PCH Options History — February 2011

In February 2011, PCH traded between $36.58 and $39.09. ATM implied volatility averaged 20.7%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.7% (HV 20d: 23.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.06.

Notable Days

2011-02-02: Highest Volume — 224 contracts
2011-02-02: Largest IV spike — 75.4% change
2011-02-24: Highest IV Rank — 42.7%
2011-02-24: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.89	$36.58	$39.09	$37.75	$38.40
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	20.7%	13.1%	29.9%	13.1%	16.9%
Expected Move	6.0%	3.8%	8.6%	3.8%	4.8%
HV 20d	23.3%	20.4%	25.7%	20.7%	24.6%
HV 60d	19.6%	18.1%	21.2%	21.2%	19.7%
IV Rank	21.1%	3.4%	42.7%	3.4%	12.2%
IV Percentile	18.9%	0.8%	57.1%	0.8%	6.0%
Term Structure	3.5%	-1.2%	9.3%	8.8%	2.8%
VWIV	24.8%	12.5%	34.4%	34.4%	30.3%
Skew 25d	8.8%	3.9%	17.5%	13.9%	8.0%
Skew 10d	11.6%	3.9%	33.2%	12.2%	8.5%
Call IV 25d	17.8%	11.3%	21.1%	11.3%	19.6%
Put IV 25d	26.6%	23.7%	31.4%	25.1%	27.6%
Bid-Ask Spread %	41.49	18.00	59.15	23.66	48.00
Gamma HHI	0.56	0.45	0.68	0.53	0.56
Net GEX	106.3K	60.4K	155.5K	149.2K	80.1K
Net DEX	-3.6M	-4.8M	-1.7M	-4.2M	-2.4M
Net VEX	-10.0K	-11.5K	-8.1K	-10.5K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.00	15.00	0.00	3.17
Total Volume	68.526	11	224	84	75
Total OI	2,678.842	1,677	3,126	2,670	1,889

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$37.75	$35.00	13.1%	3.8%	20.7%	3.4%	34.4%	13.9%	8.8%	149.2K	-4.2M	-10.5K	0.00	23.66	N/A	N/A	84	0	1,869	801
2011-02-02	$37.46	$35.00	23.0%	6.6%	20.4%	26.6%	12.5%	13.6%	9.3%	153.8K	-4.0M	-10.9K	15.00	20.98	N/A	N/A	14	210	1,900	801
2011-02-03	$36.74	$35.00	26.6%	7.6%	22.3%	35.0%	26.2%	10.4%	0.9%	130.9K	-3.2M	-11.5K	0.07	18.00	N/A	N/A	40	3	1,863	1,011
2011-02-04	$36.58	$35.00	28.7%	7.6%	22.5%	39.9%	19.7%	7.5%	0.2%	135.4K	-3.1M	-11.5K	8.00	59.15	N/A	N/A	5	40	1,879	1,014
2011-02-07	$36.98	$35.00	28.3%	7.9%	22.6%	39.0%	0.0%	6.0%	0.1%	127.1K	-3.4M	-10.9K	0.05	57.71	N/A	N/A	133	7	1,884	1,033
2011-02-08	$37.82	$35.00	15.6%	4.8%	23.4%	9.1%	22.2%	8.7%	4.6%	81.1K	-4.2M	-9.4K	0.21	27.36	N/A	N/A	63	13	1,981	1,030
2011-02-09	$37.61	$35.00	16.6%	5.8%	23.7%	11.4%	26.6%	8.3%	5.5%	82.3K	-4.1M	-9.8K	1.75	55.62	N/A	N/A	4	7	2,025	1,030
2011-02-10	$38.20	$35.00	16.0%	4.6%	24.0%	10.1%	0.0%	5.5%	3.7%	89.7K	-4.4M	-9.5K	0.00	27.42	N/A	N/A	20	0	2,027	1,032
2011-02-11	$38.44	$35.00	18.4%	5.3%	23.9%	15.7%	19.4%	3.9%	3.6%	102.9K	-4.5M	-9.5K	0.33	23.28	N/A	N/A	24	8	2,047	1,032
2011-02-14	$38.12	$35.00	19.7%	5.6%	24.4%	18.7%	26.6%	6.7%	4.5%	89.1K	-4.4M	-9.4K	0.05	44.40	N/A	N/A	57	3	2,065	1,032
2011-02-15	$38.45	$35.00	18.8%	5.4%	24.1%	16.7%	19.5%	4.0%	2.8%	102.8K	-4.6M	-9.5K	0.10	40.76	N/A	N/A	49	5	2,091	1,035
2011-02-16	$38.58	$35.00	18.6%	5.3%	23.0%	16.3%	0.0%	4.5%	3.7%	109.3K	-4.6M	-9.4K	0.37	39.96	N/A	N/A	19	7	2,080	1,030
2011-02-17	$39.09	$35.00	19.5%	5.6%	23.1%	18.2%	0.0%	6.2%	3.5%	155.5K	-4.8M	-8.9K	0.00	39.73	N/A	N/A	39	0	2,071	1,024
2011-02-18	$39.00	$35.00	19.1%	5.5%	23.3%	17.4%	19.3%	6.6%	3.6%	148.9K	-4.8M	-8.1K	5.00	57.62	N/A	N/A	10	50	2,046	1,024
2011-02-22	$37.77	$35.00	18.3%	5.2%	23.8%	15.4%	32.2%	15.1%	7.6%	73.5K	-2.0M	-9.2K	0.27	53.11	N/A	N/A	176	48	1,118	559
2011-02-23	$37.00	$35.00	29.1%	8.3%	25.0%	40.8%	29.1%	13.5%	-1.2%	60.4K	-1.7M	-10.8K	2.82	40.87	N/A	N/A	11	31	1,273	565
2011-02-24	$37.34	$35.00	29.9%	8.6%	23.2%	42.7%	30.2%	17.5%	-1.1%	62.6K	-1.8M	-11.0K	1.38	53.13	N/A	N/A	8	11	1,274	590
2011-02-25	$38.54	$35.00	16.7%	4.8%	25.7%	11.7%	24.3%	7.2%	3.8%	85.8K	-2.4M	-10.1K	0.56	57.65	N/A	N/A	18	10	1,282	591
2011-02-28	$38.40	$35.00	16.9%	4.8%	24.6%	12.2%	30.3%	8.0%	2.8%	80.1K	-2.4M	-10.4K	3.17	48.00	N/A	N/A	18	57	1,293	596