PCH Options History — May 2011

In May 2011, PCH traded between $35.40 and $38.17. ATM implied volatility averaged 24.5%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.3% (HV 20d: 20.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2011-05-23: Highest Volume — 124 contracts
  • 2011-05-04: Largest IV spike — 104.2% change
  • 2011-05-10: Highest IV Rank — 68.1%
  • 2011-05-05: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.75$35.40$38.17$38.05$36.00
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.5%12.7%36.4%16.2%22.8%
Expected Move6.6%3.6%8.2%4.6%6.5%
HV 20d20.2%18.1%21.9%18.1%20.1%
HV 60d22.5%21.0%23.7%22.7%21.0%
IV Rank34.1%1.1%68.1%9.4%31.4%
IV Percentile33.7%0.4%85.7%4.0%26.6%
Term Structure1.2%-1.3%8.8%0.3%-0.8%
VWIV22.7%12.6%29.0%12.6%22.8%
Skew 25d7.1%-1.7%18.2%5.2%18.2%
Skew 10d8.3%-3.8%34.9%8.2%34.9%
Call IV 25d18.4%11.6%25.2%19.7%18.8%
Put IV 25d25.5%21.3%37.1%24.9%37.1%
Bid-Ask Spread %44.0733.0260.1656.0535.31
Gamma HHI0.660.470.850.830.55
Net GEX90.9K23.2K196.9K196.9K34.8K
Net DEX-1.3M-2.5M88.0K-2.5M-63.5K
Net VEX-9.0K-11.1K-7.5K-11.1K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0010.000.000.08
Total Volume37.66751241026
Total OI2,330.6191,5042,7172,5481,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$38.05$35.0016.2%4.6%18.1%9.4%0.0%5.2%0.3%196.9K-2.5M-11.1K0.0056.05N/AN/A1001,969579
2011-05-03$37.77$35.0012.7%3.6%18.2%1.1%12.6%13.5%8.8%185.1K-2.3M-11.0K0.2745.28N/AN/A3391,979579
2011-05-04$36.97$35.0026.0%7.4%19.2%32.5%26.3%9.3%0.7%149.2K-1.8M-10.4K2.0047.22N/AN/A6121,963588
2011-05-05$37.02$35.0028.5%8.2%19.3%38.6%29.0%13.4%-0.9%151.8K-1.7M-10.3K10.0044.69N/AN/A5501,969588
2011-05-06$36.77$35.0025.3%7.5%19.2%30.9%0.0%10.3%0.5%134.5K-1.5M-9.8K0.0857.57N/AN/A2421,974611
2011-05-09$37.15$35.0024.2%7.4%18.4%33.7%0.0%12.0%2.2%142.5K-1.7M-9.7K0.0060.16N/AN/A1101,956611
2011-05-10$38.17$35.0036.4%4.7%21.2%68.1%17.6%7.6%5.5%196.0K-2.5M-10.9K0.5039.65N/AN/A28141,965611
2011-05-11$37.54$35.0030.7%5.0%20.3%51.9%0.0%8.3%3.8%111.0K-2.0M-9.5K0.0037.34N/AN/A1201,966619
2011-05-12$37.86$35.0016.8%4.8%20.5%12.8%0.0%5.6%3.7%135.7K-2.1M-9.5K10.0037.95N/AN/A1101,966619
2011-05-13$37.07$35.0026.5%7.6%21.5%40.1%26.5%13.3%0.8%66.3K-1.7M-8.5K5.4044.49N/AN/A15811,966619
2011-05-16$36.75$35.0027.5%7.9%21.4%42.9%22.0%5.1%-0.3%58.9K-1.6M-8.7K0.2245.24N/AN/A90201,979683
2011-05-17$36.62$35.0027.1%7.8%21.0%41.7%0.0%3.1%-0.1%57.5K-1.5M-8.5K0.0045.42N/AN/A502,013703
2011-05-18$36.95$35.0026.6%7.6%21.2%40.3%0.0%5.5%0.4%53.9K-1.6M-8.7K0.0042.83N/AN/A1202,014703
2011-05-19$36.84$35.0025.7%7.4%20.9%37.8%0.0%2.8%0.6%46.7K-1.4M-8.3K0.3046.13N/AN/A1031,986700
2011-05-20$36.09$35.0024.9%7.1%21.8%37.4%0.0%-1.7%0.6%51.1K-1.2M-7.9K0.0041.20N/AN/A6301,991700
2011-05-23$35.67$35.0024.3%7.0%21.9%35.7%24.6%4.1%-0.5%23.2K77.6K-7.5K0.0742.99N/AN/A11681,015489
2011-05-24$35.70$35.0023.6%6.8%20.1%33.9%23.7%3.8%-0.3%25.3K75.6K-7.9K0.0037.79N/AN/A1101,101497
2011-05-25$35.48$35.0023.3%6.7%19.3%32.7%0.0%2.9%0.4%24.6K87.6K-7.6K0.2143.25N/AN/A58121,110497
2011-05-26$35.40$35.0022.4%6.4%19.3%30.0%22.4%2.4%0.8%26.9K88.0K-7.6K0.3341.92N/AN/A1551,166509
2011-05-27$35.92$35.0023.2%6.7%20.5%32.6%0.0%4.9%-1.3%36.5K-58.6K-7.9K0.0033.02N/AN/A1401,177514
2011-05-31$36.00$35.0022.8%6.5%20.1%31.4%22.8%18.2%-0.8%34.8K-63.5K-7.8K0.0835.31N/AN/A2421,185514