PCH Options History — April 2011

In April 2011, PCH traded between $38.45 and $40.55. ATM implied volatility averaged 20.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.9% (HV 20d: 19.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-04-11: Highest Volume — 230 contracts
  • 2011-04-13: Largest IV spike — 74.4% change
  • 2011-04-13: Highest IV Rank — 38.7%
  • 2011-04-12: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.36$38.45$40.55$40.55$38.66
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.9%16.4%28.6%20.0%19.0%
Expected Move6.3%5.4%6.9%5.7%5.4%
HV 20d19.0%16.8%23.3%23.3%17.9%
HV 60d23.6%22.7%24.8%23.5%22.8%
IV Rank20.4%9.8%38.7%18.4%15.9%
IV Percentile18.2%4.0%46.0%17.1%13.1%
Term Structure0.8%-1.1%3.0%3.0%0.6%
VWIV22.6%17.7%31.4%20.0%19.2%
Skew 25d9.1%6.5%22.0%22.0%6.8%
Skew 10d15.7%10.2%48.0%48.0%10.2%
Call IV 25d18.3%14.7%21.3%17.2%19.1%
Put IV 25d27.4%25.6%39.2%39.2%25.9%
Bid-Ask Spread %43.9531.1869.4843.8058.60
Gamma HHI0.810.700.920.700.91
Net GEX223.7K176.2K269.0K213.2K239.8K
Net DEX-3.5M-4.7M-2.7M-4.7M-3.0M
Net VEX-12.0K-12.8K-11.0K-11.7K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.640.020.00
Total Volume70923013310
Total OI2,463.552,2962,6312,3972,548

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$40.55$35.0020.0%5.7%23.3%18.4%20.0%22.0%3.0%213.2K-4.7M-11.7K0.0243.80N/AN/A13031,880517
2011-04-04$40.55$35.0021.5%6.7%22.5%21.8%20.0%10.4%1.3%207.6K-4.6M-11.3K0.0169.48N/AN/A9211,816520
2011-04-05$40.52$35.0020.9%6.7%21.4%20.4%30.1%11.7%1.2%211.2K-4.4M-11.0K0.1252.88N/AN/A2531,775521
2011-04-06$40.49$35.0020.1%6.8%21.3%18.7%29.3%11.1%0.7%220.9K-4.4M-11.1K2.6453.96N/AN/A22581,800521
2011-04-07$40.52$35.0018.3%6.7%18.2%14.3%20.5%10.4%1.5%228.4K-4.4M-11.8K0.3748.01N/AN/A63231,802579
2011-04-08$39.55$35.0019.3%6.6%18.0%16.7%24.7%9.2%1.0%228.8K-3.5M-12.2K2.3341.15N/AN/A9211,801602
2011-04-11$39.73$35.0021.4%6.8%17.7%21.7%23.7%9.9%0.3%244.3K-3.7M-11.9K0.0339.81N/AN/A22461,800623
2011-04-12$38.77$35.0016.4%6.9%19.9%9.8%20.9%7.7%0.8%211.3K-3.3M-12.8K0.0038.33N/AN/A1102,009622
2011-04-13$38.54$35.0028.6%6.7%18.6%38.7%31.4%6.8%0.7%209.0K-2.9M-12.5K0.0939.37N/AN/A8071,982620
2011-04-14$38.77$35.0022.8%6.5%18.6%24.9%22.8%8.1%1.6%230.8K-3.1M-12.3K2.0840.59N/AN/A13271,971621
2011-04-15$39.01$35.0022.5%6.4%18.7%24.2%17.7%8.5%1.5%245.9K-3.3M-11.9K0.0540.26N/AN/A196101,968638
2011-04-18$38.45$35.0023.1%6.6%18.8%25.6%24.1%6.7%-1.1%176.2K-2.7M-12.5K0.1340.05N/AN/A811,832546
2011-04-19$38.64$35.0021.6%6.2%18.4%22.3%22.1%7.4%-0.7%192.6K-2.8M-12.2K0.4634.70N/AN/A26121,832547
2011-04-20$38.92$35.0021.2%6.1%18.5%21.2%21.3%7.2%0.3%206.4K-3.1M-12.4K0.2634.50N/AN/A77201,842549
2011-04-21$38.97$35.0021.6%6.2%16.8%22.2%0.0%8.1%-0.6%216.7K-3.2M-12.6K0.0039.69N/AN/A1601,909569
2011-04-25$39.00$35.0020.9%6.0%16.8%20.6%0.0%6.6%0.5%231.4K-3.2M-12.0K0.0045.45N/AN/A0101,925569
2011-04-26$39.76$35.0019.0%5.5%17.7%16.1%19.0%9.8%1.8%269.0K-3.8M-12.4K0.0042.42N/AN/A14301,925579
2011-04-27$38.95$35.0019.7%5.7%18.7%17.7%19.8%6.7%0.4%249.4K-3.2M-12.1K0.0031.18N/AN/A4201,981579
2011-04-28$38.78$35.0019.6%5.6%18.7%17.5%19.8%6.5%0.8%240.5K-3.0M-11.8K0.0044.69N/AN/A1101,972579
2011-04-29$38.66$35.0019.0%5.4%17.9%15.9%19.2%6.8%0.6%239.8K-3.0M-11.6K0.0058.60N/AN/A1001,969579