PCH Options History — May 2010

In May 2010, PCH traded between $33.90 and $38.94. ATM implied volatility averaged 40.0%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 9.0% (HV 20d: 49.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.38.

Notable Days

  • 2010-05-21: Highest Volume — 1,167 contracts
  • 2010-05-12: Largest IV drop — 38.7% change
  • 2010-05-20: Highest IV Rank — 75.1%
  • 2010-05-20: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.96$33.90$38.94$38.94$34.84
Max Pain$37.75$35.00$40.00$35.00$35.00
ATM IV40.0%29.0%54.4%30.4%33.8%
Expected Move11.2%8.7%13.7%8.7%9.7%
HV 20d49.0%44.0%52.7%44.1%46.1%
HV 60d35.1%30.1%38.5%30.1%38.5%
IV Rank55.4%32.7%75.1%32.7%45.9%
IV Percentile63.6%23.8%90.5%25.0%40.5%
Term Structure-0.6%-5.9%3.6%-1.4%3.6%
VWIV39.0%32.7%48.2%39.9%33.7%
Skew 25d11.0%5.8%20.1%10.1%11.2%
Skew 10d21.0%13.2%32.4%17.0%18.3%
Call IV 25d34.0%25.7%45.9%27.1%28.3%
Put IV 25d45.1%37.2%56.6%37.2%39.6%
Bid-Ask Spread %26.2213.1880.6213.1826.05
Gamma HHI0.340.310.610.350.33
Net GEX128.7K6.6K676.3K135.8K43.2K
Net DEX-1.0M-4.9M2.1M-4.9M1.1M
Net VEX-51.5K-55.7K-46.7K-48.3K-49.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.1741.003.210.74
Total Volume271.8541,16713994
Total OI8,852.157,8459,4237,8458,787

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$38.94$35.0030.4%8.7%44.1%32.7%39.9%10.1%-1.4%135.8K-4.9M-48.3K3.2113.18N/AN/A331063,8683,977
2010-05-04$38.14$35.0032.3%9.3%44.0%35.9%32.9%8.4%-3.2%125.2K-3.7M-49.5K0.1821.56N/AN/A6451133,9004,033
2010-05-05$37.08$35.0040.9%11.7%44.5%50.9%40.9%5.8%-2.7%146.4K-3.2M-54.7K0.2924.99N/AN/A5961704,4944,116
2010-05-06$35.44$35.0045.9%13.2%46.9%59.6%45.5%20.1%-5.9%107.7K-734.4K-54.6K5.6380.62N/AN/A603384,6314,180
2010-05-07$34.60$40.0054.4%12.4%46.1%74.4%41.8%8.6%-2.2%67.8K303.3K-52.6K0.6021.78N/AN/A162974,6684,208
2010-05-10$36.75$40.0045.3%11.8%51.4%64.9%38.0%7.9%-2.3%130.8K-2.2M-54.8K0.5021.28N/AN/A181904,6864,303
2010-05-11$36.97$40.0047.4%11.6%50.7%68.9%36.3%14.2%2.8%126.4K-2.9M-54.1K0.6119.76N/AN/A93574,7164,306
2010-05-12$37.87$40.0029.0%9.3%51.5%33.4%32.7%9.1%1.0%158.9K-4.2M-55.7K0.7624.07N/AN/A50384,7664,321
2010-05-13$37.08$40.0040.0%11.5%51.9%54.7%39.7%9.3%-2.6%145.1K-3.1M-54.5K41.0021.94N/AN/A2824,8034,299
2010-05-14$36.38$40.0039.3%11.3%52.1%53.3%39.3%9.0%-0.6%126.0K-1.7M-52.6K0.3322.49N/AN/A314,8044,334
2010-05-17$36.71$40.0042.4%12.2%52.0%63.0%42.3%10.5%-3.3%126.0K-2.3M-53.2K2.0422.19N/AN/A701434,8024,334
2010-05-18$35.79$40.0042.6%12.2%52.7%64.3%42.6%10.1%-1.1%120.2K-1.0M-52.2K4.2018.25N/AN/A5214,8264,415
2010-05-19$35.48$40.0041.8%12.0%51.4%62.8%36.0%9.6%-0.6%138.4K-386.0K-50.6K0.4822.90N/AN/A89434,8264,436
2010-05-20$34.26$40.0047.7%13.7%50.2%75.1%48.2%10.7%-2.8%104.8K1.3M-49.2K4.2326.26N/AN/A622624,8604,464
2010-05-21$35.04$40.0038.9%11.1%50.7%56.6%39.6%9.2%1.5%676.3K824.8K-49.5K0.5134.63N/AN/A7713964,8614,562
2010-05-24$34.15$35.0039.1%11.2%50.8%57.1%38.8%15.5%0.4%13.2K1.8M-49.3K0.1721.10N/AN/A115194,2774,269
2010-05-25$34.19$35.0038.7%11.1%47.6%56.3%40.6%15.6%1.9%12.6K2.1M-48.8K0.3124.54N/AN/A107334,3224,274
2010-05-26$33.90$35.0037.6%10.8%47.4%53.9%37.3%13.6%2.6%6.6K2.1M-46.7K1.4225.08N/AN/A36514,3464,307
2010-05-27$35.53$35.0033.3%9.5%48.8%45.0%33.3%11.8%2.0%62.6K362.6K-50.0K0.3531.71N/AN/A150534,3624,300
2010-05-28$34.84$35.0033.8%9.7%46.1%45.9%33.7%11.2%3.6%43.2K1.1M-49.1K0.7426.05N/AN/A54404,4504,337