PCH Options History — December 2010

In December 2010, PCH traded between $31.66 and $32.90. ATM implied volatility averaged 24.4%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.7% (HV 20d: 19.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 11.24.

Notable Days

  • 2010-12-01: Highest Volume — 1,800 contracts
  • 2010-12-08: Largest IV spike — 125.9% change
  • 2010-12-08: Highest IV Rank — 77.9%
  • 2010-12-23: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.42$31.66$32.90$32.54$32.55
Max Pain$30.68$30.00$35.00$35.00$30.00
ATM IV24.4%12.3%45.0%16.6%15.0%
Expected Move7.1%4.3%9.6%4.7%4.3%
HV 20d19.7%10.8%28.4%28.4%11.0%
HV 60d23.5%20.9%25.2%25.2%20.9%
IV Rank29.8%1.4%77.9%11.4%7.7%
IV Percentile26.5%0.4%96.8%2.4%2.4%
Term Structure4.2%0.9%11.0%9.5%9.9%
VWIV26.0%20.0%32.1%20.6%26.2%
Skew 25d6.7%2.8%17.3%11.0%10.8%
Skew 10d8.1%3.8%14.6%11.4%14.6%
Call IV 25d22.4%14.0%26.1%20.9%15.3%
Put IV 25d29.1%26.0%33.4%31.9%26.1%
Bid-Ask Spread %38.0916.3777.7021.8129.48
Gamma HHI0.500.400.650.400.50
Net GEX43.1K-29.5K121.5K15.8K55.3K
Net DEX322.7K-816.8K1.6M429.7K-333.0K
Net VEX-15.0K-18.8K-8.7K-8.7K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.240.00183.290.280.00
Total Volume176.59101,8001,8004
Total OI4,625.52,1045,2992,1044,482

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$32.54$35.0016.6%4.7%28.4%11.4%20.6%11.0%9.5%15.8K429.7K-8.7K0.2821.81N/AN/A1,4053951,260844
2010-12-02$32.60$35.0017.9%5.1%28.4%14.5%20.0%12.3%9.6%110.4K158.6K-13.8K0.1821.16N/AN/A2242,5861,138
2010-12-03$32.60$35.0015.2%4.4%26.0%8.2%32.1%8.5%8.6%121.5K334.1K-13.1K183.2916.37N/AN/A71,2832,6001,138
2010-12-06$32.56$30.0012.3%7.3%24.7%1.4%27.1%5.2%1.0%-9.8K1.3M-17.2K0.0118.07N/AN/A28032,6012,420
2010-12-07$32.56$30.0019.9%7.1%24.5%19.2%30.2%4.5%1.8%4.2K1.0M-18.8K0.0017.62N/AN/A802,8762,423
2010-12-08$32.30$30.0045.0%8.4%22.2%77.9%29.2%3.1%1.4%-28.9K1.6M-18.0K0.1526.25N/AN/A71112,8752,423
2010-12-09$31.66$30.0027.3%8.3%22.4%36.5%28.2%3.6%2.7%-29.5K1.6M-17.5K1.4128.70N/AN/A17242,8462,433
2010-12-10$32.10$30.0023.2%8.6%23.3%26.9%0.0%4.8%0.9%11.7K1.2M-17.3K0.0021.27N/AN/A602,8632,412
2010-12-13$32.01$30.0027.7%8.3%22.5%37.5%0.0%2.9%1.9%15.2K1.1M-16.8K0.1321.83N/AN/A1522,8652,396
2010-12-14$32.12$30.0034.7%8.3%21.9%53.8%0.0%4.2%1.1%18.0K778.2K-16.7K0.0043.29N/AN/A012,8802,300
2010-12-15$32.00$30.0029.0%8.3%17.4%40.6%29.0%3.4%1.4%4.5K845.6K-16.4K1.5938.61N/AN/A37592,8802,300
2010-12-16$32.16$30.0028.4%8.1%17.5%39.1%0.0%2.8%2.3%15.9K760.5K-16.3K0.0039.23N/AN/A0272,8692,327
2010-12-17$32.36$30.0028.5%8.2%17.6%39.4%0.0%4.7%2.8%38.3K559.6K-15.9K0.7142.02N/AN/A752,8692,336
2010-12-20$32.45$30.0025.5%7.3%17.5%32.3%21.8%4.2%5.1%61.4K-531.2K-14.5K0.2846.55N/AN/A67192,5491,833
2010-12-21$32.52$30.0017.6%5.1%17.5%13.9%21.3%4.9%2.1%49.4K-410.2K-15.0K0.0751.11N/AN/A2822,5821,845
2010-12-22$32.50$30.0027.7%7.9%17.1%37.5%0.0%4.0%1.5%55.1K-323.8K-14.4K1.2053.96N/AN/A562,5931,846
2010-12-23$32.60$30.0033.5%9.6%15.8%50.9%26.2%9.4%2.9%67.9K-452.9K-14.4K0.0070.52N/AN/A602,5981,850
2010-12-27$32.75$30.0024.3%7.0%15.8%29.5%0.0%16.2%10.7%84.5K-629.3K-14.5K0.0077.70N/AN/A002,6011,850
2010-12-28$32.90$30.0018.9%5.4%15.7%17.0%0.0%5.8%1.2%121.4K-816.8K-13.5K0.0042.62N/AN/A2002,6011,850
2010-12-29$32.66$30.0018.1%5.2%14.3%15.0%0.0%3.9%2.3%77.1K-503.4K-13.0K1.1449.46N/AN/A782,6111,850
2010-12-30$32.74$30.0030.8%8.8%10.8%44.8%0.0%17.3%11.0%89.0K-583.6K-12.6K23.0060.22N/AN/A1232,6181,842
2010-12-31$32.55$30.0015.0%4.3%11.0%7.7%0.0%10.8%9.9%55.3K-333.0K-12.2K0.0029.48N/AN/A402,6191,863