PCH Options History — August 2011

In August 2011, PCH traded between $29.12 and $34.20. ATM implied volatility averaged 34.6%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 22.0% (HV 20d: 56.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.46.

Notable Days

  • 2011-08-22: Highest Volume — 128 contracts
  • 2011-08-04: Largest IV spike — 84.2% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.63$29.12$34.20$32.74$33.56
Max Pain$34.35$30.00$35.00$35.00$35.00
ATM IV34.6%17.6%48.6%21.6%28.8%
Expected Move10.1%5.0%14.4%6.2%8.3%
HV 20d56.6%21.1%72.5%22.4%72.5%
HV 60d40.8%27.3%47.1%27.7%45.5%
IV Rank62.8%16.3%100.0%28.7%45.5%
IV Percentile81.4%8.3%100.0%28.2%75.0%
Term Structure-1.4%-8.4%11.4%0.1%-1.4%
VWIV35.5%14.5%48.2%25.0%33.9%
Skew 25d11.4%4.3%17.8%6.2%8.8%
Skew 10d20.2%5.7%33.0%10.3%31.5%
Call IV 25d31.5%15.1%37.9%25.2%32.4%
Put IV 25d43.0%31.0%53.7%31.4%41.2%
Bid-Ask Spread %53.0538.4786.4344.9043.70
Gamma HHI0.390.320.520.410.39
Net GEX20.2K61050.8K11.0K49.9K
Net DEX665.5K-555.9K1.7M1.2M-481.6K
Net VEX-7.8K-9.1K-5.8K-7.9K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.0043.500.260.00
Total Volume49.7392128544
Total OI2,626.5651,5283,2423,0371,813

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$32.74$35.0021.6%6.2%22.4%28.7%25.0%6.2%0.1%11.0K1.2M-7.9K0.2644.90N/AN/A43112,058979
2011-08-02$32.70$35.0024.2%6.9%22.4%36.5%25.1%9.4%-0.4%13.7K1.1M-8.1K0.0042.43N/AN/A3902,071983
2011-08-03$32.86$35.0017.6%5.0%21.1%16.3%14.5%16.0%11.4%8.8K1.2M-7.7K2.0543.49N/AN/A20412,040983
2011-08-04$31.95$35.0032.4%9.3%22.1%61.6%30.5%4.3%5.7%3.7K1.4M-7.6K0.2048.24N/AN/A69142,0281,023
2011-08-05$31.91$35.0034.7%11.2%22.2%68.6%38.5%10.0%-4.5%4.1K1.4M-7.4K5.0046.63N/AN/A8402,0281,008
2011-08-08$29.12$35.0046.4%13.8%37.3%100.0%48.2%13.8%-8.4%6101.7M-5.8K0.1886.43N/AN/A2242,0281,004
2011-08-09$32.89$35.0030.7%10.0%59.9%54.0%41.6%7.8%-2.4%12.2K946.3K-8.1K1.0054.59N/AN/A28282,0421,003
2011-08-10$31.41$30.0048.6%14.4%61.7%100.0%45.7%17.8%-7.3%8.4K1.2M-7.6K2.5569.29N/AN/A11282,0571,027
2011-08-11$33.43$30.0038.6%11.1%65.6%72.4%37.5%16.3%-4.0%8.8K539.9K-8.9K0.0559.19N/AN/A10152,0581,030
2011-08-12$33.23$30.0032.4%9.3%65.4%55.5%34.1%13.1%-1.6%15.9K825.8K-8.6K1.1369.68N/AN/A30342,1461,035
2011-08-15$34.09$35.0035.7%10.2%66.1%64.4%0.0%12.0%-3.6%23.9K256.6K-8.9K0.0053.10N/AN/A2902,1691,056
2011-08-16$33.50$35.0034.3%9.8%65.9%60.5%0.0%12.6%-1.1%20.6K1.0M-8.0K0.2050.58N/AN/A1022,1821,056
2011-08-17$33.62$35.0033.6%9.6%65.9%58.8%0.0%10.7%-0.3%19.6K970.2K-7.9K0.0038.47N/AN/A4502,1841,058
2011-08-18$31.87$35.0045.5%13.1%68.2%91.5%36.9%9.9%-5.4%13.9K1.4M-6.5K0.0661.37N/AN/A4832,1751,000
2011-08-19$31.24$35.0044.6%12.8%68.4%89.0%44.6%13.7%-3.2%14.2K1.4M-6.2K43.5049.51N/AN/A2872,1741,001
2011-08-22$31.31$35.0045.9%13.2%68.4%92.6%40.8%15.1%-4.5%9.4K428.7K-5.9K0.1452.23N/AN/A112161,019509
2011-08-23$32.57$35.0029.7%8.5%70.1%47.9%0.0%12.5%0.4%23.3K84.9K-7.3K0.0049.29N/AN/A11701,101525
2011-08-24$33.38$35.0034.0%9.7%69.8%59.7%0.0%11.3%-1.9%37.9K-266.2K-8.5K0.3351.35N/AN/A1551,198525
2011-08-25$32.30$35.0047.5%13.6%70.7%96.8%0.0%11.3%-6.0%29.1K-31.9K-8.1K0.0048.07N/AN/A201,210530
2011-08-26$32.99$35.0028.4%8.1%71.2%44.3%0.0%12.6%5.3%35.0K-199.6K-8.4K0.0058.22N/AN/A801,212530
2011-08-29$34.20$35.0034.0%9.8%72.1%59.9%0.0%8.7%-2.2%50.7K-555.9K-9.1K0.0048.16N/AN/A5301,220530
2011-08-30$33.55$35.0026.9%7.7%72.5%40.4%0.0%8.9%2.3%50.8K-503.9K-8.9K0.0051.11N/AN/A1001,273530
2011-08-31$33.56$35.0028.8%8.3%72.5%45.5%33.9%8.8%-1.4%49.9K-481.6K-8.8K0.0043.70N/AN/A401,283530