PCH Options History — May 2009

In May 2009, PCH traded between $25.23 and $31.35. ATM implied volatility averaged 55.3%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 32.9% (HV 20d: 88.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.72.

Notable Days

  • 2009-05-28: Highest Volume — 140 contracts
  • 2009-05-07: Largest IV spike — 28.0% change
  • 2009-05-07: Highest IV Rank — 29.1%
  • 2009-05-13: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.42$25.23$31.35$28.75$26.18
Max Pain$24.88$22.50$25.00$22.50$25.00
ATM IV55.3%41.2%69.1%56.6%52.2%
Expected Move16.3%14.6%18.3%16.2%15.0%
HV 20d88.2%77.7%98.4%92.6%81.5%
HV 60d91.0%88.5%93.0%88.5%91.4%
IV Rank20.3%11.4%29.1%21.2%18.4%
IV Percentile40.5%28.2%53.2%42.9%35.7%
Term Structure0.9%-7.1%8.8%-1.8%2.1%
VWIV56.0%41.5%65.5%52.4%51.7%
Skew 25d13.3%-2.8%34.7%11.5%14.3%
Skew 10d19.5%-4.3%66.6%27.0%23.3%
Call IV 25d47.7%31.6%55.6%49.8%38.5%
Put IV 25d61.0%47.0%68.1%61.3%52.8%
Bid-Ask Spread %56.9730.6091.0782.9588.41
Gamma HHI0.700.540.860.860.55
Net GEX47.5K17.8K99.4K79.8K21.1K
Net DEX-1.3M-3.6M-43.3K-2.4M-211.6K
Net VEX-12.7K-14.3K-11.4K-14.0K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0018.430.210.62
Total Volume51.141403584
Total OI2,810.052,3703,0512,8692,917

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$28.75$22.5056.6%16.2%92.6%21.2%0.0%11.5%-1.8%79.8K-2.4M-14.0K0.2182.95N/AN/A2962,038831
2009-05-04$31.35$25.0055.9%16.3%95.8%20.7%52.4%34.7%1.5%94.0K-3.6M-14.3K0.0733.80N/AN/A1412,067835
2009-05-05$30.04$25.0054.6%16.1%97.3%19.9%0.0%7.9%1.9%97.4K-3.1M-14.1K1.0039.02N/AN/A222,077836
2009-05-06$29.11$25.0054.0%16.1%93.2%19.5%65.5%-2.8%1.3%94.3K-2.5M-13.7K0.0635.33N/AN/A1812,077838
2009-05-07$26.98$25.0069.1%18.2%98.4%29.1%52.0%23.7%0.6%58.6K-1.4M-12.7K0.7546.17N/AN/A1292,078839
2009-05-08$29.10$25.0055.6%15.9%92.7%20.6%64.2%0.5%1.2%99.4K-2.6M-13.5K1.0937.29N/AN/A11122,083835
2009-05-11$28.06$25.0041.2%15.4%93.9%11.4%0.0%13.8%1.0%80.7K-1.8M-12.6K0.0048.57N/AN/A2502,094843
2009-05-12$27.57$25.0045.5%15.8%89.7%14.1%63.0%13.0%1.3%35.2K-1.4M-12.2K0.6545.41N/AN/A31202,119843
2009-05-13$25.77$25.0054.2%18.3%90.6%19.6%45.9%11.1%-7.1%26.2K-901.6K-11.4K11.5041.23N/AN/A2232,131863
2009-05-14$27.31$25.0063.5%18.2%91.3%25.5%51.6%15.0%-0.9%29.8K-1.3M-12.2K0.5845.63N/AN/A33192,133883
2009-05-15$25.81$25.0060.5%17.3%93.3%23.6%60.4%15.7%-3.1%26.1K-753.1K-11.6K1.8930.60N/AN/A19362,149902
2009-05-18$27.55$25.0051.0%14.6%88.8%17.6%62.8%14.1%5.1%27.9K-1.0M-12.3K0.4947.64N/AN/A70341,537833
2009-05-19$26.61$25.0058.5%16.8%83.0%22.3%51.1%20.8%-2.8%29.4K-1.1M-12.0K1.2452.27N/AN/A37461,590867
2009-05-20$26.50$25.0057.3%16.4%82.5%21.6%58.9%11.7%0.9%29.0K-909.8K-12.3K0.4867.06N/AN/A29141,625913
2009-05-21$26.77$25.0055.2%15.8%81.7%20.3%62.5%13.1%3.4%27.9K-707.8K-12.3K18.4368.33N/AN/A71291,654927
2009-05-22$26.36$25.0051.7%14.8%78.5%18.0%0.0%7.8%0.6%25.8K-472.4K-12.4K1.5765.16N/AN/A7111,6591,036
2009-05-26$27.49$25.0059.0%16.9%77.7%22.7%41.5%19.5%0.4%28.5K-706.0K-13.0K13.6791.07N/AN/A3411,6631,047
2009-05-27$25.23$25.0054.8%15.7%80.9%20.0%51.7%3.0%4.1%17.8K-43.3K-12.1K0.0090.40N/AN/A4501,6641,088
2009-05-28$25.89$25.0055.9%16.0%81.3%20.7%0.0%17.5%8.8%20.5K-46.3K-12.4K0.1083.15N/AN/A127131,6991,088
2009-05-29$26.18$25.0052.2%15.0%81.5%18.4%0.0%14.3%2.1%21.1K-211.6K-13.4K0.6288.41N/AN/A52321,8161,101