PCH Options History — April 2010

In April 2010, PCH traded between $35.55 and $41.07. ATM implied volatility averaged 25.1%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 4.8% (HV 20d: 30.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 8.37.

Notable Days

  • 2010-04-23: Highest Volume — 7,900 contracts
  • 2010-04-12: Largest IV spike — 43.4% change
  • 2010-04-30: Highest IV Rank — 42.7%
  • 2010-04-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.98$35.55$41.07$35.55$37.46
Max Pain$30.95$30.00$35.00$30.00$35.00
ATM IV25.1%14.6%36.2%19.5%36.2%
Expected Move7.8%5.6%10.4%5.6%10.4%
HV 20d30.0%22.5%43.5%22.5%43.5%
HV 60d25.0%22.5%30.0%22.5%30.0%
IV Rank21.9%4.6%42.7%12.4%42.7%
IV Percentile16.4%1.6%53.2%2.8%53.2%
Term Structure1.1%-1.1%7.1%7.1%-0.2%
VWIV28.0%24.2%31.5%26.7%29.5%
Skew 25d6.8%3.8%12.0%8.4%5.8%
Skew 10d14.5%6.0%20.4%20.4%6.0%
Call IV 25d23.8%17.8%30.0%19.6%30.0%
Put IV 25d30.6%27.8%35.8%28.1%35.8%
Bid-Ask Spread %20.5213.3535.3017.5616.99
Gamma HHI0.410.320.540.430.33
Net GEX3.3K-129.3K203.6K-93.8K120.2K
Net DEX-3.2M-9.3M930.4K930.4K-3.1M
Net VEX-55.4K-70.0K-29.4K-64.0K-48.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.370.00105.761.000.55
Total Volume610.52427,900276
Total OI10,517.1437,40111,8759,9277,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$35.55$30.0019.5%5.6%22.5%12.4%0.0%8.4%7.1%-93.8K930.4K-64.0K1.0017.56N/AN/A112,7667,161
2010-04-05$36.75$30.0019.2%7.8%23.9%11.9%26.7%6.2%2.6%-65.9K-627.3K-61.6K0.2235.30N/AN/A46102,7677,161
2010-04-06$37.67$30.0018.1%6.8%25.1%10.1%31.4%5.4%2.9%-68.5K-2.0M-59.7K51.4819.98N/AN/A231,1842,7697,171
2010-04-07$36.84$30.0014.6%8.3%26.8%4.6%29.1%5.5%2.1%-129.3K-157.3K-68.9K0.5629.66N/AN/A952,7778,311
2010-04-08$36.12$30.0019.9%8.4%28.0%12.9%27.6%5.5%1.7%-128.8K852.8K-67.3K0.0422.21N/AN/A552222,7778,311
2010-04-09$37.18$30.0018.4%8.5%29.3%10.6%0.0%5.0%1.2%-83.5K-1.4M-70.0K1.5729.00N/AN/A14223,3188,303
2010-04-12$37.12$30.0026.4%8.3%29.2%23.3%0.0%5.2%2.2%-78.3K-1.6M-68.2K0.0023.22N/AN/A6503,2718,303
2010-04-13$37.99$30.0025.6%6.7%28.7%21.9%0.0%6.3%2.3%-64.6K-2.9M-65.5K2.8520.08N/AN/A33943,2718,303
2010-04-14$38.08$30.0030.8%6.6%28.0%30.1%24.2%5.1%2.1%-65.8K-3.0M-65.8K1.3314.08N/AN/A46613,2948,362
2010-04-15$37.58$30.0024.1%6.9%27.3%19.7%28.9%3.8%2.4%-72.0K-2.5M-64.8K1.2522.27N/AN/A20253,3128,387
2010-04-16$37.07$30.0031.2%8.9%27.5%30.9%31.2%5.5%-0.6%-88.8K-1.6M-67.9K0.3622.04N/AN/A173633,3208,403
2010-04-19$37.46$30.0031.1%8.9%27.5%30.7%31.5%5.5%-0.6%-82.6K-1.6M-64.4K2.5024.65N/AN/A441103,2028,420
2010-04-20$37.69$30.0024.5%7.0%27.1%20.3%25.0%6.0%-0.5%-75.0K-2.0M-65.2K0.0015.90N/AN/A5303,2458,432
2010-04-21$38.79$30.0024.3%7.0%28.6%20.0%24.4%7.3%-0.3%163.9K-6.9M-30.5K0.5813.47N/AN/A48283,2928,432
2010-04-22$40.18$30.0025.3%7.2%30.5%21.5%25.3%12.0%0.3%157.4K-8.2M-30.0K0.5015.16N/AN/A143723,3148,442
2010-04-23$40.78$30.0026.4%7.6%30.6%23.2%26.5%11.8%0.6%185.5K-8.9M-30.0K105.7618.80N/AN/A747,8263,4078,468
2010-04-26$41.07$30.0028.4%8.2%30.3%29.2%28.0%4.1%-0.6%203.6K-9.3M-29.4K2.4224.85N/AN/A3358113,4716,582
2010-04-27$38.78$35.0028.2%8.1%38.0%28.8%28.5%9.1%-0.7%95.9K-4.5M-47.2K0.6313.35N/AN/A1841163,5513,850
2010-04-28$38.04$35.0028.0%8.0%38.8%28.4%30.6%6.5%-1.1%114.3K-3.7M-46.7K1.3715.08N/AN/A761043,6633,875
2010-04-29$39.43$35.0027.7%7.9%38.7%27.9%28.3%11.9%0.4%125.7K-5.5M-47.6K0.8317.27N/AN/A1381143,7183,906
2010-04-30$37.46$35.0036.2%10.4%43.5%42.7%29.5%5.8%-0.2%120.2K-3.1M-48.2K0.5516.99N/AN/A49273,8223,950