PCH Options History — February 2009 In February 2009, PCH traded between $22.68 and $28.33. ATM implied volatility averaged 70.2%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 11.5% (HV 20d: 81.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.57.
Notable Days 2009-02-12 : Highest Volume — 1,042 contracts2009-02-10 : Largest IV spike — 21.6% change2009-02-23 : Highest IV Rank — 33.7%2009-02-23 : Largest Expected Move — 21.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.09 $22.68 $28.33 $26.36 $22.77 Max Pain $26.32 $25.00 $30.00 $25.00 $25.00 ATM IV 70.2% 57.2% 76.4% 70.8% 74.2% Expected Move 20.4% 17.8% 21.9% 20.3% 21.3% HV 20d 81.7% 67.6% 90.8% 89.8% 67.6% HV 60d 121.9% 114.0% 128.0% 128.0% 114.0% IV Rank 29.8% 21.5% 33.7% 30.2% 32.4% IV Percentile 68.3% 63.9% 73.4% 69.0% 69.4% Term Structure 1.2% -2.3% 10.0% 5.2% -2.3% VWIV 68.5% 58.4% 79.5% 70.8% 76.5% Bid-Ask Spread % 36.73 23.22 53.13 38.35 53.13 Gamma HHI 0.56 0.43 0.79 0.51 0.67 Net GEX 35.9K 11.3K 73.2K 31.4K 15.8K Net DEX -909.7K -1.8M -67.2K -1.2M -296.6K Net VEX -9.9K -13.4K -7.5K -8.0K -11.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 0.00 7.50 0.00 0.00 Total Volume 95.947 1 1,042 1 47 Total OI 2,228.895 1,760 2,990 1,760 2,364
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 2009-02-02 $26.36 $25.00 70.8% 20.3% 89.8% 30.2% 70.8% 0.0% 5.2% 31.4K -1.2M -8.0K 0.00 38.35 N/A N/A 1 0 1,193 567 2009-02-03 $26.82 $25.00 69.8% 20.0% 89.4% 29.6% 59.0% 0.0% 2.8% 32.2K -1.3M -8.1K 0.00 45.30 N/A N/A 8 0 1,194 567 2009-02-04 $26.13 $25.00 69.7% 20.0% 89.1% 29.5% 68.2% 0.0% 4.3% 32.8K -1.2M -7.9K 2.50 41.75 N/A N/A 8 20 1,199 567 2009-02-05 $26.09 $25.00 69.1% 19.8% 86.6% 29.1% 0.0% 0.0% 10.0% 32.7K -1.1M -7.9K 0.00 45.04 N/A N/A 11 0 1,207 587 2009-02-06 $28.04 $30.00 58.7% 17.8% 89.4% 22.5% 66.7% 0.0% 1.0% 34.1K -1.7M -8.0K 7.50 29.32 N/A N/A 6 45 1,218 587 2009-02-09 $28.33 $30.00 57.2% 18.1% 85.8% 21.5% 62.3% 0.0% 0.7% 36.1K -1.8M -7.7K 6.00 33.47 N/A N/A 1 6 1,223 586 2009-02-10 $26.00 $30.00 69.5% 20.8% 90.8% 29.4% 64.4% 0.0% -1.2% 37.3K -1.1M -7.5K 0.04 23.22 N/A N/A 130 5 1,224 587 2009-02-11 $26.17 $30.00 66.9% 20.6% 88.0% 27.7% 0.0% 0.0% 3.3% 44.1K -1.3M -7.7K 0.00 32.94 N/A N/A 0 5 1,345 592 2009-02-12 $26.21 $30.00 73.7% 21.1% 86.8% 32.0% 70.3% 0.0% -0.2% 46.9K -1.3M -7.5K 0.46 27.63 N/A N/A 713 329 1,345 597 2009-02-13 $24.85 $25.00 70.1% 20.1% 85.6% 29.7% 70.0% 0.0% 0.6% 55.5K -1.2M -13.4K 0.22 25.32 N/A N/A 46 10 2,004 923 2009-02-17 $24.30 $25.00 71.9% 20.6% 83.5% 30.9% 0.0% 0.0% -0.1% 63.7K -875.1K -12.9K 0.50 23.70 N/A N/A 2 1 2,040 924 2009-02-18 $23.85 $25.00 69.7% 20.0% 76.8% 29.5% 69.1% 0.0% 2.4% 59.1K -598.3K -12.0K 0.53 35.61 N/A N/A 19 10 2,040 920 2009-02-19 $23.10 $25.00 75.1% 21.5% 70.0% 32.9% 79.5% 0.0% 0.9% 11.3K -67.2K -11.2K 0.50 26.89 N/A N/A 4 2 2,056 930 2009-02-20 $24.22 $25.00 70.2% 20.1% 71.3% 29.8% 58.4% 0.0% 1.2% 73.2K -523.3K -11.9K 4.69 38.63 N/A N/A 26 122 2,059 931 2009-02-23 $22.68 $25.00 76.4% 21.9% 73.7% 33.7% 72.2% 0.0% -1.1% 15.8K -262.0K -10.8K 0.50 41.13 N/A N/A 30 15 1,440 705 2009-02-24 $24.27 $25.00 70.6% 20.2% 78.2% 30.1% 70.3% 0.0% -0.3% 19.8K -548.1K -11.8K 0.00 38.88 N/A N/A 23 0 1,462 720 2009-02-25 $23.45 $25.00 76.0% 21.8% 77.9% 33.5% 68.9% 0.0% -1.8% 20.9K -528.7K -11.2K 0.00 49.30 N/A N/A 55 0 1,485 720 2009-02-26 $22.99 $25.00 74.7% 21.4% 71.8% 32.7% 70.1% 0.0% -2.2% 18.8K -427.5K -10.8K 4.86 48.22 N/A N/A 21 102 1,521 720 2009-02-27 $22.77 $25.00 74.2% 21.3% 67.6% 32.4% 76.5% 0.0% -2.3% 15.8K -296.6K -11.2K 0.00 53.13 N/A N/A 47 0 1,542 822
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