PCH Options History — July 2010

In July 2010, PCH traded between $33.47 and $37.84. ATM implied volatility averaged 37.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.4% (HV 20d: 37.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2010-07-16: Highest Volume — 742 contracts
  • 2010-07-28: Largest IV spike — 19.9% change
  • 2010-07-01: Highest IV Rank — 70.8%
  • 2010-07-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.85$33.47$37.84$34.77$37.06
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV37.3%28.6%45.7%45.7%34.6%
Expected Move10.6%8.2%13.1%13.1%9.9%
HV 20d37.7%34.3%40.9%40.9%36.0%
HV 60d42.7%40.3%43.9%42.8%40.3%
IV Rank57.3%39.6%70.8%70.8%53.6%
IV Percentile62.6%23.0%91.7%91.7%48.0%
Term Structure-0.9%-2.8%1.0%-2.6%0.6%
VWIV37.2%30.1%52.7%52.7%35.2%
Skew 25d7.9%3.3%16.8%16.8%4.0%
Skew 10d13.9%4.0%27.1%27.1%17.0%
Call IV 25d32.7%28.7%39.3%34.5%31.0%
Put IV 25d40.6%33.6%51.3%51.3%34.9%
Bid-Ask Spread %22.3313.9931.5518.3616.99
Gamma HHI0.390.310.550.380.50
Net GEX90.3K-54.3K214.0K-9.6K213.2K
Net DEX-991.7K-5.0M3.1M1.2M-3.7M
Net VEX-39.9K-43.8K-34.2K-42.8K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.007.073.246.00
Total Volume261.4294274264842
Total OI9,600.4768,62710,1328,6279,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$34.77$35.0045.7%13.1%40.9%70.8%52.7%16.8%-2.6%-9.6K1.2M-42.8K3.2418.36N/AN/A1534954,0294,598
2010-07-02$34.38$35.0042.0%12.0%38.1%63.0%44.2%14.7%-1.0%-19.2K1.6M-43.8K1.2124.36N/AN/A1111344,1704,985
2010-07-06$33.47$35.0043.6%11.8%38.9%66.5%42.6%8.5%-2.7%-54.3K3.1M-38.9K6.5229.49N/AN/A664304,2205,098
2010-07-07$34.78$35.0043.0%11.3%40.5%65.2%39.1%8.4%-0.8%-9.3K1.5M-39.7K0.0629.50N/AN/A156104,2705,384
2010-07-08$35.02$35.0040.9%11.2%40.5%60.9%38.2%8.1%-1.5%20.4K783.8K-41.0K0.3422.69N/AN/A59204,3425,395
2010-07-09$35.59$35.0037.0%11.1%35.1%55.7%38.8%8.8%-1.3%69.2K-205.9K-42.7K1.1725.62N/AN/A24284,3955,397
2010-07-12$35.68$35.0043.5%10.9%34.3%70.4%38.6%8.2%-1.2%81.6K-443.5K-39.8K2.6319.58N/AN/A35924,4055,412
2010-07-13$36.73$35.0038.2%10.9%34.8%58.6%35.4%9.1%-2.8%116.1K-2.4M-41.4K1.0420.25N/AN/A89934,4275,476
2010-07-14$36.33$35.0035.7%11.0%34.5%53.1%38.5%7.9%-1.3%101.0K-1.4M-41.2K2.3721.98N/AN/A491164,4945,543
2010-07-15$36.06$35.0037.1%10.6%34.5%59.5%35.4%7.8%-0.7%68.4K-1.4M-38.3K0.5021.24N/AN/A3621824,5315,600
2010-07-16$34.72$35.0037.1%10.6%35.7%59.5%42.2%7.2%-0.7%101.5K1.4M-38.4K7.0716.78N/AN/A926504,4835,649
2010-07-19$35.09$35.0035.0%10.0%35.9%54.6%35.9%7.3%-0.2%25.3K578.9K-35.6K1.3325.36N/AN/A1061414,2764,859
2010-07-20$35.96$35.0035.0%10.0%37.0%54.7%32.4%7.1%0.1%78.0K-780.4K-36.6K0.1530.38N/AN/A139214,2324,803
2010-07-21$34.63$35.0035.4%10.1%38.1%55.4%38.2%7.6%-0.5%19.0K964.0K-34.2K0.0524.41N/AN/A598284,1764,804
2010-07-22$35.61$35.0035.2%10.1%39.6%55.0%34.8%8.0%-0.3%98.2K-792.8K-38.1K5.0425.28N/AN/A231164,7734,822
2010-07-23$36.64$35.0034.4%9.9%40.3%53.1%34.4%7.6%-0.6%148.5K-2.5M-40.2K0.3031.55N/AN/A236704,7684,884
2010-07-26$37.81$35.0028.6%8.2%40.8%39.6%32.0%6.2%-0.4%213.9K-4.8M-41.4K0.1717.60N/AN/A127224,8004,844
2010-07-27$37.84$35.0030.3%8.7%40.8%43.6%30.1%4.4%-0.9%213.1K-5.0M-42.3K0.0016.62N/AN/A19804,8894,866
2010-07-28$37.46$35.0036.3%10.4%38.2%57.7%32.3%4.1%-0.3%207.7K-4.4M-41.4K1.5216.80N/AN/A25384,9344,866
2010-07-29$37.29$35.0034.2%9.8%37.4%52.7%30.9%3.3%1.0%214.0K-4.2M-40.8K0.3713.99N/AN/A83314,9564,860
2010-07-30$37.06$35.0034.6%9.9%36.0%53.6%35.2%4.0%0.6%213.2K-3.7M-39.3K6.0016.99N/AN/A6365,0124,883