PCH Options History — November 2010

In November 2010, PCH traded between $31.56 and $35.90. ATM implied volatility averaged 31.4%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.3% (HV 20d: 25.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2010-11-22: Highest Volume — 387 contracts
  • 2010-11-16: Largest IV spike — 20.5% change
  • 2010-11-26: Highest IV Rank — 61.8%
  • 2010-11-26: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.29$31.56$35.90$33.78$31.68
Max Pain$36.19$35.00$40.00$40.00$35.00
ATM IV31.4%25.3%38.1%27.6%37.5%
Expected Move9.2%7.2%10.9%7.9%10.7%
HV 20d25.1%20.4%28.2%22.9%27.1%
HV 60d23.9%22.6%24.6%23.6%24.6%
IV Rank46.2%31.8%61.8%37.2%60.3%
IV Percentile51.6%19.8%86.9%25.4%85.3%
Term Structure-1.3%-10.2%3.0%1.3%-4.6%
VWIV30.7%25.0%37.9%27.5%37.9%
Skew 25d7.9%-2.2%23.1%6.3%14.6%
Skew 10d11.8%-2.1%40.8%10.2%17.0%
Call IV 25d25.4%16.9%30.5%27.1%22.3%
Put IV 25d33.3%23.4%45.6%33.4%36.9%
Bid-Ask Spread %27.5112.4442.7128.7912.44
Gamma HHI0.440.320.590.390.40
Net GEX32.2K-19.2K123.6K-10.1K6.1K
Net DEX1.1M22.1K2.3M1.8M712.0K
Net VEX-9.1K-12.3K-6.9K-9.2K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.004.271.380.00
Total Volume79.286038710777
Total OI5,366.2861,7846,8426,5682,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$33.78$40.0027.6%7.9%22.9%37.2%27.5%6.3%1.3%-10.1K1.8M-9.2K1.3828.79N/AN/A45624,1712,397
2010-11-02$34.31$40.0027.3%7.8%21.0%36.4%27.2%-0.9%1.5%32.2K1.1M-9.6K0.0013.93N/AN/A034,2162,343
2010-11-03$34.29$40.0026.6%7.6%20.4%34.9%26.6%-2.2%2.8%31.1K1.1M-9.5K3.3919.42N/AN/A18614,2162,343
2010-11-04$35.28$40.0025.3%7.2%22.3%31.8%25.0%23.1%3.0%90.0K488.4K-10.3K1.9120.24N/AN/A651244,2212,352
2010-11-05$35.90$40.0025.7%8.3%23.1%32.8%28.9%14.9%0.2%123.6K22.1K-12.3K0.2621.23N/AN/A58154,2582,464
2010-11-08$35.37$35.0026.5%8.2%23.7%34.6%28.7%12.1%0.4%87.0K351.5K-11.2K0.2136.81N/AN/A2864,3122,459
2010-11-09$34.25$35.0026.2%8.4%26.3%34.0%29.2%8.7%0.1%48.8K1.3M-10.4K2.5528.21N/AN/A11284,3352,464
2010-11-10$34.63$35.0025.8%8.2%24.5%33.0%28.6%10.2%0.4%67.9K1.0M-10.3K3.5328.45N/AN/A15534,3272,438
2010-11-11$34.58$35.0028.3%8.1%24.3%38.9%28.3%11.5%0.6%66.8K1.0M-10.7K0.1639.82N/AN/A1934,3412,484
2010-11-12$33.90$35.0029.8%8.5%25.1%42.4%29.8%8.4%-0.1%55.0K1.5M-10.1K0.9142.71N/AN/A33304,3502,481
2010-11-15$33.31$35.0030.0%8.6%25.5%42.8%30.0%5.0%0.0%40.1K1.9M-8.8K0.0040.89N/AN/A5104,3702,472
2010-11-16$32.08$35.0036.1%10.3%28.2%57.2%31.4%5.9%-1.9%-19.2K2.3M-7.8K0.8526.95N/AN/A33284,3642,472
2010-11-17$32.02$35.0037.2%10.7%26.6%59.7%36.7%7.6%-2.6%-15.3K2.1M-7.4K0.0037.98N/AN/A2404,3482,389
2010-11-18$32.02$35.0035.4%10.1%26.7%55.4%35.5%5.8%-1.0%-2.6K2.0M-7.6K0.0234.69N/AN/A5314,3602,389
2010-11-19$31.86$35.0034.7%10.0%26.6%53.9%34.8%5.5%-1.0%-3.0K1.9M-7.5K1.1029.77N/AN/A20224,4052,369
2010-11-22$31.85$35.0034.3%9.8%26.5%53.0%32.3%6.2%-1.2%20.8K597.9K-6.9K0.4128.23N/AN/A2741131,138646
2010-11-23$31.56$35.0035.1%10.1%26.2%54.9%29.3%3.4%-2.7%15.6K679.6K-7.6K4.2724.37N/AN/A11471,188718
2010-11-24$32.17$35.0035.6%10.2%27.2%55.9%29.5%0.1%-8.4%18.3K529.9K-8.3K1.2525.46N/AN/A59741,191751
2010-11-26$32.06$35.0038.1%10.9%26.6%61.8%0.0%2.9%-10.2%10.5K601.0K-8.4K0.0016.24N/AN/A001,208822
2010-11-29$32.27$35.0037.2%10.7%26.5%59.8%36.2%17.6%-4.1%12.6K525.3K-8.4K1.2021.03N/AN/A46551,208822
2010-11-30$31.68$35.0037.5%10.7%27.1%60.3%37.9%14.6%-4.6%6.1K712.0K-8.0K0.0012.44N/AN/A7701,246844