PCH Options History — January 2011

In January 2011, PCH traded between $32.62 and $37.48. ATM implied volatility averaged 22.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.5% (HV 20d: 13.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-01-26: Highest Volume — 180 contracts
  • 2011-01-07: Largest IV spike — 37.1% change
  • 2011-01-31: Highest IV Rank — 34.3%
  • 2011-01-31: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.61$32.62$37.48$32.98$37.15
Max Pain$34.00$30.00$35.00$30.00$35.00
ATM IV22.1%14.6%26.3%18.2%26.3%
Expected Move6.5%4.2%7.5%5.2%7.5%
HV 20d13.6%9.3%20.9%12.0%20.6%
HV 60d20.7%19.8%21.7%20.8%21.7%
IV Rank24.4%6.9%34.3%15.1%34.3%
IV Percentile18.0%2.4%32.1%6.0%32.1%
Term Structure2.6%0.3%10.9%2.4%0.4%
VWIV25.0%22.4%30.9%22.6%27.3%
Skew 25d9.3%-3.7%15.5%6.1%11.1%
Skew 10d14.5%-3.9%31.3%8.7%12.9%
Call IV 25d19.1%12.1%22.8%21.4%14.8%
Put IV 25d28.5%17.5%35.8%27.6%25.9%
Bid-Ask Spread %36.0021.7256.1956.1922.97
Gamma HHI0.740.500.960.550.59
Net GEX295.8K63.9K831.8K127.9K156.0K
Net DEX-2.2M-4.0M-374.6K-801.2K-3.8M
Net VEX-11.6K-12.6K-10.6K-12.4K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.005.350.003.00
Total Volume85.4521803952
Total OI4,102.352,5464,9824,4862,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$32.98$30.0018.2%5.2%12.0%15.1%0.0%6.1%2.4%127.9K-801.2K-12.4K0.0056.19N/AN/A3902,6231,863
2011-01-04$32.62$30.0014.6%4.2%12.6%6.9%0.0%12.3%10.9%63.9K-374.6K-11.6K1.9049.84N/AN/A30572,6261,863
2011-01-05$33.02$30.0018.8%5.4%13.3%16.7%22.6%6.6%2.0%132.0K-796.1K-12.6K0.2652.16N/AN/A115302,6261,920
2011-01-06$33.25$30.0018.2%5.2%13.1%15.1%0.0%-3.7%2.4%189.9K-1.1M-12.3K0.1428.70N/AN/A111162,7011,950
2011-01-07$33.33$35.0024.9%6.8%10.4%30.9%28.2%7.9%2.6%211.0K-1.2M-12.5K2.2228.95N/AN/A9202,7291,962
2011-01-10$33.37$35.0020.1%7.0%9.5%19.6%30.9%7.8%1.7%283.4K-1.4M-12.0K0.3335.10N/AN/A82272,7291,982
2011-01-11$33.61$35.0019.1%6.9%9.5%17.3%0.0%8.7%3.0%305.6K-1.6M-12.2K0.0032.43N/AN/A402,7822,009
2011-01-12$33.81$35.0018.5%6.7%9.5%16.0%23.5%9.2%3.0%367.9K-1.7M-12.0K0.0340.22N/AN/A8932,7832,009
2011-01-13$33.81$35.0023.8%6.8%9.3%28.3%23.8%8.8%2.8%334.7K-1.4M-11.2K0.0034.47N/AN/A022,7822,010
2011-01-14$34.10$35.0024.1%6.9%9.5%29.1%24.1%9.7%2.6%500.2K-2.1M-12.1K0.0221.72N/AN/A16232,7822,008
2011-01-18$34.68$35.0024.4%7.0%10.7%29.8%0.0%15.5%2.7%459.2K-3.4M-12.0K4.0047.35N/AN/A3122,8742,008
2011-01-19$34.18$35.0024.0%6.9%12.4%28.8%24.1%9.8%2.2%524.6K-1.9M-11.2K0.0127.44N/AN/A13812,8772,020
2011-01-20$34.36$35.0023.5%6.7%12.5%27.7%23.5%7.4%2.5%629.7K-2.0M-11.1K0.1440.63N/AN/A86122,9052,019
2011-01-21$34.51$35.0024.1%6.9%12.4%29.1%28.9%8.7%2.1%831.8K-2.5M-11.6K5.3529.76N/AN/A261392,9552,027
2011-01-24$35.85$35.0023.3%6.7%17.6%27.2%23.3%15.0%1.4%165.4K-2.7M-11.2K0.3922.39N/AN/A57221,789757
2011-01-25$36.21$35.0024.6%7.0%17.7%30.2%24.6%13.5%0.3%168.3K-3.0M-11.2K0.0331.61N/AN/A3111,816763
2011-01-26$37.22$35.0023.6%6.8%19.4%28.0%24.0%8.9%2.3%154.5K-3.8M-10.6K0.1552.86N/AN/A156241,837763
2011-01-27$37.48$35.0023.4%6.7%18.7%27.4%22.4%15.1%4.6%151.2K-4.0M-10.6K0.3840.44N/AN/A45171,838777
2011-01-28$36.75$35.0024.3%7.0%20.9%29.5%24.1%8.5%1.1%158.2K-3.5M-11.0K0.2824.86N/AN/A69191,842786
2011-01-31$37.15$35.0026.3%7.5%20.6%34.3%27.3%11.1%0.4%156.0K-3.8M-10.7K3.0022.97N/AN/A13391,856799