PCH Options History — September 2011

In September 2011, PCH traded between $30.47 and $33.01. ATM implied volatility averaged 45.2%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 0.4% (HV 20d: 45.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-09-29: Highest Volume — 130 contracts
  • 2011-09-02: Largest IV spike — 33.8% change
  • 2011-09-09: Highest IV Rank — 100.0%
  • 2011-09-02: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.68$30.47$33.01$32.74$31.52
Max Pain$32.86$30.00$35.00$35.00$30.00
ATM IV45.2%33.6%61.5%35.4%45.3%
Expected Move12.0%9.6%13.6%10.2%13.0%
HV 20d45.6%36.8%73.9%72.3%41.3%
HV 60d47.1%45.8%49.2%45.8%49.2%
IV Rank73.4%43.3%100.0%63.8%67.1%
IV Percentile95.4%84.9%100.0%93.7%94.8%
Term Structure-0.3%-7.2%2.6%2.6%2.3%
VWIV39.3%29.9%45.6%29.9%43.7%
Skew 25d11.0%5.4%25.3%15.8%10.4%
Skew 10d24.1%13.7%45.7%28.6%24.4%
Call IV 25d35.5%28.9%39.6%30.4%38.1%
Put IV 25d46.4%40.0%54.2%46.2%48.5%
Bid-Ask Spread %47.0029.6361.3443.7246.93
Gamma HHI0.410.340.480.390.45
Net GEX31.4K7.4K52.8K39.5K40.6K
Net DEX26.0K-509.9K571.6K-200.2K-181.3K
Net VEX-7.1K-8.2K-5.9K-8.1K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.006.670.000.00
Total Volume37.810130183
Total OI1,869.4291,7611,9351,8131,923

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$32.74$35.0035.4%10.2%72.3%63.8%29.9%15.8%2.6%39.5K-200.2K-8.1K0.0043.72N/AN/A1801,283530
2011-09-02$31.40$35.0047.4%13.6%73.9%96.7%0.0%25.3%-7.2%23.0K153.5K-7.3K0.0045.44N/AN/A0101,289530
2011-09-06$31.31$30.0043.7%11.4%65.7%86.4%0.0%8.2%-1.3%18.5K223.5K-6.8K0.0061.34N/AN/A5001,289540
2011-09-07$32.22$30.0041.2%11.1%49.9%79.6%0.0%5.4%-0.1%31.1K12.8K-7.2K6.6745.42N/AN/A3201,297540
2011-09-08$31.73$30.0043.9%11.7%47.4%87.0%0.0%8.7%-0.5%20.8K137.4K-6.9K0.0048.95N/AN/A101,300559
2011-09-09$30.64$30.0055.6%12.3%42.9%100.0%41.9%10.9%-1.2%10.0K432.0K-6.1K1.3148.02N/AN/A35461,300559
2011-09-12$30.47$35.0057.4%12.8%42.9%100.0%0.0%13.0%-2.9%7.4K571.6K-6.0K0.2547.49N/AN/A411,316605
2011-09-13$30.94$35.0055.7%12.2%42.1%96.3%0.0%11.1%-1.0%7.5K494.1K-5.9K0.0043.28N/AN/A2201,312604
2011-09-14$31.92$35.0061.5%11.5%43.7%100.0%0.0%9.0%2.2%24.7K235.3K-6.6K1.5442.75N/AN/A13201,324604
2011-09-15$32.12$35.0041.8%12.0%43.8%60.0%40.4%8.5%-0.9%30.1K114.2K-6.9K0.0053.94N/AN/A5101,298594
2011-09-16$32.88$35.0034.6%9.9%40.2%45.4%34.3%8.9%0.1%43.5K-186.3K-7.7K0.0029.63N/AN/A8101,341594
2011-09-19$32.48$35.0041.5%11.9%39.7%59.4%41.7%8.4%1.0%46.5K-283.5K-7.6K0.0142.56N/AN/A9311,281480
2011-09-20$33.01$35.0033.6%9.6%40.1%43.3%33.6%9.6%1.0%52.8K-509.9K-8.2K0.0049.78N/AN/A2901,322481
2011-09-21$31.67$35.0041.9%12.0%40.5%60.2%39.0%8.8%-0.8%40.0K-97.7K-7.1K0.9240.52N/AN/A12111,345481
2011-09-22$30.87$35.0045.6%13.1%40.1%67.8%45.6%12.9%-1.0%32.4K84.1K-6.7K0.0046.66N/AN/A0151,357487
2011-09-23$30.86$35.0045.1%12.9%38.6%66.7%45.1%11.6%-0.9%30.2K130.7K-6.5K0.2347.86N/AN/A4091,357492
2011-09-26$31.07$30.0045.3%13.0%37.8%67.2%37.5%11.7%-1.4%32.1K82.4K-6.6K0.0057.20N/AN/A801,390501
2011-09-27$31.96$30.0043.6%12.5%36.8%63.7%43.7%11.6%-0.1%43.5K-218.1K-7.4K0.7447.06N/AN/A39291,397494
2011-09-28$31.09$30.0043.1%12.3%37.4%62.6%0.0%11.1%1.2%36.7K-68.8K-7.3K0.0049.00N/AN/A001,419512
2011-09-29$32.45$30.0045.6%13.1%40.9%67.7%0.0%9.3%1.8%48.4K-380.5K-7.9K0.0049.38N/AN/A13001,419512
2011-09-30$31.52$30.0045.3%13.0%41.3%67.1%0.0%10.4%2.3%40.6K-181.3K-7.4K0.0046.93N/AN/A301,411512