PCH Options History — June 2011

In June 2011, PCH traded between $33.06 and $35.54. ATM implied volatility averaged 25.2%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 9.3% (HV 20d: 34.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2011-06-07: Highest Volume — 830 contracts
  • 2011-06-03: Largest IV spike — 43.9% change
  • 2011-06-17: Highest IV Rank — 44.6%
  • 2011-06-17: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.74$33.06$35.54$34.20$35.27
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.2%15.4%27.3%24.1%24.7%
Expected Move7.2%4.4%7.8%6.9%7.1%
HV 20d34.5%26.5%37.8%26.5%29.8%
HV 60d25.7%23.3%26.7%23.3%26.4%
IV Rank38.5%9.2%44.6%35.1%37.1%
IV Percentile40.7%3.6%51.6%32.1%37.7%
Term Structure1.4%-1.1%10.5%-1.1%0.8%
VWIV25.5%17.5%32.8%24.0%24.9%
Skew 25d8.0%-0.8%21.8%-0.8%3.0%
Skew 10d12.5%0.2%39.0%0.2%4.6%
Call IV 25d20.4%13.8%23.1%23.1%22.1%
Put IV 25d28.3%22.3%44.0%22.3%25.1%
Bid-Ask Spread %37.2722.1948.5739.5336.17
Gamma HHI0.560.430.850.490.46
Net GEX81.3K9.5K133.8K19.4K133.8K
Net DEX-634.5K-1.6M565.7K291.0K-1.4M
Net VEX-10.9K-13.7K-5.8K-6.9K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0016.500.170.00
Total Volume120.13678302135
Total OI2,563.1821,7113,0931,7113,093

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$34.20$35.0024.1%6.9%26.5%35.1%24.0%-0.8%-1.1%19.4K291.0K-6.9K0.1739.53N/AN/A1831,195516
2011-06-02$33.06$35.0015.4%4.4%27.8%9.2%17.5%18.2%10.5%9.5K565.7K-5.8K0.3539.24N/AN/A40141,211516
2011-06-03$34.67$35.0022.1%6.6%33.6%29.3%0.0%9.4%1.4%26.6K73.5K-7.8K0.0036.58N/AN/A24501,240527
2011-06-06$34.38$35.0026.1%6.9%33.6%41.1%0.0%10.5%0.9%28.4K52.4K-7.9K0.2941.61N/AN/A69201,271527
2011-06-07$35.20$35.0024.4%7.3%34.6%36.2%18.6%11.4%0.3%39.6K-208.3K-8.7K0.0744.76N/AN/A773571,308547
2011-06-08$35.21$35.0025.0%7.2%32.8%37.9%0.0%11.1%1.6%68.2K-457.2K-10.1K3.3346.28N/AN/A3101,842597
2011-06-09$35.08$35.0026.1%7.5%32.5%41.1%26.1%10.4%0.3%67.5K-483.5K-10.4K2.3346.39N/AN/A6141,844597
2011-06-10$33.84$35.0025.6%7.3%34.1%39.7%25.6%7.4%0.8%43.0K130.3K-8.8K1.4836.80N/AN/A29431,845600
2011-06-13$34.15$35.0026.2%7.5%34.0%41.4%26.2%9.1%0.5%43.7K59.3K-9.3K0.0036.02N/AN/A5901,854640
2011-06-14$34.99$35.0025.7%7.4%35.4%39.9%25.7%11.4%0.8%62.2K-425.2K-10.2K0.0443.91N/AN/A453171,897640
2011-06-15$34.16$35.0026.4%7.6%36.2%41.9%0.0%9.5%0.9%81.2K-357.0K-11.4K0.0033.62N/AN/A1002,259649
2011-06-16$34.62$35.0027.0%7.7%36.5%43.9%27.7%9.8%1.2%79.6K-668.3K-11.7K0.1848.57N/AN/A198362,143628
2011-06-17$34.17$35.0027.3%7.8%36.6%44.6%27.3%9.8%1.0%92.1K-653.6K-12.5K4.4039.97N/AN/A20882,316653
2011-06-20$34.92$35.0027.2%7.8%37.1%44.3%27.2%3.6%0.2%115.2K-1.2M-13.0K0.6938.36N/AN/A16112,210624
2011-06-21$35.54$35.0025.5%7.3%37.5%39.3%25.5%5.9%1.6%131.7K-1.6M-13.6K0.0532.39N/AN/A10352,218635
2011-06-22$35.37$35.0025.3%7.2%37.6%38.7%0.0%5.1%2.0%131.4K-1.6M-13.7K0.0222.19N/AN/A5512,242634
2011-06-23$34.88$35.0026.4%7.6%37.8%41.9%32.8%1.1%1.5%119.3K-1.2M-12.8K16.5030.91N/AN/A2332,297635
2011-06-24$34.89$35.0026.2%7.5%37.8%41.5%26.2%2.2%1.8%116.3K-1.1M-12.7K0.0034.92N/AN/A072,295661
2011-06-27$35.11$35.0026.6%7.6%37.5%42.5%26.6%2.3%1.3%123.3K-1.2M-12.8K0.0534.58N/AN/A2212,295668
2011-06-28$35.40$35.0026.8%7.7%37.6%43.3%26.8%21.8%1.1%132.7K-1.4M-12.9K2.5327.52N/AN/A17432,317668
2011-06-29$35.23$35.0024.9%7.1%32.6%37.6%24.9%2.9%2.4%123.6K-1.3M-13.2K0.0029.59N/AN/A6702,325711
2011-06-30$35.27$35.0024.7%7.1%29.8%37.1%0.0%3.0%0.8%133.8K-1.4M-13.0K0.0036.17N/AN/A3502,382711