PCH Options History — September 2010

In September 2010, PCH traded between $32.75 and $34.41. ATM implied volatility averaged 29.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 8.4% (HV 20d: 21.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.96.

Notable Days

  • 2010-09-27: Highest Volume — 1,162 contracts
  • 2010-09-09: Largest IV spike — 37.0% change
  • 2010-09-09: Highest IV Rank — 47.3%
  • 2010-09-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.62$32.75$34.41$33.36$34.00
Max Pain$32.62$30.00$35.00$35.00$35.00
ATM IV29.5%23.3%31.9%30.4%28.1%
Expected Move8.6%8.0%9.3%8.7%8.1%
HV 20d21.2%17.6%24.5%23.3%24.5%
HV 60d30.0%27.7%33.2%33.2%27.7%
IV Rank41.8%27.1%47.3%43.9%38.4%
IV Percentile27.5%15.5%34.9%27.8%23.4%
Term Structure2.1%0.9%4.2%2.3%3.0%
VWIV32.4%28.2%37.6%30.5%28.2%
Skew 25d7.0%-3.6%11.6%7.0%-2.1%
Skew 10d11.0%-3.3%19.7%11.4%-1.7%
Call IV 25d27.5%24.5%30.6%30.6%27.3%
Put IV 25d34.5%23.9%38.9%37.5%25.2%
Bid-Ask Spread %21.658.3036.6022.0311.90
Gamma HHI0.430.330.520.430.33
Net GEX141.6K77.6K216.2K142.9K90.4K
Net DEX1.6M721.5K2.5M1.3M1.7M
Net VEX-18.5K-22.8K-14.3K-22.8K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.960.0095.830.350.22
Total Volume124.524111,16218011
Total OI6,303.195,4546,8136,4036,813

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$33.36$35.0030.4%8.7%23.3%43.9%30.5%7.0%2.3%142.9K1.3M-22.8K0.3522.03N/AN/A133474,4331,970
2010-09-02$33.23$35.0028.9%8.3%23.2%40.4%29.0%7.6%4.2%130.5K1.6M-21.3K0.2620.96N/AN/A69184,4281,988
2010-09-03$33.30$30.0028.8%9.0%23.1%40.0%31.3%10.3%1.9%140.9K1.5M-21.5K0.1912.31N/AN/A4284,4781,984
2010-09-07$32.98$30.0031.9%9.3%22.9%47.2%32.5%9.7%1.6%118.0K2.2M-17.9K0.638.30N/AN/A63404,4761,992
2010-09-08$33.18$30.0023.3%9.2%22.9%27.1%32.3%8.9%1.1%135.2K1.9M-19.2K0.1010.30N/AN/A6164,5152,008
2010-09-09$33.01$30.0031.9%9.1%17.6%47.3%31.7%8.4%1.2%128.7K2.1M-18.4K0.3210.63N/AN/A56184,5502,009
2010-09-10$33.08$30.0031.7%9.1%17.6%46.9%0.0%8.0%1.6%133.5K2.1M-17.7K0.0014.73N/AN/A6204,5552,020
2010-09-13$33.98$30.0031.4%9.0%20.6%46.1%37.1%10.2%1.2%196.4K1.4M-20.2K0.6611.35N/AN/A32214,5802,020
2010-09-14$34.08$30.0030.9%8.8%20.6%44.8%0.0%10.3%1.6%216.2K1.2M-20.3K0.4620.32N/AN/A35164,6002,011
2010-09-15$34.05$30.0031.7%9.1%19.2%46.9%34.1%11.6%0.9%192.5K1.8M-19.8K0.0817.17N/AN/A4844,5922,019
2010-09-16$33.50$30.0031.4%9.0%19.6%46.2%37.6%8.0%0.9%136.0K2.5M-15.4K0.1932.66N/AN/A2754,5942,015
2010-09-17$33.97$30.0030.3%8.7%17.9%43.6%30.3%9.2%1.6%182.2K1.7M-18.9K0.8325.12N/AN/A92764,6112,020
2010-09-20$34.41$35.0029.4%8.4%18.3%41.5%29.4%11.0%2.3%158.8K721.5K-18.1K0.1130.97N/AN/A154174,0491,405
2010-09-21$33.97$35.0028.8%8.3%18.4%40.1%0.0%8.9%2.1%155.4K877.8K-17.2K0.7830.66N/AN/A32254,1651,405
2010-09-22$33.45$35.0028.7%8.2%18.6%39.9%0.0%6.7%2.8%133.5K1.3M-15.9K0.0023.50N/AN/A2304,1921,429
2010-09-23$32.75$35.0029.7%8.5%19.8%42.3%37.6%6.2%2.2%107.5K1.7M-14.3K1.6732.45N/AN/A6104,1851,429
2010-09-24$34.06$35.0027.8%8.0%24.2%37.7%31.6%7.1%3.3%153.4K1.0M-16.7K0.1933.98N/AN/A3164,1891,439
2010-09-27$33.62$35.0029.0%8.3%23.7%40.5%0.0%5.2%1.9%140.6K1.3M-15.3K95.8336.60N/AN/A121,1504,2101,439
2010-09-28$34.23$35.0028.2%8.1%24.2%38.7%28.2%-1.7%3.0%102.9K1.5M-20.0K1.3127.18N/AN/A58764,2222,530
2010-09-29$33.87$35.0028.1%8.0%24.5%38.3%0.0%-3.6%2.6%77.6K1.9M-19.3K0.0021.44N/AN/A2504,2462,552
2010-09-30$34.00$35.0028.1%8.1%24.5%38.4%0.0%-2.1%3.0%90.4K1.7M-19.1K0.2211.90N/AN/A924,2612,552