-19.4K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.005.001.510.00
Total Volume110.43543521434
Total OI2,8862,5583,1642,5582,960

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$46.52$45.0062.4%17.9%91.0%83.2%64.6%7.1%-5.1%53.1K-1.3M-19.4K1.5144.46N/AN/A57861,5161,042
2008-10-02$44.90$45.0073.3%21.0%90.4%100.0%71.4%4.0%-5.2%38.7K-917.2K-19.5K2.9635.66N/AN/A25741,5611,090
2008-10-03$43.27$45.0075.1%21.5%91.1%100.0%74.5%7.5%-1.0%29.7K-425.2K-18.8K3.2446.52N/AN/A25811,5741,110
2008-10-06$42.16$50.0064.9%22.5%89.2%80.5%75.4%9.9%-13.8%14.0K183.2K-18.1K1.12107.21N/AN/A1661861,5991,139
2008-10-07$41.00$50.0095.8%24.9%87.4%100.0%84.9%7.3%-17.6%13.9K234.6K-18.2K0.2516.45N/AN/A248631,6581,177
2008-10-08$41.26$50.0095.1%24.9%87.2%99.1%84.8%7.1%-16.7%17.4K109.1K-19.3K0.2516.80N/AN/A157401,7741,210
2008-10-09$38.62$50.00101.2%25.3%89.4%100.0%86.9%34.8%-16.9%11.3K318.6K-17.8K0.00112.31N/AN/A3701,7431,220
2008-10-10$44.70$50.0098.1%24.5%105.3%96.0%84.6%7.3%-16.7%34.6K-889.7K-20.8K0.00106.92N/AN/A801,7781,220
2008-10-13$45.01$50.00103.4%26.1%103.7%100.0%86.7%10.1%-24.4%35.3K-1.2M-20.3K1.1821.27N/AN/A74871,7781,220
2008-10-14$42.43$50.00114.3%26.6%105.0%100.0%86.0%10.4%-23.5%12.1K-54.8K-19.1K0.1019.51N/AN/A165161,8151,289
2008-10-15$37.89$50.00180.8%25.7%110.0%100.0%76.3%12.6%-20.7%9991.6M-14.5K2.62113.35N/AN/A13341,7621,288
2008-10-16$40.65$50.0094.0%26.9%95.2%45.0%93.8%15.4%-22.2%-17.4K802.9K-17.3K0.3723.60N/AN/A79291,7721,320
2008-10-17$38.05$50.0091.4%26.2%97.0%43.4%89.9%13.5%-20.7%11.6K1.9M-15.0K1.0435.54N/AN/A26271,8261,338
2008-10-20$38.87$50.0077.6%22.2%93.9%34.6%76.5%16.6%2.2%10.8K1.2M-14.4K5.0021.76N/AN/A18901,6121,134
2008-10-21$37.44$50.0086.5%24.8%94.3%40.2%86.7%10.6%-7.8%4.2K1.6M-13.5K0.1725.91N/AN/A3561,6261,206
2008-10-22$33.82$50.0080.8%23.2%99.5%36.6%80.0%10.2%-10.3%-1.9K2.2M-10.6K4.0647.15N/AN/A351421,6551,212
2008-10-23$32.84$45.0073.0%20.9%96.5%31.7%72.5%5.2%-6.2%-4.5K2.2M-8.9K0.0070.45N/AN/A9301,6861,108
2008-10-24$29.37$45.0091.2%26.1%100.0%43.2%85.7%14.5%-24.5%2.6K1.8M-8.8K0.0071.76N/AN/A1201,7111,108
2008-10-27$25.25$45.00102.6%29.4%107.2%50.4%91.3%-27.6%-74.5%6241.8M-6.3K0.8843.97N/AN/A34301,7131,108
2008-10-28$30.26$45.0086.3%24.7%130.1%40.1%86.0%13.6%-23.0%-8.5K2.5M-5.7K1.4754.48N/AN/A681001,7131,126
2008-10-29$30.42$45.0089.8%25.7%130.1%42.3%82.5%7.9%-12.4%-4.5K2.4M-6.7K0.5162.37N/AN/A41211,7541,171
2008-10-30$31.87$45.0089.5%25.7%132.2%42.2%79.3%13.1%-13.0%-2.1K2.2M-8.3K0.6063.33N/AN/A531,7811,175
2008-10-31$33.21$45.0082.8%23.7%133.5%37.9%75.6%10.5%-14.5%-3.5K2.1M-8.5K0.0059.21N/AN/A401,7851,175