PCH Options History — August 2009

In August 2009, PCH traded between $27.31 and $33.10. ATM implied volatility averaged 39.0%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 15.4% (HV 20d: 54.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2009-08-10: Highest Volume — 569 contracts
  • 2009-08-17: Largest IV spike — 28.8% change
  • 2009-08-17: Highest IV Rank — 16.6%
  • 2009-08-17: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.74$27.31$33.10$30.13$29.10
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV39.0%31.4%52.1%33.7%39.1%
Expected Move11.3%9.1%14.9%9.7%11.2%
HV 20d54.4%38.1%60.9%44.4%55.6%
HV 60d49.8%47.5%53.4%52.8%47.5%
IV Rank8.1%3.1%16.6%4.6%8.1%
IV Percentile11.8%1.2%27.4%4.0%11.1%
Term Structure-1.3%-13.5%7.4%-0.0%0.3%
VWIV38.7%28.3%44.3%33.7%39.5%
Skew 25d7.8%-5.7%34.5%34.5%8.9%
Skew 10d16.5%-7.7%61.5%57.1%15.3%
Call IV 25d33.2%18.1%45.1%29.9%36.1%
Put IV 25d40.9%29.6%64.4%64.4%44.9%
Bid-Ask Spread %96.1471.65128.9897.1880.75
Gamma HHI0.710.460.920.900.60
Net GEX145.5K28.9K491.8K152.6K93.5K
Net DEX-1.3M-4.5M1.1M-1.2M-1.6M
Net VEX-12.9K-14.8K-11.5K-12.6K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0011.670.310.00
Total Volume110.14325692116
Total OI3,878.1432,3104,8843,9102,485

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$30.13$30.0033.7%9.7%44.4%4.6%33.7%34.5%-0.0%152.6K-1.2M-12.6K0.3197.18N/AN/A1652,2701,640
2009-08-04$31.16$30.0042.3%12.1%40.8%10.2%42.4%16.3%-9.0%114.5K-2.1M-13.0K0.2293.16N/AN/A120262,2761,637
2009-08-05$31.93$30.0031.8%9.1%38.1%3.4%28.3%21.3%0.9%109.3K-3.1M-13.1K0.7989.68N/AN/A48382,3811,618
2009-08-06$31.45$30.0032.6%9.4%39.9%3.9%37.2%10.3%1.7%111.7K-3.0M-12.9K0.39108.59N/AN/A51202,3861,640
2009-08-07$33.10$30.0031.7%9.6%41.4%3.4%35.3%0.7%-2.8%28.9K-4.5M-12.7K0.1394.73N/AN/A240302,4211,650
2009-08-10$29.68$30.0039.0%10.2%60.7%8.0%34.9%-5.7%-5.3%161.8K-1.2M-12.9K0.38108.22N/AN/A4111582,5751,669
2009-08-11$29.48$30.0037.4%10.9%60.9%7.0%0.0%13.1%2.8%174.4K-769.7K-14.2K1.2589.35N/AN/A40502,7761,808
2009-08-12$29.41$30.0031.4%12.4%56.6%3.1%43.5%0.9%0.6%205.9K-1.0M-14.8K0.00119.74N/AN/A13102,7711,858
2009-08-13$29.34$30.0037.5%10.8%56.7%7.1%0.0%-1.9%-0.5%248.9K-905.3K-14.2K2.22113.19N/AN/A9202,8311,858
2009-08-14$29.05$30.0040.5%11.6%56.6%9.0%43.6%12.4%-4.9%195.3K42.1K-13.2K0.3697.84N/AN/A140512,8401,823
2009-08-17$27.31$30.0052.1%14.9%59.7%16.6%42.3%-2.8%-13.5%56.3K1.1M-11.7K0.5799.20N/AN/A40232,9641,874
2009-08-18$28.19$30.0045.5%13.1%60.7%12.3%0.0%0.6%-5.8%119.4K880.1K-11.8K11.6789.74N/AN/A3352,9441,895
2009-08-19$28.31$30.0043.0%12.3%60.6%10.6%42.6%8.7%-2.4%126.7K843.0K-11.5K1.00103.23N/AN/A112,9271,860
2009-08-20$28.87$30.0044.1%12.7%59.1%11.4%44.3%9.3%-4.1%186.9K328.2K-11.9K0.4689.16N/AN/A170782,8681,849
2009-08-21$29.71$30.0045.1%12.9%59.7%12.0%0.0%-0.4%3.6%491.8K-638.8K-13.5K0.07128.98N/AN/A5442,9791,905
2009-08-24$29.41$30.0038.4%11.0%59.8%7.7%35.5%4.3%7.4%86.5K-1.9M-12.1K0.0271.65N/AN/A12821,846464
2009-08-25$29.75$30.0039.5%11.3%59.7%8.4%39.5%3.1%0.9%91.5K-2.1M-13.3K0.0590.97N/AN/A11061,974466
2009-08-26$29.75$30.0039.5%11.3%59.7%8.4%39.5%14.3%-0.1%95.8K-2.0M-13.2K0.0077.17N/AN/A2002,002466
2009-08-27$29.98$30.0039.1%11.2%56.1%8.1%0.0%15.4%0.4%103.3K-1.9M-12.7K0.1190.09N/AN/A912,002466
2009-08-28$29.51$30.0036.0%10.3%55.9%6.1%0.0%-0.1%2.4%100.5K-1.9M-12.9K0.0086.35N/AN/A802,011466
2009-08-31$29.10$30.0039.1%11.2%55.6%8.1%0.0%8.9%0.3%93.5K-1.6M-12.1K0.0080.75N/AN/A0162,019466