PCH Options History — November 2008

In November 2008, PCH traded between $21.13 and $33.78. ATM implied volatility averaged 90.3%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 40.2% (HV 20d: 130.5%). Max pain ranged from $25.00 to $45.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 4.42.

Notable Days

2008-11-14: Highest Volume — 550 contracts
2008-11-14: Largest IV spike — 18.5% change
2008-11-20: Highest IV Rank — 57.1%
2008-11-20: Largest Expected Move — 32.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.73	$21.13	$33.78	$32.53	$26.68
Max Pain	$38.16	$25.00	$45.00	$45.00	$30.00
ATM IV	90.3%	74.7%	113.0%	82.3%	88.5%
Expected Move	25.5%	21.4%	32.4%	23.6%	25.4%
HV 20d	130.5%	121.6%	139.4%	133.5%	121.6%
HV 60d	103.9%	94.5%	114.9%	94.5%	114.5%
IV Rank	42.7%	32.8%	57.1%	37.6%	41.5%
IV Percentile	94.6%	89.3%	99.2%	93.7%	91.7%
Term Structure	-10.3%	-39.2%	8.9%	-12.3%	-4.3%
VWIV	77.5%	49.8%	120.9%	82.7%	59.8%
Skew 25d	14.4%	-45.6%	41.4%	9.6%	30.4%
Skew 10d	30.4%	-17.8%	62.4%	27.2%	60.2%
Call IV 25d	77.3%	66.3%	104.6%	78.6%	66.3%
Put IV 25d	91.7%	59.0%	116.2%	88.1%	96.6%
Bid-Ask Spread %	78.43	43.62	112.89	70.14	68.55
Gamma HHI	0.28	0.18	0.33	0.30	0.30
Net GEX	-844	-11.7K	8.2K	-3.8K	7.3K
Net DEX	2.1M	713.6K	2.8M	2.2M	859.2K
Net VEX	-6.6K	-8.4K	-4.7K	-7.9K	-7.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.42	0.00	27.00	8.40	10.50
Total Volume	99.947	17	550	47	23
Total OI	3,236	2,666	3,986	2,961	2,810

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$32.53	$45.00	82.3%	23.6%	133.5%	37.6%	82.7%	9.6%	-12.3%	-3.8K	2.2M	-7.9K	8.40	70.14	N/A	N/A	5	42	1,786	1,175
2008-11-04	$33.78	$45.00	80.3%	23.0%	134.5%	36.3%	77.5%	10.8%	-11.0%	-5.1K	2.2M	-8.2K	0.00	73.33	N/A	N/A	67	0	1,789	1,193
2008-11-05	$30.71	$45.00	83.9%	24.1%	137.7%	38.6%	49.8%	4.9%	-8.8%	-3.6K	2.4M	-6.4K	0.83	78.28	N/A	N/A	12	10	1,802	1,193
2008-11-06	$30.26	$45.00	84.1%	24.1%	136.4%	38.8%	87.7%	6.9%	-5.8%	-3.4K	2.5M	-6.2K	27.00	72.06	N/A	N/A	1	27	1,813	1,203
2008-11-07	$31.79	$25.00	83.9%	21.6%	125.3%	38.6%	0.0%	8.5%	-6.2%	-3.6K	2.5M	-6.5K	2.85	72.09	N/A	N/A	27	77	1,813	1,226
2008-11-10	$28.68	$25.00	84.8%	23.0%	128.6%	39.2%	61.6%	0.2%	-20.6%	-6.0K	2.7M	-5.4K	4.14	88.30	N/A	N/A	7	29	1,836	1,302
2008-11-11	$28.10	$35.00	85.8%	22.1%	127.9%	39.8%	0.0%	9.9%	-8.1%	-5.3K	2.8M	-5.0K	1.55	71.30	N/A	N/A	78	121	1,837	1,321
2008-11-12	$27.47	$35.00	90.1%	23.7%	123.1%	42.5%	52.3%	7.5%	-10.1%	-7.3K	2.6M	-5.6K	0.06	66.25	N/A	N/A	62	4	1,891	1,346
2008-11-13	$30.42	$35.00	74.7%	21.4%	126.5%	32.8%	74.6%	26.5%	8.9%	-5.0K	2.6M	-6.4K	8.64	97.58	N/A	N/A	22	190	1,842	1,346
2008-11-14	$26.27	$35.00	88.4%	25.4%	133.9%	41.5%	56.7%	-45.6%	-39.2%	-11.7K	2.6M	-5.8K	0.10	93.62	N/A	N/A	500	50	1,864	1,455
2008-11-17	$25.94	$45.00	100.2%	28.7%	133.1%	48.9%	112.6%	24.5%	-8.0%	5.2K	2.2M	-7.4K	0.01	103.76	N/A	N/A	81	1	2,364	1,457
2008-11-18	$25.07	$45.00	86.0%	24.7%	133.1%	39.9%	66.9%	12.4%	-6.7%	4.8K	2.2M	-6.6K	3.20	77.50	N/A	N/A	5	16	2,445	1,429
2008-11-19	$23.42	$45.00	98.5%	28.2%	130.8%	47.9%	87.2%	23.2%	-13.8%	1.7K	2.3M	-5.6K	1.66	83.13	N/A	N/A	38	63	2,444	1,436
2008-11-20	$21.13	$40.00	113.0%	32.4%	134.2%	57.1%	120.9%	27.0%	-23.9%	930	2.4M	-4.7K	4.55	112.89	N/A	N/A	11	50	2,460	1,470
2008-11-21	$22.92	$40.00	109.8%	31.5%	134.6%	55.0%	75.8%	41.4%	-4.3%	2.8K	2.4M	-5.9K	8.15	97.43	N/A	N/A	13	106	2,469	1,517
2008-11-24	$27.25	$40.00	98.1%	28.1%	139.4%	47.6%	94.1%	27.2%	-9.6%	4.0K	844.7K	-8.0K	0.91	43.62	N/A	N/A	22	20	1,603	1,063
2008-11-25	$26.97	$40.00	90.6%	26.0%	122.7%	42.9%	87.7%	21.9%	-4.8%	3.7K	938.6K	-7.8K	0.00	58.67	N/A	N/A	102	0	1,608	1,083
2008-11-26	$27.44	$30.00	93.3%	26.8%	122.9%	44.6%	69.1%	25.9%	-7.2%	8.2K	713.6K	-8.4K	1.43	61.70	N/A	N/A	7	10	1,710	1,083
2008-11-28	$26.68	$30.00	88.5%	25.4%	121.6%	41.5%	59.8%	30.4%	-4.3%	7.3K	859.2K	-7.8K	10.50	68.55	N/A	N/A	2	21	1,717	1,093