PCH Options History — September 2009

In September 2009, PCH traded between $27.51 and $29.61. ATM implied volatility averaged 37.0%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.3% (HV 20d: 36.7%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.00.

Notable Days

  • 2009-09-24: Highest Volume — 160 contracts
  • 2009-09-03: Largest IV spike — 26.2% change
  • 2009-09-03: Highest IV Rank — 12.0%
  • 2009-09-03: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.48$27.51$29.61$27.51$28.45
Max Pain$26.43$22.50$30.00$30.00$30.00
ATM IV37.0%32.3%45.1%38.7%33.7%
Expected Move10.8%9.3%12.9%11.1%9.7%
HV 20d36.7%25.3%57.2%57.2%25.3%
HV 60d47.0%44.8%48.9%48.9%44.8%
IV Rank6.8%3.7%12.0%7.9%4.6%
IV Percentile7.8%1.6%18.3%9.9%4.4%
Term Structure3.5%-3.2%19.2%-3.2%4.8%
VWIV35.6%22.6%42.3%22.6%37.2%
Skew 25d4.9%-11.1%14.4%-11.1%-8.9%
Skew 10d9.7%-8.8%19.9%-6.7%-8.8%
Call IV 25d35.0%26.2%42.1%42.1%38.0%
Put IV 25d39.8%29.0%52.2%31.0%29.0%
Bid-Ask Spread %95.1471.31121.2698.80105.06
Gamma HHI0.510.320.710.600.36
Net GEX73.1K24.1K152.6K75.9K37.3K
Net DEX-977.7K-1.5M-224.2K-1.2M-745.4K
Net VEX-11.8K-12.9K-10.8K-11.2K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.000.0019.507.000.00
Total Volume59.04881604012
Total OI2,654.3332,4232,9052,4972,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$27.51$30.0038.7%11.1%57.2%7.9%0.0%-11.1%-3.2%75.9K-1.2M-11.2K7.0098.80N/AN/A5352,019478
2009-09-02$27.60$30.0035.7%10.2%56.2%5.9%0.0%8.5%3.2%74.1K-1.0M-11.3K0.0086.23N/AN/A0502,020508
2009-09-03$27.68$30.0045.1%12.9%56.2%12.0%22.6%10.9%19.2%63.3K-950.2K-10.8K0.31114.58N/AN/A32102,020538
2009-09-04$28.21$22.5033.4%10.8%52.9%4.5%0.0%5.7%1.2%85.9K-1.0M-11.1K7.5084.22N/AN/A161202,049548
2009-09-08$28.42$22.5036.0%11.5%37.2%6.1%0.0%8.9%-0.0%90.3K-1.2M-11.6K2.5071.31N/AN/A4102,043597
2009-09-09$28.79$22.5035.4%11.2%37.5%5.7%0.0%9.0%1.1%99.0K-1.3M-11.6K0.5884.25N/AN/A43252,043607
2009-09-10$28.89$22.5038.7%11.1%37.6%7.9%0.0%9.5%1.4%103.5K-1.3M-11.7K4.0071.47N/AN/A14562,070632
2009-09-11$28.38$22.5039.9%11.5%38.0%8.7%0.0%8.6%0.3%90.7K-1.1M-11.5K19.5095.05N/AN/A2392,080668
2009-09-14$28.78$22.5037.3%10.7%38.3%7.0%0.0%8.8%2.4%84.0K-1.3M-11.6K1.9495.64N/AN/A31602,082684
2009-09-15$28.99$22.5039.0%11.2%30.7%8.1%0.0%7.9%4.0%112.4K-1.2M-12.2K2.0090.53N/AN/A40802,091744
2009-09-16$29.61$22.5040.0%11.5%29.6%8.7%0.0%11.2%2.1%152.6K-1.5M-12.9K0.0593.57N/AN/A1912,081824
2009-09-17$29.12$22.5039.6%11.3%30.4%8.4%0.0%1.1%1.7%139.1K-1.5M-12.7K5.46100.78N/AN/A13712,054798
2009-09-18$28.82$22.5034.5%9.9%29.9%5.2%33.0%-2.8%4.3%99.3K-944.2K-11.9K12.00111.37N/AN/A4482,057809
2009-09-21$28.48$30.0038.2%10.9%28.1%7.5%38.1%6.5%4.2%35.2K-697.8K-11.4K3.7583.81N/AN/A4151,659764
2009-09-22$29.01$30.0038.7%11.1%28.9%7.9%38.7%8.7%3.4%36.4K-859.7K-11.9K1.7581.03N/AN/A16281,663779
2009-09-23$28.27$30.0032.3%9.3%29.8%3.7%37.1%4.9%4.6%35.4K-792.8K-11.6K0.0096.15N/AN/A801,668805
2009-09-24$27.69$30.0035.0%10.0%30.5%5.5%42.3%2.6%4.8%28.9K-395.9K-11.0K7.00109.95N/AN/A201401,676805
2009-09-25$27.89$30.0033.3%9.6%30.4%4.4%0.0%4.4%7.2%24.1K-224.2K-11.4K0.6599.98N/AN/A46301,686934
2009-09-28$28.85$30.0033.1%9.5%32.8%4.2%37.2%14.4%3.7%31.8K-631.1K-12.4K0.00121.26N/AN/A6201,729944
2009-09-29$28.67$30.0039.4%11.3%32.5%8.3%0.0%-6.5%3.5%36.1K-755.4K-12.6K0.00102.87N/AN/A3101,783944
2009-09-30$28.45$30.0033.7%9.7%25.3%4.6%0.0%-8.9%4.8%37.3K-745.4K-12.6K0.00105.06N/AN/A0121,814944