PCH Options History — December 2011

In December 2011, PCH traded between $29.44 and $31.49. ATM implied volatility averaged 32.4%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 1.4% (HV 20d: 33.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-12-05: Highest Volume — 115 contracts
  • 2011-12-27: Largest IV spike — 25.1% change
  • 2011-12-27: Highest IV Rank — 56.2%
  • 2011-12-27: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.68$29.44$31.49$31.49$31.11
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.4%26.4%40.1%38.4%26.4%
Expected Move9.2%7.6%11.5%11.0%7.6%
HV 20d33.8%27.8%37.8%36.9%27.8%
HV 60d45.4%40.7%46.8%46.8%40.7%
IV Rank40.4%28.1%56.2%53.1%28.1%
IV Percentile65.9%48.4%81.7%77.0%48.4%
Term Structure0.2%-26.0%19.4%-23.8%9.1%
VWIV31.8%14.6%46.2%34.6%14.6%
Skew 25d7.6%-9.9%20.1%-9.9%10.7%
Skew 10d14.9%-1.0%40.3%8.8%11.4%
Call IV 25d23.8%18.6%34.2%34.2%18.9%
Put IV 25d31.4%19.6%41.7%24.2%29.6%
Bid-Ask Spread %97.8534.23131.51128.6934.23
Gamma HHI0.540.430.640.640.57
Net GEX41.8K26.7K52.6K37.8K48.9K
Net DEX-328.2K-707.5K117.1K-328.2K-544.4K
Net VEX-6.1K-7.0K-5.1K-7.0K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.800.000.93
Total Volume26.90501151527
Total OI1,563.0951,3141,7661,6201,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$31.49$30.0038.4%11.0%36.9%53.1%0.0%-9.9%-23.8%37.8K-328.2K-7.0K0.00128.69N/AN/A1501,120500
2011-12-02$31.26$30.0033.1%9.5%35.9%42.4%0.0%-4.6%-13.7%36.0K-252.3K-7.0K0.00125.43N/AN/A4401,135500
2011-12-05$30.25$30.0037.6%7.7%37.5%51.5%34.6%-3.6%1.5%26.7K117.1K-5.7K0.39123.77N/AN/A83321,145500
2011-12-06$30.58$30.0034.6%9.9%37.8%45.0%46.2%19.0%2.0%38.3K-112.8K-6.1K1.08100.99N/AN/A12131,213493
2011-12-07$30.74$30.0036.7%9.8%36.6%49.2%34.3%8.9%1.3%39.7K-210.9K-6.4K0.1642.72N/AN/A67111,210498
2011-12-08$30.06$30.0033.3%9.9%34.1%42.1%34.5%16.1%2.7%34.0K31.3K-6.2K0.0496.21N/AN/A2411,235499
2011-12-09$30.72$30.0030.6%9.4%35.1%36.6%0.0%8.2%2.0%38.9K-204.5K-6.4K1.06106.36N/AN/A16171,257498
2011-12-12$30.35$30.0031.9%9.5%33.3%39.4%33.0%13.8%2.8%40.4K-27.7K-5.8K0.15101.80N/AN/A3451,261494
2011-12-13$30.10$30.0026.7%9.4%32.2%28.7%0.0%2.8%2.2%42.1K-163.9K-6.1K0.00109.97N/AN/A2501,267499
2011-12-14$29.85$30.0032.7%9.4%31.5%41.0%0.0%3.2%2.7%43.5K-263.3K-6.1K0.00114.38N/AN/A0151,292450
2011-12-15$30.39$30.0031.1%8.9%32.3%37.6%0.0%5.3%3.3%52.6K-512.0K-6.0K0.00110.63N/AN/A001,292444
2011-12-16$29.89$30.0030.9%8.9%32.1%37.3%0.0%2.6%1.0%47.9K-290.0K-6.1K1.80111.63N/AN/A591,292444
2011-12-19$29.44$30.0028.2%8.1%32.2%31.7%28.2%0.7%5.9%32.2K-209.8K-5.1K0.25112.41N/AN/A40101,017297
2011-12-20$30.73$30.0032.7%9.4%34.9%41.0%32.7%20.1%-0.0%37.5K-342.7K-5.6K0.00103.95N/AN/A2101,038307
2011-12-21$30.85$30.0030.3%8.7%34.7%36.0%0.0%17.7%3.0%41.6K-406.6K-5.8K0.00113.14N/AN/A501,049307
2011-12-22$31.29$30.0032.7%9.4%34.5%41.0%28.0%7.7%0.4%46.6K-643.1K-6.4K0.5773.38N/AN/A741,054307
2011-12-23$31.30$30.0032.1%9.2%34.5%39.7%14.6%16.6%-0.1%49.0K-605.7K-6.1K0.11115.02N/AN/A1921,061307
2011-12-27$31.42$30.0040.1%11.5%33.4%56.2%0.0%1.9%-26.0%48.9K-629.3K-6.1K0.00131.51N/AN/A101,080305
2011-12-28$31.00$30.0030.8%8.8%33.7%37.1%0.0%11.2%19.4%45.8K-707.5K-6.4K0.0053.49N/AN/A001,081305
2011-12-29$31.39$30.0028.7%8.2%28.6%32.8%0.0%11.9%8.4%50.2K-586.6K-5.8K0.0045.06N/AN/A101,081305
2011-12-30$31.11$30.0026.4%7.6%27.8%28.1%0.0%10.7%9.1%48.9K-544.4K-5.6K0.9334.23N/AN/A14131,081305