PCH Options History — January 2012

In January 2012, PCH traded between $30.55 and $34.42. ATM implied volatility averaged 30.9%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.8% (HV 20d: 23.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2012-01-23: Highest Volume — 252 contracts
  • 2012-01-31: Largest IV spike — 148.6% change
  • 2012-01-31: Highest IV Rank — 88.8%
  • 2012-01-31: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.57$30.55$34.42$31.46$30.55
Max Pain$34.25$30.00$35.00$30.00$35.00
ATM IV30.9%19.1%56.0%35.5%56.0%
Expected Move9.2%5.8%16.1%10.2%16.1%
HV 20d23.1%17.2%34.4%28.0%34.4%
HV 60d35.5%28.7%39.9%39.9%32.7%
IV Rank37.4%13.2%88.8%46.8%88.8%
IV Percentile56.0%13.1%98.0%73.0%98.0%
Term Structure-3.4%-53.2%3.7%-0.9%-53.2%
VWIV25.3%19.9%36.2%25.3%36.2%
Skew 25d8.9%-7.0%39.7%17.6%-0.4%
Skew 10d11.7%-5.8%45.7%18.6%15.5%
Call IV 25d25.5%20.8%36.1%20.9%36.1%
Put IV 25d34.4%20.1%62.4%38.5%35.7%
Bid-Ask Spread %102.0453.84128.06128.06109.33
Gamma HHI0.760.550.920.610.74
Net GEX85.3K47.6K139.9K51.6K50.5K
Net DEX-967.6K-1.8M-383.3K-521.5K-383.3K
Net VEX-6.3K-7.6K-5.1K-5.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0017.000.882.50
Total Volume55.851252307
Total OI1,5461,3791,7421,3821,742

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$31.46$30.0035.5%10.2%28.0%46.8%0.0%17.6%-0.9%51.6K-521.5K-5.1K0.88128.06N/AN/A16141,081301
2012-01-04$31.09$30.0035.4%10.1%25.6%46.5%0.0%8.2%-7.0%47.6K-478.1K-5.2K0.00118.51N/AN/A011,075304
2012-01-05$31.25$30.0033.8%9.7%25.4%43.3%0.0%5.6%-6.4%48.4K-496.2K-5.2K0.26126.28N/AN/A38101,075305
2012-01-06$31.48$35.0033.5%9.1%25.5%42.7%0.0%3.3%0.3%52.0K-635.3K-5.8K0.00102.14N/AN/A401,113299
2012-01-09$31.17$35.0030.0%8.6%24.3%35.4%25.3%6.0%3.1%53.8K-607.3K-5.4K0.06105.62N/AN/A3621,117299
2012-01-10$31.58$35.0019.1%9.5%23.5%13.2%0.0%1.9%-4.6%48.0K-662.0K-5.2K0.00113.56N/AN/A101,120299
2012-01-11$32.10$35.0022.7%8.8%23.5%20.5%0.0%8.7%3.2%51.7K-798.7K-5.5K0.00113.87N/AN/A2201,121299
2012-01-12$32.79$35.0031.5%9.0%24.0%38.4%24.2%7.5%-0.6%67.1K-964.0K-5.7K0.00115.42N/AN/A9501,143299
2012-01-13$33.25$35.0027.6%7.9%23.8%30.6%27.0%4.5%2.5%77.9K-1.2M-6.3K0.00108.45N/AN/A22301,177299
2012-01-17$33.18$35.0032.5%9.3%23.4%40.6%26.5%7.4%0.4%101.2K-1.4M-7.0K0.00119.66N/AN/A1001,325299
2012-01-18$33.18$35.0030.9%8.9%22.2%37.3%24.6%7.7%1.6%104.2K-1.3M-6.5K0.00113.33N/AN/A1701,322299
2012-01-19$33.71$35.0030.7%8.8%21.1%36.9%0.0%34.5%2.0%118.5K-1.5M-6.3K2.27118.09N/AN/A11251,338299
2012-01-20$34.42$35.0031.8%9.1%17.2%39.1%27.4%31.7%1.0%137.8K-1.8M-6.6K0.0091.88N/AN/A11901,344274
2012-01-23$33.58$35.0020.3%5.8%20.3%15.6%20.6%-0.7%3.7%139.9K-1.4M-6.9K1.3668.28N/AN/A1071451,273258
2012-01-24$33.50$35.0033.7%9.7%20.1%43.1%20.0%4.7%1.3%109.8K-1.1M-7.3K0.1969.05N/AN/A53101,269371
2012-01-25$33.57$35.0031.7%9.1%20.0%39.0%0.0%39.7%-10.9%116.1K-1.1M-7.2K0.0075.83N/AN/A021,315363
2012-01-26$33.50$35.0031.4%9.0%20.1%38.2%31.1%-7.0%-5.8%107.7K-1.3M-7.6K0.5453.84N/AN/A37201,315363
2012-01-27$33.07$35.0027.8%8.0%20.1%30.8%19.9%3.1%1.3%124.4K-1.0M-7.4K0.00106.09N/AN/A5601,336371
2012-01-30$33.00$35.0022.5%6.5%19.8%20.1%21.2%-5.1%1.1%97.8K-835.2K-6.9K17.0083.55N/AN/A2341,347371
2012-01-31$30.55$35.0056.0%16.1%34.4%88.8%36.2%-0.4%-53.2%50.5K-383.3K-6.2K2.50109.33N/AN/A251,347395