PCH Options History — October 2011

In October 2011, PCH traded between $29.80 and $34.74. ATM implied volatility averaged 42.6%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 11.2% (HV 20d: 53.8%). 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 4 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2011-10-06: Highest Volume — 302 contracts
  • 2011-10-31: Largest IV spike — 90.7% change
  • 2011-10-31: Highest IV Rank — 93.5%
  • 2011-10-31: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.19$29.80$34.74$29.80$32.48
Max Pain$34.05$30.00$35.00$30.00$35.00
ATM IV42.6%30.6%58.3%50.0%58.3%
Expected Move12.3%8.8%16.7%14.3%16.7%
HV 20d53.8%43.4%60.1%43.4%56.9%
HV 60d54.9%50.4%58.6%50.4%58.6%
IV Rank61.7%37.2%93.5%76.6%93.5%
IV Percentile89.7%70.2%99.6%98.4%99.6%
Term Structure-5.0%-21.0%4.5%-2.1%-18.4%
VWIV43.3%32.4%71.1%53.8%71.1%
Skew 25d8.7%-1.7%22.9%22.9%11.0%
Skew 10d10.6%-10.4%36.5%36.5%5.6%
Call IV 25d38.5%32.7%44.6%35.4%42.4%
Put IV 25d47.2%38.7%58.3%58.3%53.3%
Bid-Ask Spread %82.9737.14119.8546.81119.85
Gamma HHI0.490.410.580.410.48
Net GEX64.9K23.1K103.4K23.1K49.7K
Net DEX-564.1K-1.3M437.4K260.1K-33.2K
Net VEX-8.0K-9.6K-6.0K-6.0K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.0030.001.230.96
Total Volume55.4290302298
Total OI2,221.5711,9262,3661,9262,293

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$29.80$30.0050.0%14.3%43.4%76.6%53.8%22.9%-2.1%23.1K260.1K-6.0K0.0046.81N/AN/A021,414512
2011-10-04$31.95$30.0051.3%14.7%50.4%79.3%50.5%12.0%-3.7%43.2K-259.2K-7.5K1.2350.75N/AN/A47581,414514
2011-10-05$32.19$30.0047.6%13.6%49.4%71.8%0.0%9.3%-0.2%47.9K-387.6K-7.6K0.0041.35N/AN/A1301,438520
2011-10-06$33.51$30.0036.1%10.3%51.0%48.4%40.7%10.9%3.4%67.6K-871.2K-8.4K2.8237.14N/AN/A792231,447520
2011-10-07$32.53$35.0031.0%11.4%50.5%38.1%43.5%9.6%-1.9%49.2K-295.0K-8.7K0.0041.01N/AN/A2001,525679
2011-10-10$34.14$35.0039.6%12.2%52.9%55.5%40.0%10.8%-4.7%71.7K-965.8K-9.5K0.0039.44N/AN/A22101,539679
2011-10-11$33.30$35.0042.8%11.9%53.9%62.1%41.5%8.7%-2.1%70.5K-763.4K-9.4K0.0078.57N/AN/A201,668679
2011-10-12$34.12$35.0046.7%11.4%53.4%70.0%40.4%9.2%-1.2%85.2K-1.1M-9.6K0.0072.37N/AN/A2401,670679
2011-10-13$33.71$35.0038.8%11.1%53.7%53.9%0.0%8.0%-0.4%78.9K-819.7K-9.0K0.0075.24N/AN/A001,668679
2011-10-14$34.48$35.0038.9%11.2%53.7%54.2%38.8%10.1%4.5%90.2K-1.2M-9.3K0.0097.62N/AN/A4301,668679
2011-10-17$33.36$35.0039.9%11.4%54.9%56.1%0.0%5.9%-5.3%76.0K-686.2K-8.4K0.0096.31N/AN/A001,684679
2011-10-18$34.74$35.0039.0%11.2%56.4%54.3%39.0%3.6%2.5%76.8K-1.3M-9.1K0.00100.50N/AN/A201,684679
2011-10-19$34.02$35.0039.5%11.3%54.8%55.3%0.0%9.3%-3.6%103.4K-986.4K-8.5K0.0099.35N/AN/A301,684679
2011-10-20$33.42$35.0039.8%11.4%54.3%56.0%0.0%7.0%-2.8%75.7K-609.3K-8.0K0.0098.14N/AN/A001,687679
2011-10-21$33.94$35.0042.7%12.2%54.4%61.9%42.7%6.9%-6.3%96.9K-836.0K-8.2K30.00102.96N/AN/A1301,687679
2011-10-24$33.73$35.0031.7%9.1%54.5%39.5%32.4%8.2%-12.0%62.1K-666.8K-7.3K0.0096.10N/AN/A6001,509598
2011-10-25$32.16$35.0052.6%15.1%56.7%81.9%39.1%13.2%-15.1%43.3K-3.1K-6.3K14.25112.86N/AN/A81141,522598
2011-10-26$31.74$35.0049.5%14.2%56.0%75.6%41.8%3.0%0.4%31.2K437.4K-6.3K0.00113.17N/AN/A0171,527705
2011-10-27$34.19$35.0049.1%14.1%60.1%74.8%43.2%5.5%-21.0%56.2K-388.6K-7.4K0.45114.15N/AN/A33151,527717
2011-10-28$33.57$35.0030.6%8.8%59.4%37.2%34.7%-1.7%-15.5%64.6K-394.6K-7.4K3.64108.74N/AN/A11401,528717
2011-10-31$32.48$35.0058.3%16.7%56.9%93.5%71.1%11.0%-18.4%49.7K-33.2K-7.1K0.96119.85N/AN/A50481,536757