PCH Options History — February 2010

In February 2010, PCH traded between $30.31 and $33.13. ATM implied volatility averaged 29.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.7% (HV 20d: 25.5%). 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 7 of 19 days. Put/call ratio averaged 1.35.

Notable Days

2010-02-16: Highest Volume — 395 contracts
2010-02-23: Largest IV spike — 50.4% change
2010-02-08: Highest IV Rank — 26.9%
2010-02-01: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.87	$30.31	$33.13	$31.42	$33.02
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	29.2%	14.1%	39.5%	36.3%	14.1%
Expected Move	8.2%	4.0%	10.4%	10.4%	4.0%
HV 20d	25.5%	22.4%	28.0%	24.5%	22.4%
HV 60d	25.6%	23.4%	27.4%	27.3%	23.4%
IV Rank	13.1%	0.0%	26.9%	22.3%	0.0%
IV Percentile	13.6%	0.0%	46.4%	29.4%	0.0%
Term Structure	1.0%	-3.2%	10.5%	-1.8%	10.5%
VWIV	30.9%	17.6%	41.9%	17.6%	41.9%
Skew 25d	11.5%	3.3%	19.0%	19.0%	16.2%
Skew 10d	22.7%	5.5%	60.5%	60.5%	9.3%
Call IV 25d	21.0%	13.1%	26.8%	24.0%	13.1%
Put IV 25d	32.5%	26.8%	43.0%	43.0%	29.3%
Bid-Ask Spread %	31.63	10.58	58.81	44.60	10.58
Gamma HHI	0.63	0.39	0.92	0.49	0.83
Net GEX	69.6K	56.8K	83.2K	65.0K	78.6K
Net DEX	-834.4K	-1.9M	-37.5K	-442.5K	-1.1M
Net VEX	-8.5K	-9.4K	-7.3K	-8.4K	-9.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.00	6.67	5.00	0.80
Total Volume	91.579	6	395	6	27
Total OI	2,601.158	1,841	3,200	2,603	1,985

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
2010-02-01	$31.42	$30.00	36.3%	10.4%	24.5%	22.3%	0.0%	19.0%	-1.8%	65.0K	-442.5K	-8.4K	5.00	44.60	N/A	N/A	1	5	1,631	972
2010-02-02	$31.94	$30.00	34.8%	10.0%	25.1%	20.2%	17.6%	12.3%	-0.3%	70.7K	-692.5K	-8.2K	0.01	44.64	N/A	N/A	98	1	1,632	977
2010-02-03	$31.55	$30.00	35.0%	10.0%	25.4%	20.5%	35.1%	11.2%	-1.5%	66.0K	-665.7K	-8.8K	6.67	45.59	N/A	N/A	3	20	1,622	978
2010-02-04	$30.61	$30.00	35.0%	10.0%	26.8%	20.5%	0.0%	7.1%	-1.9%	56.8K	-101.9K	-8.4K	1.15	51.98	N/A	N/A	100	115	1,623	982
2010-02-05	$30.64	$30.00	35.9%	9.5%	26.8%	21.7%	0.0%	14.8%	-2.3%	59.5K	-42.5K	-8.4K	1.07	41.80	N/A	N/A	14	15	1,723	1,086
2010-02-08	$30.31	$30.00	39.5%	9.5%	26.9%	26.9%	33.1%	4.0%	-3.2%	64.4K	-37.5K	-8.4K	0.04	58.81	N/A	N/A	26	1	1,716	1,071
2010-02-09	$30.52	$30.00	35.6%	9.3%	27.1%	21.4%	32.5%	14.3%	-1.6%	73.7K	-99.3K	-8.0K	2.56	27.49	N/A	N/A	18	46	1,742	1,072
2010-02-10	$30.85	$30.00	32.5%	9.4%	27.5%	16.9%	0.0%	16.0%	-2.0%	74.3K	-349.3K	-8.0K	1.00	17.90	N/A	N/A	5	5	1,752	1,096
2010-02-11	$31.35	$30.00	32.3%	9.3%	27.3%	16.7%	32.5%	17.0%	-2.1%	78.1K	-782.4K	-7.3K	3.56	18.70	N/A	N/A	16	57	1,752	1,101
2010-02-12	$31.66	$30.00	32.3%	9.3%	27.2%	16.7%	32.3%	17.0%	-2.1%	71.9K	-959.8K	-7.9K	0.57	20.37	N/A	N/A	23	13	1,768	1,107
2010-02-16	$32.26	$30.00	32.7%	9.4%	28.0%	17.1%	22.7%	9.3%	-2.2%	76.2K	-1.3M	-7.6K	0.34	44.32	N/A	N/A	295	100	1,767	1,107
2010-02-17	$32.54	$30.00	25.7%	7.4%	26.5%	7.3%	0.0%	8.8%	3.6%	59.1K	-1.5M	-7.7K	0.46	23.92	N/A	N/A	134	62	1,849	1,197
2010-02-18	$33.13	$30.00	20.7%	5.9%	26.4%	0.2%	31.9%	4.8%	2.3%	83.2K	-1.9M	-8.8K	1.43	18.23	N/A	N/A	14	20	1,967	1,233
2010-02-19	$33.03	$30.00	19.7%	5.6%	23.0%	0.0%	23.2%	3.3%	3.6%	64.8K	-1.7M	-9.3K	0.85	23.31	N/A	N/A	41	35	1,969	1,222
2010-02-22	$32.87	$30.00	21.0%	6.0%	22.7%	1.9%	26.8%	3.8%	0.5%	65.8K	-1.1M	-8.8K	0.01	29.85	N/A	N/A	83	1	1,141	700
2010-02-23	$32.38	$30.00	31.6%	9.1%	23.4%	16.8%	31.8%	16.3%	-1.7%	65.4K	-918.2K	-9.2K	0.12	32.43	N/A	N/A	157	19	1,221	701
2010-02-24	$32.65	$30.00	20.5%	5.9%	23.5%	1.1%	39.8%	11.7%	10.1%	72.7K	-1.0M	-9.0K	0.00	23.89	N/A	N/A	10	0	1,264	711
2010-02-25	$32.87	$30.00	19.3%	5.5%	23.2%	0.0%	41.9%	12.2%	10.4%	76.8K	-1.1M	-9.0K	0.00	22.47	N/A	N/A	160	0	1,274	711
2010-02-26	$33.02	$30.00	14.1%	4.0%	22.4%	0.0%	0.0%	16.2%	10.5%	78.6K	-1.1M	-9.4K	0.80	10.58	N/A	N/A	15	12	1,274	711