PCH Options History — March 2011

In March 2011, PCH traded between $36.68 and $40.20. ATM implied volatility averaged 22.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.7% (HV 20d: 27.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.10.

Notable Days

  • 2011-03-31: Highest Volume — 239 contracts
  • 2011-03-10: Largest IV spike — 98.9% change
  • 2011-03-17: Highest IV Rank — 50.2%
  • 2011-03-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$36.68$40.20$37.38$40.20
Max Pain$35.22$35.00$40.00$35.00$35.00
ATM IV22.5%12.9%33.4%29.9%21.1%
Expected Move6.7%3.7%9.6%8.6%6.1%
HV 20d27.2%23.8%30.3%26.4%23.8%
HV 60d22.5%20.6%23.8%20.6%23.6%
IV Rank24.4%1.5%50.2%42.7%21.1%
IV Percentile26.1%0.4%72.2%56.7%19.0%
Term Structure1.9%-1.3%10.9%-1.3%2.4%
VWIV25.3%19.6%34.8%27.4%19.6%
Skew 25d8.3%-0.7%31.6%13.9%28.0%
Skew 10d13.5%0.6%48.1%13.1%48.1%
Call IV 25d21.2%12.4%28.6%15.4%18.2%
Put IV 25d29.6%18.9%50.0%29.3%46.2%
Bid-Ask Spread %40.0132.1351.6332.1343.56
Gamma HHI0.650.510.860.680.74
Net GEX101.2K23.5K197.8K54.8K193.7K
Net DEX-2.5M-4.3M-1.4M-1.8M-4.3M
Net VEX-11.0K-11.7K-10.3K-10.8K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.008.331.220.00
Total Volume57.783523951239
Total OI2,086.6091,8992,3141,9432,232

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$37.38$35.0029.9%8.6%26.4%42.7%27.4%13.9%-1.3%54.8K-1.8M-10.8K1.2232.13N/AN/A23281,290653
2011-03-02$37.20$40.0028.2%8.1%25.8%38.7%27.4%12.0%1.7%50.9K-1.7M-10.8K1.0037.48N/AN/A31311,240676
2011-03-03$37.77$35.0012.9%3.7%26.2%1.5%25.1%12.6%10.9%65.7K-2.1M-10.4K6.3847.69N/AN/A8511,261697
2011-03-04$37.37$35.0024.5%8.1%25.5%29.0%0.0%5.1%0.3%51.1K-1.8M-10.9K0.0040.43N/AN/A071,263738
2011-03-07$36.90$35.0031.4%8.4%25.9%45.5%0.0%5.4%0.2%35.5K-1.5M-10.8K0.6440.47N/AN/A1171,263737
2011-03-08$37.79$35.0015.0%6.6%27.0%6.6%0.0%5.5%0.5%65.1K-2.1M-10.3K1.0033.24N/AN/A551,270738
2011-03-09$37.67$35.0014.8%6.6%25.8%6.1%22.8%5.2%1.1%61.1K-2.0M-10.5K8.3334.60N/AN/A3251,275743
2011-03-10$36.68$35.0029.5%8.5%27.4%41.0%0.0%7.0%0.1%23.5K-1.4M-10.6K0.3543.27N/AN/A52181,278766
2011-03-11$37.88$35.0022.7%6.5%29.3%24.8%23.1%5.6%1.1%76.7K-2.1M-10.7K0.0033.84N/AN/A4101,330766
2011-03-14$38.33$35.0024.6%7.0%29.6%29.2%24.6%6.3%0.5%98.8K-2.4M-10.7K0.0034.04N/AN/A9601,371766
2011-03-15$38.22$35.0025.4%7.3%29.4%31.1%29.7%7.8%0.9%112.9K-2.6M-11.1K0.5235.39N/AN/A48251,467766
2011-03-16$37.46$35.0033.3%9.5%30.1%49.9%34.8%5.1%0.8%75.0K-2.1M-11.5K2.0033.61N/AN/A5101,507791
2011-03-17$37.44$35.0033.4%9.6%30.1%50.2%27.7%4.9%-0.4%72.8K-2.1M-11.6K0.0033.41N/AN/A501,512801
2011-03-18$37.64$35.0020.8%6.0%29.7%20.2%24.9%4.9%1.0%104.3K-2.2M-11.1K0.1935.00N/AN/A3671,513801
2011-03-21$38.22$35.0017.5%5.0%30.3%12.4%20.7%5.4%3.4%116.0K-2.5M-10.7K0.2145.02N/AN/A2451,401498
2011-03-22$37.81$35.0018.7%5.4%28.3%15.2%0.0%6.2%0.8%115.1K-2.3M-10.7K0.0836.71N/AN/A141111,420503
2011-03-23$37.88$35.0017.7%5.1%27.2%13.0%30.3%6.9%3.0%127.1K-2.5M-11.6K0.3041.09N/AN/A1031,538514
2011-03-24$38.72$35.0019.3%5.5%28.1%16.6%0.0%6.3%3.7%145.4K-3.0M-11.7K0.0151.63N/AN/A6811,548517
2011-03-25$38.62$35.0017.5%5.0%25.8%12.3%20.4%6.0%2.8%146.5K-3.1M-11.2K1.0850.31N/AN/A12131,559517
2011-03-28$39.08$35.0021.1%6.0%26.1%20.9%21.2%-0.7%2.6%155.0K-3.3M-11.0K0.0346.78N/AN/A10631,561520
2011-03-29$39.55$35.0018.8%5.4%24.1%15.6%0.0%1.0%5.4%182.7K-3.7M-11.4K0.7544.94N/AN/A55411,645523
2011-03-30$39.70$35.0019.6%5.6%24.0%17.4%19.6%31.6%3.1%197.8K-3.9M-11.4K0.0645.53N/AN/A1811,698519
2011-03-31$40.20$35.0021.1%6.1%23.8%21.1%0.0%28.0%2.4%193.7K-4.3M-11.3K0.0043.56N/AN/A23901,715517