PCH Options History — August 2010

In August 2010, PCH traded between $33.22 and $37.94. ATM implied volatility averaged 32.2%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 1.9% (HV 20d: 30.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2010-08-11: Highest Volume — 1,740 contracts
  • 2010-08-05: Largest IV spike — 47.1% change
  • 2010-08-11: Highest IV Rank — 58.2%
  • 2010-08-06: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.26$33.22$37.94$37.94$33.50
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.2%22.6%36.6%29.0%32.2%
Expected Move9.3%6.5%10.0%8.3%9.2%
HV 20d30.3%24.0%36.2%36.2%24.0%
HV 60d36.5%33.5%39.4%39.4%33.5%
IV Rank48.1%25.5%58.2%40.6%48.1%
IV Percentile38.0%12.3%65.5%23.8%34.1%
Term Structure1.7%-1.4%4.7%-0.7%2.0%
VWIV33.0%28.7%38.0%30.5%38.0%
Skew 25d9.7%4.6%17.4%4.6%6.6%
Skew 10d16.7%8.4%27.2%19.3%9.0%
Call IV 25d27.7%21.4%32.7%28.9%32.7%
Put IV 25d37.4%32.7%39.9%33.5%39.3%
Bid-Ask Spread %22.4614.7834.0514.7821.70
Gamma HHI0.540.400.670.630.42
Net GEX40.9K-421.9K276.1K258.6K126.2K
Net DEX-31.7K-5.3M7.8M-5.3M1.7M
Net VEX-31.0K-40.5K-20.0K-40.5K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0026.080.310.87
Total Volume217.455101,74034843
Total OI9,796.7736,14012,7149,9276,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$37.94$35.0029.0%8.3%36.2%40.6%30.5%4.6%-0.7%258.6K-5.3M-40.5K0.3114.78N/AN/A266825,0144,913
2010-08-03$37.30$35.0034.4%9.9%35.2%53.1%34.3%4.7%2.2%254.3K-4.4M-38.0K0.2221.39N/AN/A2765,1684,960
2010-08-04$37.69$35.0022.6%6.5%33.1%25.5%35.2%7.0%2.4%276.1K-5.1M-39.0K0.0020.39N/AN/A0845,1744,966
2010-08-05$37.20$35.0033.2%9.5%33.6%50.4%32.3%5.3%3.3%246.8K-4.2M-37.4K0.0426.84N/AN/A2815,1745,050
2010-08-06$37.35$35.0032.6%10.0%33.3%48.9%32.2%7.0%-1.4%259.3K-4.6M-38.2K0.4021.38N/AN/A25105,1875,051
2010-08-09$37.42$35.0029.4%9.8%33.3%41.4%34.3%7.1%-1.2%259.8K-4.5M-36.1K1.0022.73N/AN/A3503515,1975,057
2010-08-10$36.73$35.0036.3%9.9%32.5%57.7%30.5%7.6%0.2%241.9K-3.6M-37.2K0.0626.73N/AN/A237155,5475,407
2010-08-11$35.14$35.0036.6%9.9%36.0%58.2%34.5%8.0%1.1%157.0K-267.2K-34.1K10.6834.05N/AN/A1491,5915,5485,407
2010-08-12$35.12$35.0034.6%9.9%35.9%53.7%34.6%16.9%0.9%-199.7K2.4M-35.7K26.0822.60N/AN/A123135,6116,925
2010-08-13$34.98$35.0034.5%9.9%33.2%53.4%0.0%16.1%1.4%-240.2K2.4M-35.3K0.1018.98N/AN/A5255,6097,076
2010-08-16$35.06$35.0034.9%10.0%33.0%54.3%0.0%15.6%0.8%-276.5K2.3M-33.0K0.3424.66N/AN/A29105,6137,005
2010-08-17$35.71$35.0034.3%9.8%32.5%52.9%0.0%17.4%0.7%-261.8K-451.3K-33.7K0.6223.13N/AN/A29185,5977,005
2010-08-18$35.29$35.0033.9%9.7%29.7%52.0%33.9%15.7%1.4%-398.9K1.0M-31.9K0.0324.04N/AN/A18555,6007,013
2010-08-19$34.30$35.0033.3%9.5%29.7%50.6%35.5%11.4%2.8%-421.9K5.8M-29.1K2.2924.55N/AN/A24555,6877,014
2010-08-20$34.06$35.0032.5%9.3%27.5%48.7%37.4%9.9%3.2%-145.9K7.8M-26.5K2.4522.88N/AN/A38935,6807,034
2010-08-23$33.66$35.0029.5%8.5%24.2%41.7%29.8%8.8%2.5%119.9K1.5M-22.3K0.1231.74N/AN/A138164,2301,910
2010-08-24$33.22$35.0032.1%9.2%24.2%47.7%31.8%8.1%2.2%117.0K1.5M-22.1K0.2724.12N/AN/A165454,3101,910
2010-08-25$33.52$35.0031.1%8.9%24.8%45.4%29.5%11.1%4.7%129.3K1.2M-24.2K0.3016.05N/AN/A134404,3981,950
2010-08-26$33.23$35.0031.8%9.1%24.8%47.2%31.9%8.3%3.5%120.8K1.5M-22.3K0.1616.64N/AN/A63104,4021,950
2010-08-27$33.88$35.0028.6%8.2%26.4%39.6%28.7%8.1%4.6%144.7K1.2M-23.7K0.5815.93N/AN/A19114,4321,950
2010-08-30$33.50$35.0031.4%9.0%24.3%46.2%31.5%7.4%2.0%132.1K1.5M-21.9K0.0018.89N/AN/A1004,4371,960
2010-08-31$33.50$35.0032.2%9.2%24.0%48.1%38.0%6.6%2.0%126.2K1.7M-20.0K0.8721.70N/AN/A23204,4411,960