PCH Options History — July 2011

In July 2011, PCH traded between $33.22 and $36.98. ATM implied volatility averaged 23.1%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.0% (HV 20d: 23.0%). 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 1.28.

Notable Days

  • 2011-07-06: Highest Volume — 324 contracts
  • 2011-07-14: Largest IV spike — 29.8% change
  • 2011-07-15: Highest IV Rank — 49.6%
  • 2011-07-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.40$33.22$36.98$36.13$33.22
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.1%18.9%28.5%19.7%20.8%
Expected Move7.2%5.4%8.2%5.6%6.0%
HV 20d23.0%20.6%26.2%26.2%24.3%
HV 60d27.1%26.4%27.9%26.9%27.6%
IV Rank33.0%20.3%49.6%22.6%26.2%
IV Percentile34.8%14.3%65.5%18.3%23.8%
Term Structure1.4%-1.4%8.5%8.5%1.8%
VWIV24.1%12.8%28.5%21.5%15.7%
Skew 25d6.2%0.2%21.9%5.3%3.1%
Skew 10d10.1%-1.4%36.6%36.6%8.7%
Call IV 25d20.8%15.7%25.0%17.8%25.0%
Put IV 25d27.0%21.3%42.9%23.1%28.1%
Bid-Ask Spread %43.4734.4263.5941.0845.50
Gamma HHI0.560.440.710.460.44
Net GEX95.0K17.2K177.6K153.2K17.2K
Net DEX-1.1M-2.7M952.6K-2.0M952.6K
Net VEX-12.1K-14.0K-9.0K-13.0K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.006.900.270.00
Total Volume5603241914
Total OI3,159.052,8693,4913,0803,051

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$36.13$35.0019.7%5.6%26.2%22.6%21.5%5.3%8.5%153.2K-2.0M-13.0K0.2741.08N/AN/A1542,369711
2011-07-05$36.14$35.0025.3%8.0%25.9%39.8%27.8%1.0%-0.2%151.6K-2.1M-13.0K0.5348.02N/AN/A1792,373715
2011-07-06$36.79$35.0018.9%7.5%25.3%20.3%25.6%1.4%0.6%152.6K-2.7M-12.7K2.8645.12N/AN/A842402,380716
2011-07-07$36.98$35.0019.8%7.3%25.3%22.9%20.6%4.3%2.4%130.1K-2.7M-14.0K0.0037.18N/AN/A2302,454947
2011-07-08$36.74$35.0019.0%7.4%25.5%20.7%25.7%5.1%1.7%125.7K-2.6M-14.0K0.0040.60N/AN/A802,474947
2011-07-11$36.13$35.0022.8%7.5%22.3%32.3%12.8%9.4%1.0%124.7K-2.1M-13.5K0.1063.59N/AN/A1012,476947
2011-07-12$36.32$35.0019.2%7.5%22.2%21.1%26.3%1.4%1.1%114.5K-2.3M-13.3K0.0036.80N/AN/A012,484948
2011-07-13$36.14$35.0021.0%7.7%20.9%26.8%26.9%0.2%0.5%114.0K-2.2M-13.1K0.0037.97N/AN/A14602,484949
2011-07-14$34.98$35.0027.3%7.8%22.5%45.9%27.3%11.0%0.4%141.3K-710.4K-12.5K2.7742.79N/AN/A22612,524949
2011-07-15$35.32$35.0028.5%8.2%22.3%49.6%28.5%13.1%-1.4%177.6K-1.4M-13.0K0.0047.66N/AN/A3502,542949
2011-07-18$34.89$35.0025.9%7.4%22.2%41.7%25.9%10.5%1.4%63.5K-477.1K-11.8K0.4551.73N/AN/A1152,054815
2011-07-19$35.53$35.0027.8%8.0%21.8%47.4%27.8%6.1%-1.1%81.7K-919.3K-12.5K6.9034.42N/AN/A10692,061820
2011-07-20$35.44$35.0026.8%7.7%20.9%44.5%26.8%5.4%0.1%73.2K-769.9K-12.3K1.1341.54N/AN/A31352,071872
2011-07-21$35.70$35.0025.9%7.4%21.0%41.6%0.0%6.7%0.8%77.2K-944.7K-12.2K0.0044.86N/AN/A002,094907
2011-07-22$35.37$35.0026.3%7.5%20.6%42.8%22.1%4.7%0.2%66.1K-659.0K-11.9K0.0040.21N/AN/A8102,094907
2011-07-25$34.95$35.0023.1%6.6%21.1%33.1%22.9%2.8%3.1%52.1K-414.0K-11.2K4.0040.73N/AN/A5202,105907
2011-07-26$34.42$35.0023.7%6.8%21.6%34.9%23.7%21.9%2.2%38.7K168.3K-10.4K1.0043.61N/AN/A552,103926
2011-07-27$33.30$35.0020.8%6.0%24.1%26.2%26.1%3.9%2.1%26.0K746.1K-9.3K0.5241.62N/AN/A73382,101931
2011-07-28$33.48$35.0018.9%5.4%24.3%20.4%15.7%6.4%3.7%18.7K794.1K-9.4K2.5044.44N/AN/A12302,066958
2011-07-29$33.22$35.0020.8%6.0%24.3%26.2%0.0%3.1%1.8%17.2K952.6K-9.0K0.0045.50N/AN/A1402,072979