PCH Options History — December 2009

In December 2009, PCH traded between $29.53 and $32.68. ATM implied volatility averaged 33.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.1% (HV 20d: 30.1%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.66.

Notable Days

  • 2009-12-04: Highest Volume — 157 contracts
  • 2009-12-31: Largest IV spike — 56.3% change
  • 2009-12-09: Highest IV Rank — 24.0%
  • 2009-12-02: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.62$29.53$32.68$29.53$31.88
Max Pain$31.36$30.00$40.00$40.00$30.00
ATM IV33.2%20.6%43.5%33.0%32.2%
Expected Move9.4%5.9%10.9%9.5%9.2%
HV 20d30.1%23.9%35.2%32.1%23.9%
HV 60d32.5%30.3%33.8%32.1%30.4%
IV Rank10.1%0.0%24.0%7.9%15.4%
IV Percentile10.8%0.0%37.3%4.8%5.6%
Term Structure2.0%-0.9%15.9%1.0%1.6%
VWIV30.8%20.0%38.0%33.0%20.5%
Skew 25d3.6%-8.3%12.6%2.6%8.3%
Skew 10d8.2%-8.4%59.0%3.8%59.0%
Call IV 25d28.9%17.6%33.6%32.9%23.2%
Put IV 25d32.5%20.4%39.2%35.5%31.4%
Bid-Ask Spread %42.4616.2875.3848.7326.12
Gamma HHI0.470.430.520.500.46
Net GEX64.3K46.9K83.1K54.7K60.3K
Net DEX-339.0K-1.5M1.0M1.0M-930.9K
Net VEX-10.2K-11.3K-8.9K-10.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0040.000.000.24
Total Volume30.2730157200
Total OI2,879.5452,4393,2673,1342,551

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$29.53$40.0033.0%9.5%32.1%7.9%33.0%2.6%1.0%54.7K1.0M-10.2K0.0048.73N/AN/A2001,7521,382
2009-12-02$30.45$40.0038.0%10.9%33.3%14.0%38.0%5.6%-0.9%64.3K643.6K-10.5K0.0452.27N/AN/A4721,7711,382
2009-12-03$30.25$40.0032.6%9.3%33.4%7.8%32.3%7.8%0.6%69.8K582.8K-10.7K0.0055.17N/AN/A2401,8151,381
2009-12-04$31.64$30.0029.3%10.2%35.2%3.5%31.1%0.7%-0.5%78.3K-206.2K-11.2K0.1544.81N/AN/A137201,8231,381
2009-12-07$31.80$30.0033.5%10.1%34.2%9.0%31.6%2.2%-0.1%76.1K-204.8K-11.3K0.7035.69N/AN/A1071,8511,391
2009-12-08$31.55$30.0040.3%9.7%32.3%19.6%0.0%-1.0%0.6%77.4K-85.9K-10.9K0.0024.36N/AN/A2801,8551,386
2009-12-09$32.08$30.0043.5%10.1%32.1%24.0%35.4%2.0%-0.2%77.6K-369.4K-11.1K0.0073.91N/AN/A1501,8731,386
2009-12-10$31.49$30.0034.1%9.8%32.5%10.7%34.1%-1.6%0.9%83.1K-4.4K-10.7K0.0075.38N/AN/A901,8811,386
2009-12-11$32.01$30.0034.7%10.0%31.5%11.6%34.7%2.2%0.5%77.0K-230.2K-10.6K0.0865.29N/AN/A3731,8561,386
2009-12-14$32.17$30.0035.8%10.3%31.5%13.1%34.8%5.9%-0.3%57.9K168.2K-10.4K0.0243.70N/AN/A4911,5761,387
2009-12-15$31.84$30.0035.4%10.2%31.1%12.6%34.4%3.4%0.0%56.8K-179.3K-10.4K0.3361.56N/AN/A1551,5851,243
2009-12-16$31.59$30.0036.1%10.3%29.8%13.5%20.0%2.2%0.1%55.0K-65.9K-10.2K4.4061.16N/AN/A5221,5931,246
2009-12-17$31.06$30.0035.5%10.2%30.6%12.6%0.0%1.9%0.4%46.9K228.9K-9.9K3.0069.95N/AN/A131,5931,264
2009-12-18$31.36$30.0035.0%10.0%29.2%11.9%35.0%2.2%2.1%53.7K80.7K-10.0K0.0016.28N/AN/A401,5941,264
2009-12-21$31.36$30.0033.7%9.7%29.2%10.1%33.7%0.8%1.4%57.6K-803.0K-9.5K1.5018.57N/AN/A18271,537902
2009-12-22$31.55$30.0032.4%9.3%28.7%8.3%32.4%10.5%3.3%57.6K-861.9K-9.7K0.0025.74N/AN/A801,547927
2009-12-23$31.94$30.0033.6%9.6%28.6%10.1%0.0%12.6%2.3%60.6K-1.1M-9.8K40.0024.76N/AN/A1401,548927
2009-12-24$32.31$30.0026.0%7.5%28.4%0.0%20.3%12.2%15.9%61.8K-1.1M-9.8K4.0026.45N/AN/A3121,549967
2009-12-28$32.68$30.0030.2%8.7%25.9%6.0%21.5%5.8%0.4%65.0K-1.4M-9.5K1.0018.30N/AN/A21211,552965
2009-12-29$32.67$30.0025.1%7.2%24.3%0.0%0.0%-8.3%1.9%65.3K-1.5M-9.6K0.3331.22N/AN/A1551,566986
2009-12-30$32.41$30.0020.6%5.9%24.8%0.0%20.5%1.8%13.1%58.1K-1.2M-8.9K0.2434.64N/AN/A2561,555988
2009-12-31$31.88$30.0032.2%9.2%23.9%15.4%0.0%8.3%1.6%60.3K-930.9K-9.4K0.0026.12N/AN/A001,559992