PCH Options History — November 2009

In November 2009, PCH traded between $28.06 and $30.17. ATM implied volatility averaged 35.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 1.2% (HV 20d: 36.9%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.63.

Notable Days

  • 2009-11-18: Highest Volume — 156 contracts
  • 2009-11-27: Largest IV spike — 23.3% change
  • 2009-11-27: Highest IV Rank — 15.6%
  • 2009-11-12: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.22$28.06$30.17$28.06$29.44
Max Pain$38.00$30.00$40.00$30.00$40.00
ATM IV35.7%30.3%39.4%37.3%38.2%
Expected Move10.4%8.7%11.3%10.7%10.9%
HV 20d36.9%32.1%40.0%34.4%32.1%
HV 60d33.6%31.2%40.4%40.4%32.3%
IV Rank10.6%4.5%15.6%12.5%14.2%
IV Percentile11.6%1.2%25.4%13.5%21.4%
Term Structure0.3%-2.7%5.0%-0.0%-2.2%
VWIV36.4%32.0%41.5%39.1%32.0%
Skew 25d4.1%-5.1%12.3%1.5%-2.5%
Skew 10d7.5%-4.2%18.5%5.7%0.1%
Call IV 25d31.8%27.4%37.5%37.2%37.5%
Put IV 25d35.9%27.8%44.2%38.7%35.0%
Bid-Ask Spread %82.3453.23127.0257.2975.55
Gamma HHI0.540.460.660.460.48
Net GEX56.1K37.9K88.5K37.9K50.2K
Net DEX1.2M311.6K2.0M1.5M1.1M
Net VEX-12.0K-13.8K-9.8K-12.0K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.630.0051.0020.003.33
Total Volume48.2501568413
Total OI3,9523,0594,3434,0043,132

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$28.06$30.0037.3%10.7%34.4%12.5%39.1%1.5%-0.0%37.9K1.5M-12.0K20.0057.29N/AN/A4802,2671,737
2009-11-03$28.51$30.0036.8%10.5%34.4%11.8%0.0%4.5%3.3%41.2K1.4M-12.4K1.6753.62N/AN/A352,2691,816
2009-11-04$28.33$30.0035.6%10.2%34.3%10.4%0.0%4.9%2.3%41.0K1.5M-12.1K3.2955.93N/AN/A14462,2711,818
2009-11-05$29.22$30.0033.6%9.6%35.1%8.1%32.1%12.3%3.1%51.4K1.1M-13.0K0.0553.23N/AN/A2112,2851,864
2009-11-06$28.67$40.0033.1%10.6%35.7%7.6%0.0%9.4%-1.0%47.0K1.4M-12.5K51.0064.52N/AN/A21022,2951,864
2009-11-09$29.74$40.0036.3%10.6%37.8%11.3%37.6%7.2%-1.9%56.2K721.5K-13.8K0.3190.61N/AN/A48152,2971,963
2009-11-10$29.34$40.0031.9%10.9%37.8%6.2%0.0%5.7%-2.2%59.7K1.1M-13.3K0.0091.47N/AN/A602,3221,956
2009-11-11$29.93$40.0035.1%10.8%38.2%9.9%41.5%10.0%-0.9%63.1K537.4K-13.8K5.0884.59N/AN/A12612,3161,956
2009-11-12$29.28$40.0039.4%11.3%39.1%14.9%39.4%1.1%-2.7%59.7K1.2M-13.2K0.03100.36N/AN/A6622,3262,015
2009-11-13$29.51$40.0036.7%10.5%38.8%11.7%0.0%8.2%0.1%68.5K1.2M-13.1K0.0087.60N/AN/A1002,3262,015
2009-11-16$30.17$40.0038.7%11.1%38.8%14.1%0.0%4.5%-0.6%75.3K311.6K-13.5K0.0096.53N/AN/A4302,3361,997
2009-11-17$29.44$40.0038.0%10.9%40.0%13.2%0.0%2.5%-0.2%76.5K1.1M-12.5K0.0072.86N/AN/A2202,3461,997
2009-11-18$29.57$40.0036.6%10.5%39.6%11.6%36.6%3.7%-0.0%88.5K1.2M-12.2K0.0093.12N/AN/A15602,3431,997
2009-11-19$28.91$40.0035.5%10.2%39.6%10.4%0.0%-5.1%0.2%56.4K1.9M-10.9K1.3395.38N/AN/A342,2821,997
2009-11-20$29.21$40.0035.5%10.2%39.3%10.3%35.9%1.9%-0.1%59.7K2.0M-10.6K0.0597.01N/AN/A8042,2681,978
2009-11-23$29.74$40.0033.6%9.6%39.7%8.1%33.6%2.0%2.9%44.2K1.0M-10.9K0.4983.52N/AN/A59291,6601,399
2009-11-24$29.51$40.0030.3%8.7%37.2%4.5%0.0%5.1%5.0%50.9K1.1M-10.5K0.0098.85N/AN/A3601,7091,372
2009-11-25$29.31$40.0031.9%9.1%33.2%6.5%32.0%2.6%2.4%49.8K1.1M-10.4K1.2567.79N/AN/A8101,7451,372
2009-11-27$28.54$40.0039.3%11.3%33.2%15.6%0.0%2.3%-2.2%44.6K1.3M-9.8K0.00127.02N/AN/A001,7501,382
2009-11-30$29.44$40.0038.2%10.9%32.1%14.2%0.0%-2.5%-2.2%50.2K1.1M-10.2K3.3375.55N/AN/A3101,7501,382