PCH Options History — December 2008

In December 2008, PCH traded between $20.78 and $28.98. ATM implied volatility averaged 89.2%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 77.8% (HV 20d: 167.0%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.38.

Notable Days

  • 2008-12-08: Highest Volume — 650 contracts
  • 2008-12-09: Largest IV spike — 14.6% change
  • 2008-12-01: Highest IV Rank — 54.0%
  • 2008-12-01: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.37$20.78$28.98$20.78$26.01
Max Pain$27.00$22.50$30.00$30.00$25.00
ATM IV89.2%79.3%108.2%108.2%82.0%
Expected Move25.6%23.2%31.0%31.0%23.5%
HV 20d167.0%139.8%183.5%146.9%139.8%
HV 60d135.3%124.6%140.4%124.6%139.8%
IV Rank42.0%35.7%54.0%54.0%37.4%
IV Percentile88.9%79.8%98.4%98.4%79.8%
Term Structure-5.4%-11.7%0.1%-11.7%0.1%
VWIV85.6%43.0%117.7%108.6%72.7%
Skew 25d21.0%11.3%52.1%19.4%13.8%
Skew 10d41.0%19.7%74.8%44.7%57.9%
Call IV 25d78.2%64.3%89.3%89.3%78.7%
Put IV 25d99.3%88.6%116.4%108.6%92.5%
Bid-Ask Spread %48.0125.8075.9474.9627.00
Gamma HHI0.410.231.000.260.36
Net GEX7.5K-1.4K37.6K24-664
Net DEX338.8K-362.9K1.5M1.5M16.4K
Net VEX-3.9K-9.0K0-4.3K-432
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0018.005.000.28
Total Volume76.28606501264
Total OI1,893.14303,7612,833105

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$20.78$30.00108.2%31.0%146.9%54.0%108.6%19.4%-11.7%241.5M-4.3K5.0074.96N/AN/A2101,7191,114
2008-12-02$24.27$30.0096.4%27.6%160.1%46.5%110.0%31.9%-5.7%3.2K1.3M-5.9K0.3871.10N/AN/A2681031,7211,124
2008-12-03$24.48$22.5091.4%26.2%159.1%43.4%117.7%52.1%-4.4%10.1K1.0M-6.5K1.0972.12N/AN/A11121,9631,223
2008-12-04$23.27$22.50103.8%29.8%157.0%51.2%103.7%35.8%-11.3%10.1K1.2M-5.8K2.3172.79N/AN/A13301,9741,233
2008-12-05$25.85$30.0088.9%24.6%162.5%41.8%43.0%15.7%-6.8%12.8K779.7K-6.9K13.3375.94N/AN/A3401,9761,252
2008-12-08$28.97$30.0079.3%23.2%167.1%35.7%80.9%11.3%-2.3%15.6K-298.9K-8.0K0.0448.24N/AN/A624261,9771,162
2008-12-09$26.63$30.0090.8%25.6%165.8%43.0%84.0%14.3%-9.9%37.6K-328.6K-9.0K18.0065.14N/AN/A2362,5891,172
2008-12-10$28.48$30.0079.8%23.6%167.5%36.0%85.7%14.8%-4.5%19.7K-222.2K-7.9K2.0635.98N/AN/A31642,0891,207
2008-12-11$24.39$30.0086.2%24.7%176.3%40.1%51.3%12.9%-5.0%11.6K913.8K-6.1K2.4755.71N/AN/A15372,1141,257
2008-12-12$26.19$30.0085.9%24.6%174.1%39.9%79.0%15.7%-5.4%13.1K493.7K-6.5K1.7546.64N/AN/A20352,1291,279
2008-12-15$25.00$30.0088.5%25.4%167.0%41.5%0.0%15.0%-6.8%9.7K847.7K-5.8K0.0047.57N/AN/A002,1421,313
2008-12-16$28.98$30.0083.9%24.1%175.2%38.6%77.5%13.8%-7.1%22.5K-362.9K-7.5K0.2556.84N/AN/A40102,1421,313
2008-12-18$24.90$0.0087.8%25.2%183.5%41.1%95.7%0.0%-2.4%0008.2029.30N/AN/A54100
2008-12-19$26.12$22.5087.6%25.1%182.5%41.0%94.5%0.0%-4.7%-89721.8K-2095.0025.80N/AN/A210540
2008-12-22$24.65$22.5088.3%25.3%179.6%41.4%88.7%0.0%-3.9%-98430.3K-2830.0026.78N/AN/A010750
2008-12-23$24.58$25.0087.3%25.0%177.5%40.7%80.1%0.0%-4.4%-1.4K41.7K-3060.0030.43N/AN/A60760
2008-12-24$24.52$25.0087.5%25.1%165.8%40.9%0.0%0.0%-3.8%-1.3K39.9K-3140.0031.38N/AN/A001360
2008-12-26$25.14$25.0096.9%27.8%166.1%46.9%0.0%0.0%-5.4%-1.2K36.2K-3090.0052.57N/AN/A201360
2008-12-29$24.11$25.0086.6%24.8%166.5%40.3%86.8%0.0%-2.4%-1.3K39.1K-3020.0033.90N/AN/A201560
2008-12-30$25.45$25.0087.1%25.0%167.6%40.7%81.1%0.0%-4.7%-1.2K27.3K-3100.6528.03N/AN/A17111760
2008-12-31$26.01$25.0082.0%23.5%139.8%37.4%72.7%0.0%0.1%-66416.4K-4320.2827.00N/AN/A50143471