PCH Options History — July 2009

In July 2009, PCH traded between $22.29 and $30.15. ATM implied volatility averaged 46.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 3.2% (HV 20d: 43.1%). 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 8 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2009-07-30: Highest Volume — 3,120 contracts
  • 2009-07-30: Largest IV spike — 38.1% change
  • 2009-07-08: Highest IV Rank — 19.2%
  • 2009-07-08: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$22.29$30.15$24.24$29.57
Max Pain$29.55$25.00$30.00$25.00$30.00
ATM IV46.3%26.6%59.7%44.5%33.8%
Expected Move13.3%7.6%16.3%12.7%9.7%
HV 20d43.1%33.9%49.1%33.9%44.8%
HV 60d62.4%54.7%73.0%73.0%55.1%
IV Rank10.6%0.0%19.2%9.0%4.7%
IV Percentile22.2%0.0%42.5%22.6%4.0%
Term Structure-2.1%-10.2%7.8%7.8%0.1%
VWIV47.1%33.1%76.3%52.1%54.6%
Skew 25d10.4%-9.0%19.1%7.8%15.4%
Skew 10d19.2%-14.6%37.4%4.6%24.0%
Call IV 25d40.1%30.3%48.0%41.3%30.3%
Put IV 25d50.5%32.1%60.6%49.1%45.7%
Bid-Ask Spread %81.6557.88107.6689.4992.34
Gamma HHI0.660.490.840.610.84
Net GEX40.6K8.9K118.1K22.1K118.1K
Net DEX1.3M-1.1M2.3M1.5M-384.8K
Net VEX-9.4K-12.5K-6.8K-9.6K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.0012.200.000.17
Total Volume214.13613,12037136
Total OI3,888.5453,6404,1593,6403,909

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$24.24$25.0044.5%12.7%33.9%9.0%0.0%7.8%7.8%22.1K1.5M-9.6K0.0089.49N/AN/A3702,1371,503
2009-07-02$23.02$25.0052.2%15.0%36.5%14.1%0.0%5.2%6.3%18.7K1.6M-8.7K0.0098.06N/AN/A0232,1721,503
2009-07-06$23.72$30.0048.7%15.7%37.3%11.8%52.1%19.1%-4.9%14.5K2.0M-7.8K1.1657.88N/AN/A32372,1721,526
2009-07-07$22.82$30.0057.5%16.3%38.8%17.7%46.2%16.1%-7.7%13.1K1.9M-7.6K1.6279.18N/AN/A26422,1891,553
2009-07-08$22.29$30.0059.7%16.3%38.6%19.2%47.8%13.5%-6.3%10.3K2.1M-6.9K0.0082.23N/AN/A0242,2101,565
2009-07-09$22.79$30.0057.1%16.1%40.3%17.4%48.7%13.0%-5.6%9.5K2.3M-6.8K0.9176.04N/AN/A11102,2101,586
2009-07-10$22.86$30.0054.9%15.1%40.4%16.0%51.7%13.4%-3.6%8.9K2.3M-6.9K0.0074.80N/AN/A0112,2161,596
2009-07-13$23.71$30.0052.7%15.9%42.7%14.5%46.5%12.1%-5.8%11.0K2.2M-7.2K12.2063.77N/AN/A5612,2161,601
2009-07-14$23.66$30.0056.9%16.1%39.0%17.3%51.2%13.4%-7.0%12.1K2.2M-7.4K2.0074.25N/AN/A5102,2211,660
2009-07-15$25.42$30.0052.2%15.1%46.2%14.2%53.0%8.3%-4.7%26.0K1.5M-9.5K0.6567.26N/AN/A20132,2261,670
2009-07-16$25.64$30.0048.3%13.8%46.3%11.5%46.6%18.6%-2.1%25.6K1.6M-9.0K3.4071.20N/AN/A25852,2461,681
2009-07-17$25.33$30.0048.0%13.8%46.2%11.4%0.0%15.1%-2.8%23.6K1.8M-8.6K0.0066.69N/AN/A102,1981,705
2009-07-20$26.48$30.0050.0%14.3%48.7%12.7%49.2%5.0%-9.1%35.4K1.5M-9.3K0.0176.63N/AN/A8812,1091,670
2009-07-21$26.58$30.0053.0%15.2%44.3%14.7%44.1%7.1%-10.2%35.9K1.4M-9.5K0.0078.56N/AN/A4602,1231,671
2009-07-22$26.87$30.0048.1%13.8%44.3%11.4%46.8%18.0%-2.9%38.8K1.3M-9.6K0.00107.66N/AN/A30702,1091,671
2009-07-23$28.04$30.0033.8%9.7%46.2%1.9%36.9%11.1%3.3%64.4K432.9K-12.3K0.0682.32N/AN/A169102,3931,671
2009-07-24$27.69$30.0037.0%10.6%46.6%4.0%34.3%9.2%2.8%67.8K751.6K-11.8K0.0589.83N/AN/A13162,4381,681
2009-07-27$27.99$30.0034.1%9.8%46.5%2.1%34.3%7.6%5.0%70.8K445.1K-11.9K0.1487.44N/AN/A70102,4401,685
2009-07-28$28.43$30.0032.4%9.3%46.0%0.9%33.1%1.5%1.1%73.5K423.1K-10.8K1.4398.31N/AN/A14202,4401,695
2009-07-29$28.46$30.0026.6%7.6%46.1%0.0%40.8%7.1%3.4%84.0K266.6K-11.0K0.1197.92N/AN/A95102,4441,715
2009-07-30$30.15$30.0036.7%10.5%49.1%6.6%76.3%-9.0%-2.5%109.7K-1.1M-12.5K0.0184.49N/AN/A3,086342,3971,725
2009-07-31$29.57$30.0033.8%9.7%44.8%4.7%54.6%15.4%0.1%118.1K-384.8K-12.5K0.1792.34N/AN/A116202,1541,755