PCH Options History — April 2009

In April 2009, PCH traded between $22.57 and $29.51. ATM implied volatility averaged 66.0%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 33.1% (HV 20d: 99.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-04-22: Highest Volume — 515 contracts
  • 2009-04-24: Largest IV drop — 13.1% change
  • 2009-04-01: Highest IV Rank — 33.0%
  • 2009-04-01: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$22.57$29.51$22.64$29.41
Max Pain$21.19$20.00$22.50$22.50$22.50
ATM IV66.0%54.0%75.2%75.2%54.9%
Expected Move19.1%15.5%21.6%21.6%15.8%
HV 20d99.2%92.6%105.5%101.4%92.6%
HV 60d88.2%85.9%90.1%86.7%88.6%
IV Rank27.1%19.5%33.0%33.0%20.1%
IV Percentile52.5%42.5%67.9%67.9%42.5%
Term Structure-2.2%-9.5%3.1%3.1%-0.6%
VWIV62.9%31.2%81.9%74.2%32.4%
Skew 25d12.7%3.0%27.3%14.1%16.6%
Skew 10d19.5%-4.5%51.4%7.5%27.8%
Call IV 25d59.3%43.6%70.8%65.7%43.6%
Put IV 25d72.0%60.2%81.5%79.8%60.2%
Bid-Ask Spread %53.5925.6984.7084.7084.12
Gamma HHI0.770.530.920.530.86
Net GEX36.1K11.7K83.4K11.7K83.4K
Net DEX-1.3M-2.7M-182.7K-182.7K-2.7M
Net VEX-12.0K-14.3K-10.3K-10.6K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.500.000.00
Total Volume58.857251582
Total OI2,532.4762,1832,8672,5062,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$22.64$22.5075.2%21.6%101.4%33.0%0.0%14.1%3.1%11.7K-182.7K-10.6K0.0084.70N/AN/A801,513993
2009-04-02$23.67$22.5070.7%20.3%98.6%30.1%0.0%16.2%2.2%15.4K-470.9K-11.4K0.0068.20N/AN/A2701,514993
2009-04-03$24.75$20.0062.9%19.2%98.2%25.2%74.2%16.9%-1.1%20.7K-706.0K-11.6K2.2025.69N/AN/A5111,536993
2009-04-06$24.37$20.0064.1%19.2%98.8%25.9%67.2%18.5%-2.1%20.3K-704.0K-11.4K0.9131.42N/AN/A22201,541983
2009-04-07$22.57$20.0068.7%20.4%98.4%28.8%66.4%10.6%-4.4%15.6K-305.6K-10.5K2.5033.05N/AN/A4101,554971
2009-04-08$22.84$20.0066.8%20.8%98.4%27.6%31.2%27.3%-6.1%16.2K-244.1K-10.3K0.0047.00N/AN/A2001,555971
2009-04-09$25.77$20.0064.8%18.6%105.5%26.4%58.5%17.0%0.3%27.1K-1.1M-12.0K0.0030.60N/AN/A5401,552971
2009-04-13$25.87$20.0067.1%19.2%105.0%27.8%70.4%17.1%-3.0%31.5K-1.2M-11.9K1.8339.74N/AN/A12221,571971
2009-04-14$24.02$20.0066.1%19.0%101.5%27.2%70.7%6.3%-5.0%26.5K-772.1K-10.9K0.0837.70N/AN/A2421,581968
2009-04-15$25.65$20.0065.9%18.9%101.3%27.0%0.0%18.9%1.5%31.5K-1.1M-11.5K0.0044.97N/AN/A801,588970
2009-04-16$26.94$20.0065.4%18.7%100.3%26.7%60.1%10.6%0.1%30.3K-1.5M-11.8K0.3953.76N/AN/A28111,565946
2009-04-17$27.38$20.0065.0%18.6%98.5%26.5%67.6%10.2%0.1%31.9K-1.7M-12.2K0.0054.48N/AN/A901,584943
2009-04-20$24.77$20.0065.0%18.6%104.6%26.5%68.7%9.8%-0.6%23.8K-743.7K-10.8K1.5955.89N/AN/A17271,469714
2009-04-21$27.27$22.5067.0%19.2%99.5%27.7%56.6%13.2%-0.8%30.0K-1.2M-12.0K0.0452.87N/AN/A2511,477741
2009-04-22$26.60$22.5074.5%21.3%96.8%32.5%71.4%9.7%-7.5%28.6K-1.1M-11.7K0.0454.88N/AN/A493221,501742
2009-04-23$27.47$22.5075.0%21.5%97.1%32.8%69.3%7.5%-7.0%50.7K-1.7M-13.0K0.4054.96N/AN/A25101,856762
2009-04-24$29.19$22.5065.1%18.7%98.2%26.6%64.9%5.5%-5.9%61.8K-2.4M-13.7K0.0061.45N/AN/A2601,876772
2009-04-27$27.58$22.5068.2%19.6%97.1%28.5%81.9%10.8%-9.5%53.1K-1.8M-12.8K1.2761.82N/AN/A11141,879772
2009-04-28$29.01$22.5060.4%17.3%97.1%23.5%58.5%3.0%-1.5%67.5K-2.3M-13.4K0.1172.22N/AN/A131151,884786
2009-04-29$29.51$22.5054.0%15.5%93.3%19.5%0.0%6.2%2.6%81.5K-2.6M-13.7K0.5075.93N/AN/A80401,956801
2009-04-30$29.41$22.5054.9%15.8%92.6%20.1%32.4%16.6%-0.6%83.4K-2.7M-14.3K0.0084.12N/AN/A202,036831