PCH Options History — June 2009

In June 2009, PCH traded between $23.82 and $27.78. ATM implied volatility averaged 51.9%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 2.1% (HV 20d: 54.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-06-05: Highest Volume — 205 contracts
  • 2009-06-10: Largest IV spike — 27.7% change
  • 2009-06-03: Highest IV Rank — 22.8%
  • 2009-06-03: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.77$23.82$27.78$26.96$24.29
Max Pain$27.50$25.00$30.00$25.00$25.00
ATM IV51.9%39.4%59.1%52.0%50.2%
Expected Move15.3%13.1%17.0%14.9%14.4%
HV 20d54.0%33.5%82.2%82.2%33.8%
HV 60d81.8%73.0%90.4%90.4%73.0%
IV Rank16.3%10.2%22.8%18.3%12.8%
IV Percentile33.2%19.0%42.5%35.3%27.8%
Term Structure2.5%-2.4%19.6%11.9%1.8%
VWIV52.7%47.3%60.0%47.5%47.8%
Skew 25d8.2%2.5%16.5%8.0%9.0%
Skew 10d13.2%-1.2%24.3%20.4%4.6%
Call IV 25d48.8%42.3%54.9%49.8%44.6%
Put IV 25d57.0%51.6%60.1%57.9%53.5%
Bid-Ask Spread %80.6257.78101.38101.3891.89
Gamma HHI0.560.440.640.620.60
Net GEX25.2K9.3K34.9K30.5K21.1K
Net DEX390.4K-906.1K1.6M-727.3K1.6M
Net VEX-12.7K-15.2K-9.4K-14.5K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.003.780.032.00
Total Volume56.31852057311
Total OI3,420.6822,9933,6292,9933,629

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$26.96$25.0052.0%14.9%82.2%18.3%47.5%8.0%11.9%30.5K-727.3K-14.5K0.03101.38N/AN/A7121,8601,133
2009-06-02$26.66$25.0058.0%16.6%75.0%22.0%58.8%7.3%-1.3%32.1K-644.7K-14.2K1.8879.55N/AN/A8151,9281,133
2009-06-03$26.55$25.0059.1%17.0%73.9%22.8%0.0%8.8%-0.7%30.6K-542.7K-14.0K2.2088.17N/AN/A5111,9321,148
2009-06-04$27.06$25.0051.1%14.6%73.8%17.7%0.0%9.4%16.3%31.6K-707.7K-14.6K3.7889.13N/AN/A18681,9371,159
2009-06-05$27.72$30.0039.4%15.1%69.2%10.2%0.0%6.2%-1.0%34.6K-906.1K-15.0K0.8662.61N/AN/A110951,9441,227
2009-06-08$27.58$30.0046.1%14.6%63.4%14.5%50.3%7.4%1.2%34.4K-694.9K-15.1K0.0059.18N/AN/A1402,0121,302
2009-06-09$27.78$30.0040.3%15.0%62.2%10.8%0.0%5.4%-1.2%33.7K-710.3K-15.0K0.0057.78N/AN/A4401,9651,302
2009-06-10$27.44$30.0051.4%16.1%62.0%17.9%49.7%5.7%-2.4%34.9K-486.2K-14.6K2.3075.08N/AN/A461061,9921,302
2009-06-11$26.90$30.0056.6%16.2%57.3%21.2%0.0%11.4%0.5%31.0K-238.1K-14.7K1.2778.51N/AN/A62792,0291,408
2009-06-12$27.30$30.0045.6%13.1%53.7%14.2%0.0%4.8%19.6%31.3K-17.5K-15.2K0.0094.10N/AN/A502,0871,487
2009-06-15$25.88$30.0057.2%16.4%53.2%18.7%0.0%7.7%-0.8%23.9K350.3K-13.7K0.5979.70N/AN/A17102,0911,487
2009-06-16$25.11$30.0052.2%15.0%48.3%15.4%53.2%2.5%2.6%19.6K868.2K-12.5K0.8280.39N/AN/A22182,1061,492
2009-06-17$25.19$30.0056.5%16.2%47.0%18.1%0.0%4.7%0.4%18.9K1.0M-12.0K0.0073.08N/AN/A502,1071,510
2009-06-18$24.84$30.0056.9%16.3%47.2%18.4%56.5%5.6%0.5%15.8K949.0K-12.2K0.0573.35N/AN/A3822,1111,510
2009-06-19$25.08$30.0055.5%15.9%47.2%17.4%55.3%8.0%3.4%9.3K1.0M-12.0K0.5566.89N/AN/A65362,1081,512
2009-06-22$23.83$25.0055.7%16.0%50.0%17.5%60.0%16.5%-0.6%20.0K1.3M-10.6K0.6788.40N/AN/A642,0491,451
2009-06-23$23.82$25.0054.9%15.7%46.9%16.9%0.0%12.3%1.3%18.1K1.4M-10.1K0.0279.54N/AN/A4112,0481,455
2009-06-24$24.00$25.0052.9%15.2%36.8%15.0%52.8%13.1%-0.8%19.4K1.5M-9.7K0.2186.32N/AN/A48102,0741,455
2009-06-25$24.42$25.0050.9%14.6%36.0%13.7%47.3%12.1%1.6%19.9K1.5M-10.1K0.1187.12N/AN/A95102,0921,465
2009-06-26$24.36$25.0048.0%13.8%35.6%11.8%47.8%9.9%3.6%22.2K1.4M-10.3K1.0088.51N/AN/A13132,1231,475
2009-06-29$24.07$25.0051.2%14.7%33.5%13.5%0.0%5.1%-0.5%20.5K1.5M-9.6K2.0093.07N/AN/A5102,1361,482
2009-06-30$24.29$25.0050.2%14.4%33.8%12.8%0.0%9.0%1.8%21.1K1.6M-9.4K0.0091.89N/AN/A0112,1371,492