PCH Options History — November 2011

In November 2011, PCH traded between $29.86 and $33.01. ATM implied volatility averaged 43.3%, placing in the 63.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 4.4% (HV 20d: 47.6%). Max pain ranged from $30.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2011-11-11: Highest Volume — 271 contracts
  • 2011-11-09: Largest IV spike — 58.5% change
  • 2011-11-09: Highest IV Rank — 99.7%
  • 2011-11-03: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.40$29.86$33.01$30.87$32.16
Max Pain$38.57$30.00$50.00$35.00$30.00
ATM IV43.3%25.9%61.3%46.4%25.9%
Expected Move11.7%7.2%16.0%13.3%7.4%
HV 20d47.6%36.2%54.8%54.6%36.4%
HV 60d48.2%45.8%56.4%56.4%47.0%
IV Rank63.0%27.7%99.7%69.3%27.7%
IV Percentile84.3%48.8%99.6%93.7%48.8%
Term Structure-1.9%-24.4%15.8%0.8%5.4%
VWIV37.5%27.9%46.3%27.9%34.1%
Skew 25d9.1%-11.4%33.6%-11.4%4.7%
Skew 10d10.8%-0.3%56.9%7.3%9.5%
Call IV 25d29.2%18.2%39.7%39.7%22.8%
Put IV 25d38.4%27.5%68.2%28.4%27.5%
Bid-Ask Spread %112.7678.62123.82121.86111.44
Gamma HHI0.480.390.600.410.60
Net GEX23.9K5.9K54.1K16.7K30.8K
Net DEX519.4K-411.3K926.0K888.4K-411.3K
Net VEX-5.8K-6.5K-5.0K-5.8K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.381.330.00
Total Volume66.5245271598
Total OI2,102.9521,1632,6352,3471,523

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$30.87$35.0046.4%13.3%54.6%69.3%0.0%-11.4%0.8%16.7K888.4K-5.8K0.00121.86N/AN/A051,542805
2011-11-02$31.33$35.0046.6%13.4%54.8%69.7%27.9%-8.4%-24.4%21.6K871.4K-5.8K1.33120.52N/AN/A15201,542805
2011-11-03$32.11$35.0055.9%16.0%53.5%88.7%38.7%7.2%-21.3%27.5K644.8K-6.2K0.56123.82N/AN/A27151,533812
2011-11-04$32.21$50.0051.4%10.3%52.5%79.5%0.0%15.3%13.8%36.0K565.5K-6.2K0.00112.18N/AN/A2901,560807
2011-11-07$32.22$50.0056.9%12.7%49.2%90.7%44.1%11.9%-3.7%26.3K785.1K-5.6K0.23113.24N/AN/A2251,589807
2011-11-08$33.01$50.0038.7%7.2%49.4%53.7%0.0%19.4%15.8%54.1K317.9K-6.5K0.00118.46N/AN/A5101,610800
2011-11-09$31.57$50.0061.3%13.9%50.9%99.7%40.0%8.1%-13.1%30.0K617.7K-6.0K0.00114.41N/AN/A0101,580800
2011-11-10$31.51$50.0046.4%13.3%50.8%69.4%37.7%10.3%-6.2%21.5K869.3K-5.3K0.89113.03N/AN/A981,580808
2011-11-11$32.47$50.0044.6%12.8%51.4%65.7%32.5%4.3%-2.6%38.0K617.4K-5.8K0.08111.90N/AN/A250211,589812
2011-11-14$31.62$35.0045.9%13.2%50.9%68.3%0.0%19.5%-4.7%34.0K652.7K-6.2K0.00119.78N/AN/A7001,773833
2011-11-15$32.12$35.0040.2%11.5%48.8%56.7%40.6%7.8%9.4%37.1K693.0K-6.0K0.00109.03N/AN/A0821,788833
2011-11-16$31.73$35.0042.2%12.1%48.5%60.9%31.8%14.7%-2.8%28.4K765.3K-5.9K0.00118.43N/AN/A0101,788837
2011-11-17$31.15$35.0046.3%13.3%48.5%69.2%46.3%23.8%2.8%17.5K821.3K-5.9K0.45109.52N/AN/A33151,788847
2011-11-18$31.42$35.0038.7%11.1%48.2%53.8%0.0%14.0%1.4%5.9K926.0K-5.4K0.24111.86N/AN/A3481,779846
2011-11-21$30.62$35.0038.5%11.0%48.9%53.3%38.5%5.7%-10.8%13.4K192.7K-5.0K0.48111.06N/AN/A13163745418
2011-11-22$30.26$35.0037.5%10.7%46.3%51.2%37.5%5.0%0.6%6.0K334.2K-5.4K0.0978.62N/AN/A14113832481
2011-11-23$29.86$35.0038.0%10.9%46.3%52.4%38.0%1.4%-2.2%8.1K342.6K-5.3K1.38110.32N/AN/A1318861492
2011-11-25$29.86$35.0034.1%9.8%36.2%44.3%34.1%0.6%2.6%6.1K301.5K-5.5K0.00112.75N/AN/A810866500
2011-11-28$30.66$30.0037.4%10.7%37.8%51.1%0.0%33.6%-1.1%19.4K96.6K-5.9K0.00113.00N/AN/A850943500
2011-11-29$30.58$30.0035.5%10.2%36.3%47.3%0.0%4.4%0.2%22.5K15.3K-6.2K0.00112.66N/AN/A1501,008500
2011-11-30$32.16$30.0025.9%7.4%36.4%27.7%0.0%4.7%5.4%30.8K-411.3K-6.5K0.00111.44N/AN/A9801,023500