PCH Options History — October 2010

In October 2010, PCH traded between $33.80 and $36.18. ATM implied volatility averaged 27.6%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.8% (HV 20d: 24.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.94.

Notable Days

  • 2010-10-05: Highest Volume — 272 contracts
  • 2010-10-14: Largest IV spike — 47.1% change
  • 2010-10-18: Highest IV Rank — 43.1%
  • 2010-10-04: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.05$33.80$36.18$34.05$34.05
Max Pain$39.76$35.00$40.00$35.00$40.00
ATM IV27.6%20.4%30.1%27.3%26.7%
Expected Move8.4%7.4%8.9%7.8%7.6%
HV 20d24.8%20.8%27.1%24.4%22.8%
HV 60d25.4%23.4%28.1%27.7%23.6%
IV Rank37.3%20.4%43.1%36.6%35.0%
IV Percentile25.6%6.7%34.9%21.4%22.6%
Term Structure1.7%0.9%3.1%3.1%1.8%
VWIV29.5%26.7%32.6%30.9%26.7%
Skew 25d6.4%-1.7%12.9%-1.7%7.8%
Skew 10d10.4%-1.6%20.9%-1.6%12.6%
Call IV 25d26.5%19.5%30.9%27.0%24.9%
Put IV 25d32.8%25.3%35.6%25.3%32.7%
Bid-Ask Spread %30.2115.0441.4515.0426.17
Gamma HHI0.430.330.640.330.34
Net GEX139.6K-14.1K236.6K87.2K18.3K
Net DEX930.1K-1.3M3.0M1.8M1.5M
Net VEX-16.4K-19.9K-9.8K-18.3K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0016.130.370.74
Total Volume64.76222722647
Total OI6,853.6676,5836,9786,8186,583

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$34.05$35.0027.3%7.8%24.4%36.6%0.0%-1.7%3.1%87.2K1.8M-18.3K0.3715.04N/AN/A1974,2642,554
2010-10-04$33.94$40.0028.9%8.9%24.5%40.3%30.9%4.8%1.7%84.2K1.9M-17.7K0.0016.57N/AN/A204,2712,561
2010-10-05$34.95$40.0026.8%8.6%26.1%35.4%30.6%5.0%1.8%155.0K867.7K-18.7K0.2421.63N/AN/A220524,2732,561
2010-10-06$34.44$40.0027.4%8.7%26.8%36.7%28.9%5.6%1.3%120.5K1.4M-17.8K0.0027.09N/AN/A504,2832,542
2010-10-07$34.93$40.0027.3%8.7%27.0%36.4%30.5%5.6%1.5%169.0K666.3K-18.7K0.1830.04N/AN/A1124,2842,542
2010-10-08$35.06$40.0024.7%8.4%27.0%30.4%28.8%6.2%2.2%184.1K578.3K-18.4K1.2530.33N/AN/A24304,2942,544
2010-10-11$34.97$40.0026.7%8.6%25.5%35.2%29.5%5.0%2.1%190.4K705.9K-17.9K0.0028.32N/AN/A7604,3052,544
2010-10-12$35.20$40.0026.9%8.6%25.6%35.5%29.9%5.9%1.9%215.9K371.3K-18.1K1.2538.24N/AN/A20254,3512,544
2010-10-13$36.18$40.0020.4%8.7%27.1%20.4%30.3%4.7%1.6%236.6K-1.3M-19.9K1.2938.72N/AN/A35454,3632,553
2010-10-14$35.83$40.0030.0%8.6%26.6%42.9%30.0%5.9%2.0%214.6K-566.2K-18.7K0.4441.45N/AN/A1674,3732,592
2010-10-15$35.54$40.0029.9%8.6%26.6%42.6%29.4%6.9%1.8%234.7K-136.0K-18.1K0.1528.72N/AN/A66104,3812,597
2010-10-18$35.68$40.0030.1%8.6%26.3%43.1%30.1%5.1%0.9%162.5K298.0K-16.9K0.7736.10N/AN/A30234,2022,507
2010-10-19$35.31$40.0029.7%8.5%26.2%42.1%29.7%4.2%0.9%132.7K790.0K-15.9K16.1333.59N/AN/A81294,2022,527
2010-10-20$36.04$40.0028.7%8.2%26.1%39.8%0.0%5.3%2.5%192.2K85.8K-18.3K8.0036.34N/AN/A10804,2022,633
2010-10-21$35.71$40.0028.5%8.2%24.9%39.5%28.6%12.9%2.0%151.6K868.8K-16.5K0.7429.83N/AN/A58434,2122,713
2010-10-22$35.43$40.0028.4%8.1%21.5%39.2%32.6%11.8%2.2%122.2K1.3M-15.2K2.6337.53N/AN/A8214,1962,716
2010-10-25$35.59$40.0028.9%8.3%20.8%40.4%28.9%5.7%1.2%141.0K1.2M-14.7K1.0017.28N/AN/A664,1922,716
2010-10-26$35.01$40.0028.7%8.2%21.1%39.8%28.7%11.9%1.2%93.2K1.8M-13.4K0.4024.00N/AN/A2084,1922,721
2010-10-27$34.44$40.0028.5%8.2%21.6%39.3%29.5%8.8%1.5%39.6K2.5M-11.5K3.0838.56N/AN/A13404,1782,729
2010-10-28$33.80$40.0025.9%7.4%22.6%33.4%27.3%6.4%1.6%-14.1K3.0M-9.8K2.1438.78N/AN/A44944,1812,749
2010-10-29$34.05$40.0026.7%7.6%22.8%35.0%26.7%7.8%1.8%18.3K1.5M-10.4K0.7426.17N/AN/A27204,1772,406