PCH Options History — January 2009 In January 2009, PCH traded between $22.76 and $28.50. ATM implied volatility averaged 78.2%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 21.7% (HV 20d: 100.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.19.
Notable Days 2009-01-30 : Highest Volume — 564 contracts2009-01-28 : Largest IV drop — 16.5% change2009-01-12 : Highest IV Rank — 46.4%2009-01-02 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $25.27 $22.76 $28.50 $25.48 $25.19 Max Pain $29.00 $25.00 $30.00 $25.00 $25.00 ATM IV 78.2% 60.6% 96.1% 83.5% 69.6% Expected Move 21.5% 17.4% 24.0% 24.0% 19.9% HV 20d 100.0% 77.7% 129.7% 129.3% 88.6% HV 60d 134.8% 126.2% 140.0% 139.7% 127.7% IV Rank 35.0% 23.8% 46.4% 38.4% 29.4% IV Percentile 76.2% 67.1% 94.0% 80.6% 68.3% Term Structure -3.3% -9.9% 2.3% -2.7% 0.8% VWIV 72.2% 61.0% 90.7% 90.7% 69.4% Bid-Ask Spread % 27.82 21.11 42.28 40.90 42.28 Gamma HHI 0.41 0.33 0.52 0.39 0.41 Net GEX -3.7K -14.1K 5.9K 241 1.3K Net DEX -72.4K -649.1K 305.2K 7.9K -201.8K Net VEX -2.9K -6.9K -543 -559 -6.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.19 0.00 10.00 10.00 0.08 Total Volume 100.95 0 564 11 564 Total OI 630.8 169 1,216 169 1,216
Daily Data (20 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 2009-01-02 $25.48 $25.00 83.5% 24.0% 129.3% 38.4% 90.7% 0.0% -2.7% 241 7.9K -559 10.00 40.90 N/A N/A 1 10 84 85 2009-01-05 $24.86 $30.00 85.2% 21.5% 129.7% 39.4% 74.4% 0.0% -3.0% -524 29.9K -543 3.15 21.11 N/A N/A 20 63 85 95 2009-01-06 $25.77 $30.00 83.1% 21.9% 128.8% 38.1% 75.7% 0.0% -2.6% -2.4K 54.2K -780 4.30 22.05 N/A N/A 20 86 95 157 2009-01-07 $24.36 $30.00 79.4% 21.9% 124.8% 35.8% 81.2% 0.0% -3.1% -6.9K 164.8K -1.0K 7.33 21.26 N/A N/A 15 110 105 243 2009-01-08 $25.17 $30.00 84.2% 21.2% 117.9% 38.8% 69.1% 0.0% -2.2% -11.2K 206.8K -1.3K 1.08 21.34 N/A N/A 79 85 120 333 2009-01-09 $23.66 $30.00 84.3% 23.6% 116.2% 38.8% 73.5% 0.0% -7.3% -11.5K 219.1K -1.8K 7.50 26.37 N/A N/A 2 15 199 347 2009-01-12 $22.76 $30.00 96.1% 22.9% 113.4% 46.4% 0.0% 0.0% -6.9% -11.8K 305.2K -1.6K 3.33 30.09 N/A N/A 3 10 201 349 2009-01-13 $24.31 $30.00 88.4% 21.5% 102.8% 41.4% 0.0% 0.0% -5.9% -12.9K 187.9K -1.8K 0.00 24.78 N/A N/A 140 0 204 359 2009-01-14 $23.44 $30.00 82.7% 23.7% 100.0% 37.9% 0.0% 0.0% -9.9% -13.7K 122.8K -2.6K 0.00 28.71 N/A N/A 0 0 344 359 2009-01-15 $25.16 $30.00 75.5% 21.6% 102.3% 33.3% 0.0% 0.0% -6.0% -14.1K -65.3K -2.8K 0.00 24.95 N/A N/A 6 0 344 359 2009-01-16 $26.51 $30.00 74.2% 21.3% 88.7% 32.4% 74.0% 0.0% -3.6% -2.1K -242.9K -2.9K 0.00 23.07 N/A N/A 15 0 349 359 2009-01-20 $24.13 $30.00 74.5% 21.4% 77.7% 32.6% 66.6% 0.0% -4.8% -700 -71.9K -2.6K 0.00 29.54 N/A N/A 16 0 296 214 2009-01-21 $26.34 $30.00 77.2% 22.1% 82.2% 34.4% 68.9% 0.0% -5.7% 718 -198.8K -2.8K 0.91 32.67 N/A N/A 11 10 312 214 2009-01-22 $25.30 $30.00 74.8% 21.4% 80.8% 32.8% 73.6% 0.0% -3.9% 339 -144.1K -2.8K 1.67 21.21 N/A N/A 6 10 323 224 2009-01-23 $26.03 $30.00 73.7% 21.1% 81.3% 32.1% 81.6% 0.0% 0.3% -27 -172.6K -2.9K 0.98 26.20 N/A N/A 199 195 329 234 2009-01-26 $25.61 $30.00 74.2% 21.3% 81.6% 32.5% 70.0% 0.0% -1.9% -164 -275.5K -5.3K 0.33 23.17 N/A N/A 3 1 518 416 2009-01-27 $26.44 $30.00 72.5% 20.8% 81.9% 31.4% 62.5% 0.0% -1.0% 485 -332.3K -5.4K 0.00 31.53 N/A N/A 61 0 521 417 2009-01-28 $28.50 $25.00 60.6% 17.4% 84.0% 23.8% 61.0% 0.0% 2.0% 5.9K -649.1K -5.7K 0.95 35.16 N/A N/A 134 127 576 417 2009-01-29 $26.42 $25.00 70.5% 20.2% 87.2% 30.1% 62.8% 0.0% 2.3% 4.1K -393.1K -6.9K 0.00 29.93 N/A N/A 2 0 690 524 2009-01-30 $25.19 $25.00 69.6% 19.9% 88.6% 29.4% 69.4% 0.0% 0.8% 1.3K -201.8K -6.5K 0.08 42.28 N/A N/A 521 43 692 524
« Dec 2008 | All History | Feb 2009 » Home PCH History January 2009