PCH Options History — January 2010

In January 2010, PCH traded between $30.70 and $32.94. ATM implied volatility averaged 30.5%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 10.9% (HV 20d: 19.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.17.

Notable Days

2010-01-13: Highest Volume — 169 contracts
2010-01-20: Largest IV spike — 61.4% change
2010-01-25: Highest IV Rank — 23.3%
2010-01-25: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.99	$30.70	$32.94	$32.14	$30.70
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	30.5%	21.8%	37.0%	28.7%	34.7%
Expected Move	9.3%	6.3%	10.6%	9.8%	9.9%
HV 20d	19.6%	15.2%	23.7%	23.7%	23.4%
HV 60d	29.5%	26.8%	30.8%	30.3%	27.0%
IV Rank	13.8%	1.6%	23.3%	10.8%	20.0%
IV Percentile	11.8%	0.4%	31.0%	2.0%	20.6%
Term Structure	2.2%	-1.5%	15.0%	2.2%	-0.1%
VWIV	32.2%	21.0%	37.0%	35.2%	34.7%
Skew 25d	6.2%	-3.9%	14.3%	0.4%	7.9%
Skew 10d	11.5%	-3.6%	37.5%	2.6%	9.7%
Call IV 25d	26.7%	17.8%	33.2%	33.2%	25.3%
Put IV 25d	32.9%	19.8%	35.0%	33.6%	33.2%
Bid-Ask Spread %	60.30	13.30	108.32	13.30	44.76
Gamma HHI	0.56	0.46	0.68	0.47	0.46
Net GEX	60.9K	52.4K	69.8K	62.0K	60.2K
Net DEX	-881.2K	-1.4M	-278.6K	-1.0M	-278.6K
Net VEX	-8.7K	-9.4K	-8.2K	-9.0K	-8.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.00	8.71	0.83	0.20
Total Volume	56.684	1	169	7	36
Total OI	2,553.684	2,304	2,796	2,551	2,584

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$32.14	$30.00	28.7%	9.8%	23.7%	10.8%	0.0%	0.4%	2.2%	62.0K	-1.0M	-9.0K	0.00	13.30	N/A	N/A	0	7	1,559	992
2010-01-05	$32.27	$30.00	22.8%	10.0%	17.8%	3.0%	35.2%	4.8%	2.0%	57.0K	-1.1M	-8.3K	0.83	56.17	N/A	N/A	6	5	1,559	986
2010-01-06	$32.68	$30.00	24.0%	9.0%	18.3%	4.5%	34.7%	4.3%	2.1%	59.8K	-1.4M	-8.4K	3.50	55.94	N/A	N/A	20	70	1,560	991
2010-01-07	$32.77	$30.00	21.8%	9.1%	17.9%	1.6%	32.6%	2.8%	0.8%	58.6K	-1.3M	-8.7K	0.47	55.42	N/A	N/A	15	7	1,562	1,061
2010-01-08	$32.68	$30.00	24.0%	8.7%	17.1%	4.5%	30.4%	4.7%	1.4%	58.1K	-1.3M	-8.7K	0.30	88.71	N/A	N/A	66	20	1,577	1,060
2010-01-11	$32.45	$30.00	31.8%	9.8%	15.8%	14.8%	0.0%	5.5%	-1.1%	55.5K	-1.2M	-8.7K	0.00	63.91	N/A	N/A	0	1	1,585	1,070
2010-01-12	$32.17	$30.00	32.3%	9.7%	15.2%	15.5%	0.0%	5.5%	1.5%	52.4K	-980.2K	-8.5K	0.00	65.22	N/A	N/A	8	0	1,585	1,071
2010-01-13	$32.76	$30.00	34.0%	7.8%	16.4%	19.0%	26.5%	5.6%	3.0%	60.5K	-1.2M	-8.2K	0.16	92.73	N/A	N/A	146	23	1,592	1,069
2010-01-14	$32.27	$30.00	32.3%	9.3%	16.9%	16.7%	0.0%	5.1%	7.1%	62.2K	-1.3M	-9.4K	1.25	79.05	N/A	N/A	4	5	1,720	1,076
2010-01-15	$32.10	$30.00	24.6%	7.0%	16.8%	5.7%	0.0%	10.9%	15.0%	61.0K	-1.3M	-9.2K	0.17	108.32	N/A	N/A	35	6	1,724	1,050
2010-01-19	$32.94	$30.00	21.9%	6.3%	17.6%	1.8%	21.0%	-3.9%	7.6%	69.8K	-1.1M	-8.4K	0.62	90.54	N/A	N/A	50	31	1,434	870
2010-01-20	$32.32	$30.00	35.3%	10.1%	19.0%	20.9%	30.9%	3.6%	2.6%	66.3K	-914.1K	-9.2K	0.09	72.56	N/A	N/A	66	6	1,483	881
2010-01-21	$31.25	$30.00	34.6%	9.9%	22.8%	20.0%	34.6%	2.9%	0.0%	57.8K	-380.8K	-8.8K	1.29	33.17	N/A	N/A	28	36	1,523	887
2010-01-22	$30.92	$30.00	35.8%	10.3%	22.9%	21.6%	35.2%	9.5%	-0.9%	56.1K	-293.1K	-8.7K	0.29	41.49	N/A	N/A	82	24	1,549	856
2010-01-25	$31.21	$30.00	37.0%	10.6%	22.7%	23.3%	37.0%	12.6%	-1.5%	60.2K	-328.4K	-8.7K	0.27	25.91	N/A	N/A	93	25	1,578	878
2010-01-26	$31.23	$30.00	33.7%	9.7%	22.3%	18.6%	0.0%	9.9%	0.6%	65.5K	-386.1K	-8.7K	0.00	64.46	N/A	N/A	45	0	1,609	903
2010-01-27	$31.67	$30.00	35.1%	10.1%	22.5%	20.6%	30.5%	14.3%	-0.6%	69.1K	-564.7K	-8.5K	1.69	50.66	N/A	N/A	16	27	1,609	903
2010-01-28	$31.22	$30.00	34.8%	10.0%	22.9%	20.2%	34.8%	11.0%	-0.5%	65.4K	-414.2K	-8.6K	8.71	43.37	N/A	N/A	7	61	1,619	905
2010-01-29	$30.70	$30.00	34.7%	9.9%	23.4%	20.0%	34.7%	7.9%	-0.1%	60.2K	-278.6K	-8.6K	0.20	44.76	N/A	N/A	30	6	1,618	966