PCH Options History — October 2009

In October 2009, PCH traded between $26.97 and $29.47. ATM implied volatility averaged 38.1%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 6.7% (HV 20d: 31.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2009-10-21: Highest Volume — 525 contracts
  • 2009-10-12: Largest IV spike — 35.7% change
  • 2009-10-19: Highest IV Rank — 16.8%
  • 2009-10-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.19$26.97$29.47$27.07$27.91
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV38.1%28.0%48.3%48.3%37.3%
Expected Move11.5%9.9%13.8%13.8%10.7%
HV 20d31.4%28.0%35.6%31.2%34.8%
HV 60d42.6%40.1%45.7%45.7%41.8%
IV Rank9.9%0.9%16.8%14.1%12.4%
IV Percentile13.3%0.4%23.4%23.4%12.7%
Term Structure-0.2%-23.9%10.4%-23.9%-0.8%
VWIV40.4%34.3%49.7%44.2%36.0%
Skew 25d7.2%1.9%13.3%3.7%3.3%
Skew 10d13.7%-3.6%25.7%12.1%7.6%
Call IV 25d36.1%29.3%42.2%35.4%37.5%
Put IV 25d43.3%38.2%47.5%39.1%40.8%
Bid-Ask Spread %73.8740.64124.39124.3943.23
Gamma HHI0.390.310.470.340.45
Net GEX37.3K24.5K51.3K28.1K36.3K
Net DEX-100.6K-757.4K1.4M-319.3K1.4M
Net VEX-12.0K-14.2K-10.7K-11.3K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0013.332.202.00
Total Volume103.182105253230
Total OI3,167.52,7193,9772,7583,977

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$27.07$30.0048.3%13.8%31.2%14.1%0.0%3.7%-23.9%28.1K-319.3K-11.3K2.20124.39N/AN/A10221,814944
2009-10-02$26.97$30.0040.1%11.5%31.2%8.8%0.0%1.9%10.4%24.5K-42.3K-11.2K0.01102.02N/AN/A7711,824966
2009-10-05$27.43$30.0042.9%13.2%31.0%10.6%44.2%7.1%-0.6%26.8K-95.8K-10.9K0.5095.63N/AN/A1471,832966
2009-10-06$27.87$30.0034.1%12.2%31.5%4.9%42.7%11.2%-0.4%30.3K-382.5K-11.6K0.0086.39N/AN/A5301,827968
2009-10-07$27.64$30.0039.5%12.3%31.1%8.4%42.2%8.4%0.3%31.5K-295.6K-11.5K0.0095.08N/AN/A2401,877968
2009-10-08$28.28$30.0028.0%12.3%32.3%0.9%42.9%12.4%-1.1%38.6K-536.2K-11.9K0.3887.55N/AN/A26101,900968
2009-10-09$28.57$30.0029.0%12.0%31.9%1.6%49.7%13.3%-0.6%42.4K-607.4K-11.9K0.0069.83N/AN/A3301,926968
2009-10-12$28.41$30.0039.3%12.0%31.6%8.3%0.0%9.6%0.1%41.4K-757.4K-12.3K0.0076.09N/AN/A1001,920968
2009-10-13$28.02$30.0041.1%12.1%31.7%9.5%0.0%8.9%-1.2%34.3K-433.0K-11.3K2.3187.37N/AN/A13301,930968
2009-10-14$28.38$30.0042.0%11.9%31.1%10.0%41.7%8.7%-0.2%38.3K-567.6K-11.5K0.2172.82N/AN/A3881,943978
2009-10-15$28.32$30.0042.4%12.2%30.6%10.3%42.4%7.8%-0.8%38.4K-577.6K-11.6K1.6772.85N/AN/A18301,976985
2009-10-16$27.94$30.0040.2%11.5%30.7%8.9%0.0%6.4%-0.1%31.9K-460.8K-10.7K1.2540.64N/AN/A16201,821898
2009-10-19$28.56$30.0041.0%11.8%31.6%16.8%41.1%2.6%0.8%34.0K-490.5K-11.4K0.7080.10N/AN/A87611,930974
2009-10-20$28.51$30.0038.1%10.9%30.8%13.3%42.5%9.3%1.8%37.8K-499.2K-11.7K13.3385.04N/AN/A3402,0121,012
2009-10-21$28.16$30.0035.8%10.3%29.7%10.7%36.1%5.3%2.1%35.6K-278.0K-11.4K0.9186.69N/AN/A2752502,0111,052
2009-10-22$28.89$30.0036.5%10.5%30.0%11.5%36.2%6.8%1.4%49.7K-336.2K-12.7K5.7762.71N/AN/A714102,1651,217
2009-10-23$28.47$30.0037.1%10.6%30.5%12.2%37.2%5.7%0.9%41.0K600.6K-13.2K0.9851.86N/AN/A42412,2161,544
2009-10-26$28.31$30.0037.7%10.8%28.0%12.9%37.4%3.2%0.9%39.9K804.5K-12.7K0.7055.89N/AN/A79552,2361,575
2009-10-27$29.47$30.0034.4%9.9%31.5%9.1%34.3%11.4%3.3%51.3K61.7K-14.2K0.5254.16N/AN/A141742,2491,607
2009-10-28$28.15$30.0036.0%10.3%35.6%10.9%36.0%2.5%1.1%41.5K998.8K-12.4K0.9551.36N/AN/A21202,2591,617
2009-10-29$28.95$30.0036.7%10.5%31.8%11.8%0.0%8.6%1.2%47.4K575.1K-13.4K10.0043.35N/AN/A101002,2601,637
2009-10-30$27.91$30.0037.3%10.7%34.8%12.4%0.0%3.3%-0.8%36.3K1.4M-12.1K2.0043.23N/AN/A10202,2601,717