PCH Options History — June 2010

In June 2010, PCH traded between $33.35 and $39.63. ATM implied volatility averaged 36.3%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 5.7% (HV 20d: 42.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 6.26.

Notable Days

  • 2010-06-01: Highest Volume — 303 contracts
  • 2010-06-29: Largest IV spike — 31.2% change
  • 2010-06-30: Highest IV Rank — 71.2%
  • 2010-06-30: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$33.35$39.63$33.76$35.73
Max Pain$34.09$30.00$35.00$35.00$35.00
ATM IV36.3%31.1%45.9%37.7%45.9%
Expected Move10.5%8.9%13.2%10.8%13.2%
HV 20d42.0%38.8%45.7%44.2%39.6%
HV 60d41.4%38.7%42.8%38.7%42.7%
IV Rank51.3%40.5%71.2%54.1%71.2%
IV Percentile53.6%26.6%91.7%62.3%91.7%
Term Structure0.5%-3.4%2.2%2.2%-3.4%
VWIV39.1%31.2%52.6%48.0%45.9%
Skew 25d10.2%7.5%13.5%11.6%7.9%
Skew 10d17.2%5.6%25.9%19.3%12.3%
Call IV 25d32.3%23.3%39.7%35.3%39.7%
Put IV 25d42.5%36.8%48.8%46.9%47.6%
Bid-Ask Spread %24.8714.5237.4618.6429.90
Gamma HHI0.380.310.590.350.37
Net GEX101.5K7.1K314.3K7.1K31.1K
Net DEX-2.3M-7.8M2.7M2.5M-272.4K
Net VEX-45.8K-47.4K-44.2K-45.2K-44.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.260.0053.000.264.87
Total Volume120.58303303176
Total OI8,599.7277,5979,0588,8228,472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$33.76$35.0037.7%10.8%44.2%54.1%48.0%11.6%2.2%7.1K2.5M-45.2K0.2618.64N/AN/A241624,4704,352
2010-06-02$34.77$35.0036.2%10.4%45.7%51.1%0.0%11.9%0.8%54.3K764.6K-47.1K0.1130.86N/AN/A6374,4774,361
2010-06-03$34.78$35.0035.7%10.2%44.9%50.1%0.0%11.6%1.0%56.6K728.2K-46.6K0.0029.50N/AN/A804,4784,362
2010-06-04$33.35$30.0036.1%11.7%44.5%50.8%40.5%10.7%-0.8%11.6K2.7M-44.8K0.9536.72N/AN/A21204,4864,362
2010-06-07$33.89$30.0038.0%11.7%44.3%54.9%40.9%9.9%-0.6%35.9K1.9M-44.6K0.3528.22N/AN/A54194,5074,362
2010-06-08$34.71$30.0039.3%11.6%39.2%57.5%0.0%8.3%0.0%65.1K723.7K-45.2K6.1131.19N/AN/A181104,5154,345
2010-06-09$34.70$30.0038.7%11.7%39.0%56.3%44.2%10.0%0.4%67.5K516.1K-46.6K13.5037.46N/AN/A2274,5334,345
2010-06-10$36.76$35.0039.9%11.4%43.7%58.7%40.2%8.1%0.9%117.1K-2.9M-47.3K0.7320.36N/AN/A71524,5344,346
2010-06-11$37.46$35.0039.7%11.4%43.6%58.4%37.4%9.4%0.7%122.8K-4.1M-47.4K0.8423.22N/AN/A51434,5764,361
2010-06-14$38.36$35.0033.0%9.5%43.7%44.4%33.2%11.5%2.1%152.4K-5.7M-47.0K0.5926.84N/AN/A41244,6064,374
2010-06-15$38.85$35.0032.9%9.4%43.8%44.2%32.7%12.5%1.7%164.1K-6.6M-45.7K0.7125.97N/AN/A34244,6034,395
2010-06-16$38.70$35.0032.8%9.4%42.6%44.0%32.8%12.3%1.4%166.0K-6.4M-45.5K1.7523.47N/AN/A8144,6244,396
2010-06-17$39.38$35.0031.3%9.0%42.6%40.9%31.9%12.6%1.6%231.2K-7.2M-44.9K0.0719.49N/AN/A9264,6324,382
2010-06-18$39.63$35.0031.4%9.0%39.9%41.0%31.4%13.5%1.9%314.3K-7.8M-44.7K0.9714.52N/AN/A1391354,6704,388
2010-06-21$38.78$35.0031.1%8.9%40.7%40.5%31.2%12.3%1.5%118.7K-4.2M-44.8K1.1018.59N/AN/A1021123,7373,860
2010-06-22$37.77$35.0032.3%9.3%40.8%43.0%39.3%8.6%0.6%100.0K-3.0M-45.9K37.2918.78N/AN/A72613,8293,944
2010-06-23$38.00$35.0032.3%9.3%40.8%42.9%38.6%10.0%1.0%98.0K-3.2M-45.8K0.5121.59N/AN/A114583,8344,098
2010-06-24$37.07$35.0042.1%12.1%41.9%63.4%49.5%7.5%-1.9%73.0K-2.1M-46.8K53.0019.14N/AN/A1533,9364,146
2010-06-25$38.03$35.0032.3%9.3%39.6%42.9%33.9%9.3%1.2%99.4K-3.3M-46.4K2.8322.27N/AN/A18513,9374,188
2010-06-28$37.95$35.0034.5%9.9%38.8%47.5%0.0%7.6%-0.2%96.2K-3.2M-46.2K8.0025.22N/AN/A183,9454,237
2010-06-29$36.44$35.0045.3%13.0%40.0%70.0%52.6%8.2%-2.2%51.4K-1.0M-45.1K3.1525.12N/AN/A732303,9464,243
2010-06-30$35.73$35.0045.9%13.2%39.6%71.2%45.9%7.9%-3.4%31.1K-272.4K-44.2K4.8729.90N/AN/A301463,9994,473