PCH Options History — March 2009

In March 2009, PCH traded between $18.60 and $23.35. ATM implied volatility averaged 75.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 6.7% (HV 20d: 82.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-03-05: Highest Volume — 139 contracts
  • 2009-03-03: Largest IV spike — 49.4% change
  • 2009-03-06: Highest IV Rank — 43.0%
  • 2009-03-03: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.16$18.60$23.35$21.31$23.19
Max Pain$22.73$22.50$25.00$25.00$22.50
ATM IV75.6%56.0%90.9%56.0%73.3%
Expected Move21.4%16.1%24.0%16.1%21.0%
HV 20d82.3%62.5%100.8%69.4%100.8%
HV 60d88.6%78.8%102.7%102.7%86.7%
IV Rank33.2%20.8%43.0%20.8%31.8%
IV Percentile68.2%54.8%90.9%58.7%63.5%
Term Structure-0.3%-4.7%6.3%5.7%3.2%
VWIV73.1%65.0%81.7%73.8%67.4%
Skew 25d15.5%9.8%24.9%22.9%13.3%
Skew 10d33.1%9.6%50.0%49.7%33.3%
Call IV 25d65.3%52.4%75.4%64.7%65.2%
Put IV 25d80.8%74.8%90.0%87.6%78.4%
Bid-Ask Spread %50.2824.9096.3057.7690.55
Gamma HHI0.500.380.690.650.55
Net GEX9.0K2.9K13.9K11.5K12.7K
Net DEX108.2K-261.7K563.9K-53.1K-194.7K
Net VEX-9.9K-11.1K-8.3K-10.0K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.008.930.180.01
Total Volume44.81821396570
Total OI2,573.2732,3572,7672,4112,452

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$21.31$25.0056.0%16.1%69.4%20.8%73.8%0.0%5.7%11.5K-53.1K-10.0K0.1857.76N/AN/A55101,589822
2009-03-03$20.29$25.0083.7%24.0%67.7%38.4%74.4%0.0%-3.7%10.7K126.5K-9.9K0.0352.39N/AN/A3011,638832
2009-03-04$20.41$22.5082.1%23.5%67.2%37.4%74.8%22.9%-1.7%10.7K174.7K-9.7K3.7662.75N/AN/A17641,642832
2009-03-05$19.10$22.5080.3%23.0%69.6%36.2%79.9%14.6%-1.7%7.1K362.7K-8.9K8.9362.36N/AN/A141251,656880
2009-03-06$18.60$22.5090.9%23.7%69.5%43.0%81.7%9.8%-3.8%2.9K546.1K-8.3K0.3133.39N/AN/A35111,660995
2009-03-09$18.91$22.5082.5%22.7%62.5%37.6%0.0%13.0%-3.4%3.3K563.9K-8.4K0.0047.29N/AN/A201,6871,004
2009-03-10$20.84$22.5082.7%22.6%74.5%37.8%75.6%15.2%-1.6%8.9K223.8K-10.1K0.2524.90N/AN/A821,6871,004
2009-03-11$20.89$22.5081.0%22.2%69.9%36.7%74.7%13.0%-1.5%8.5K223.1K-10.0K0.5725.02N/AN/A35201,6901,006
2009-03-12$22.03$22.5072.3%20.7%73.3%31.1%67.0%22.2%-1.6%13.5K-67.6K-10.8K0.4426.07N/AN/A1671,690996
2009-03-13$21.59$22.5071.5%20.5%73.3%30.6%70.9%18.7%-2.2%12.2K3.4K-10.7K3.3325.04N/AN/A6201,6961,003
2009-03-16$19.50$22.5077.0%22.1%79.0%34.1%76.9%10.4%-1.0%5.4K410.1K-8.8K2.7728.72N/AN/A13361,7001,003
2009-03-17$20.88$22.5078.1%22.4%83.8%34.9%78.1%12.8%-3.7%6.5K296.0K-9.4K0.0046.84N/AN/A801,7071,037
2009-03-18$22.28$22.5071.9%20.6%87.5%30.9%0.0%19.0%-1.7%13.9K-50.6K-11.0K0.0042.45N/AN/A2001,7141,037
2009-03-19$21.36$22.5071.6%20.5%88.0%30.7%71.5%11.7%-0.5%12.1K73.2K-10.2K0.0444.88N/AN/A2311,7271,037
2009-03-20$20.44$22.5076.4%21.9%86.9%33.7%0.0%11.2%-4.7%3.4K282.2K-9.4K0.0047.89N/AN/A1401,7311,036
2009-03-23$23.35$22.5069.1%19.8%97.6%29.1%65.7%24.9%2.1%9.7K-261.7K-11.1K0.1839.81N/AN/A77141,391966
2009-03-24$21.93$22.5071.8%20.6%96.8%30.8%71.5%15.2%0.7%8.3K-100.2K-10.6K5.1048.78N/AN/A201021,439964
2009-03-25$22.35$22.5072.5%20.8%96.5%31.3%73.8%21.1%-0.1%8.3K-28.2K-10.2K0.6596.30N/AN/A23151,454945
2009-03-26$23.28$22.5070.7%20.3%97.5%30.1%65.0%15.7%5.9%10.5K-115.8K-10.5K0.0686.36N/AN/A3221,459960
2009-03-27$21.77$22.5069.0%19.8%100.4%29.0%0.0%11.6%1.9%10.1K-211.5K-10.6K0.0053.34N/AN/A021,459962
2009-03-30$21.25$22.5079.0%22.7%97.9%35.4%0.0%13.7%6.3%6.6K177.1K-9.4K0.0063.33N/AN/A0361,459964
2009-03-31$23.19$22.5073.3%21.0%100.8%31.8%67.4%13.3%3.2%12.7K-194.7K-10.5K0.0190.55N/AN/A6911,459993