PCH Options History — March 2010

In March 2010, PCH traded between $33.31 and $36.05. ATM implied volatility averaged 20.4%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.3% (HV 20d: 19.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.47.

Notable Days

  • 2010-03-17: Highest Volume — 4,206 contracts
  • 2010-03-02: Largest IV spike — 57.8% change
  • 2010-03-17: Highest IV Rank — 17.4%
  • 2010-03-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.92$33.31$36.05$33.59$35.04
Max Pain$30.22$30.00$35.00$30.00$30.00
ATM IV20.4%11.7%23.4%14.2%20.1%
Expected Move6.0%3.4%6.7%4.1%5.8%
HV 20d19.1%15.7%22.2%21.7%22.2%
HV 60d21.8%20.8%23.6%23.6%22.4%
IV Rank12.4%0.0%17.4%0.1%13.3%
IV Percentile5.0%0.0%8.7%0.4%4.0%
Term Structure4.7%1.8%12.2%10.8%6.8%
VWIV24.2%16.1%52.8%52.8%21.9%
Skew 25d6.2%-1.5%18.8%13.8%1.8%
Skew 10d8.9%-0.6%19.6%10.6%3.2%
Call IV 25d17.6%10.0%20.9%13.6%20.2%
Put IV 25d23.8%17.9%30.1%27.4%22.1%
Bid-Ask Spread %16.407.6329.968.4017.57
Gamma HHI0.630.430.930.830.45
Net GEX37.7K-156.9K223.1K88.2K-122.6K
Net DEX-630.1K-3.1M1.6M-1.4M1.5M
Net VEX-32.9K-65.6K-9.7K-9.7K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.0035.370.000.00
Total Volume427.73944,2067710
Total OI5,422.871,9969,9191,9969,919

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$33.59$30.0014.2%4.1%21.7%0.1%52.8%13.8%10.8%88.2K-1.4M-9.7K0.008.40N/AN/A7701,284712
2010-03-02$33.70$30.0022.4%6.4%20.5%10.8%25.6%9.9%3.9%95.2K-1.4M-9.7K0.317.63N/AN/A120371,292712
2010-03-03$33.38$30.0011.7%3.4%20.4%0.0%16.1%18.4%12.2%100.7K-1.3M-10.2K12.257.84N/AN/A4491,339749
2010-03-04$33.31$30.0013.3%3.8%19.8%2.1%0.0%18.8%11.4%102.9K-1.3M-10.0K0.009.45N/AN/A401,339723
2010-03-05$34.10$30.0015.3%6.2%16.9%4.5%21.6%5.7%1.8%142.0K-1.7M-10.0K0.0025.90N/AN/A5701,343723
2010-03-08$34.26$30.0020.5%6.3%16.8%11.1%21.9%-1.5%1.9%153.3K-1.9M-10.5K0.009.91N/AN/A21201,400723
2010-03-09$34.30$30.0018.0%6.5%15.7%8.9%22.7%7.3%2.0%184.4K-2.3M-11.4K15.1329.96N/AN/A721,0891,579723
2010-03-10$34.58$30.0020.1%6.4%15.8%11.8%19.4%-0.1%2.9%142.3K-1.7M-18.6K0.0015.84N/AN/A4801,6261,680
2010-03-11$35.07$30.0022.7%6.5%15.9%15.9%22.7%2.3%3.1%169.3K-2.2M-18.5K0.7316.65N/AN/A33241,6581,680
2010-03-12$34.87$30.0023.0%6.6%16.1%16.9%0.0%1.5%2.5%173.0K-2.0M-18.4K0.0018.33N/AN/A3201,6551,700
2010-03-15$34.19$30.0023.0%6.6%18.2%16.8%23.0%6.5%2.9%126.4K-1.4M-18.2K1.7525.16N/AN/A52911,6551,700
2010-03-16$34.97$30.0022.7%6.5%18.7%16.3%22.6%1.1%2.8%223.1K-2.0M-18.6K2.5411.30N/AN/A13331,6641,738
2010-03-17$35.93$30.0023.4%6.7%20.4%17.4%0.0%6.2%2.7%123.0K-3.1M-17.7K9.2617.67N/AN/A4103,7961,6671,750
2010-03-18$35.57$30.0023.0%6.6%20.4%16.7%0.0%4.6%3.0%-14.8K-28.4K-42.3K35.3716.06N/AN/A411,4501,7305,287
2010-03-19$35.35$30.0022.4%6.4%20.6%16.0%0.0%3.1%3.2%-42.6K1.5M-52.4K0.0318.58N/AN/A3111,7326,737
2010-03-22$35.92$30.0022.9%6.6%20.8%16.7%22.9%9.6%3.2%-155.8K1.6M-52.1K0.0417.28N/AN/A2811,5246,649
2010-03-23$35.99$30.0022.3%6.4%19.5%15.7%0.0%8.7%4.6%-156.9K1.6M-49.6K0.0018.51N/AN/A1,05001,5456,650
2010-03-24$35.78$30.0022.1%6.3%19.9%15.5%21.8%4.8%3.9%-90.0K524.3K-60.9K0.7414.54N/AN/A31232,5446,650
2010-03-25$35.86$35.0022.0%6.3%19.9%15.4%21.9%4.8%5.0%-92.1K542.1K-61.2K1.6520.04N/AN/A3135162,5506,666
2010-03-26$35.68$30.0022.4%6.4%20.2%15.8%0.0%4.2%4.3%-104.5K659.4K-65.6K0.0712.21N/AN/A1412,7487,161
2010-03-29$35.78$30.0021.9%6.3%19.5%15.2%0.0%8.5%5.2%-92.7K931.9K-65.4K0.0016.68N/AN/A2602,7527,161
2010-03-30$36.05$30.0019.9%5.7%19.6%12.2%0.0%2.7%7.7%-84.4K340.5K-62.8K0.0021.69N/AN/A4902,7467,161
2010-03-31$35.04$30.0020.1%5.8%22.2%13.3%0.0%1.8%6.8%-122.6K1.5M-63.2K0.0017.57N/AN/A1002,7587,161