PCH Options History — February 2012

In February 2012, PCH traded between $30.37 and $31.37. ATM implied volatility averaged 27.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 4.4% (HV 20d: 32.3%). 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 11 of 20 days. Put/call ratio averaged 2.67.

Notable Days

  • 2012-02-21: Highest Volume — 152 contracts
  • 2012-02-03: Largest IV spike — 47.9% change
  • 2012-02-03: Highest IV Rank — 55.8%
  • 2012-02-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.96$30.37$31.37$30.42$30.82
Max Pain$32.50$30.00$35.00$35.00$30.00
ATM IV27.9%19.6%39.9%26.9%35.1%
Expected Move7.6%5.6%10.1%7.7%10.1%
HV 20d32.3%18.8%34.6%34.2%18.8%
HV 60d30.0%27.3%32.6%32.3%27.3%
IV Rank31.1%14.2%55.8%29.1%46.0%
IV Percentile44.5%13.1%81.0%44.8%71.0%
Term Structure-1.7%-23.1%5.8%-6.2%-23.1%
VWIV26.3%22.1%35.8%27.2%22.1%
Skew 25d6.0%-10.6%24.1%24.1%-10.6%
Skew 10d13.3%-4.1%44.7%44.7%-4.1%
Call IV 25d22.5%18.1%34.4%24.4%34.4%
Put IV 25d28.5%18.8%48.5%48.5%23.7%
Bid-Ask Spread %98.6141.67132.88106.42113.45
Gamma HHI0.550.480.660.550.54
Net GEX22.4K11.5K32.1K20.1K21.2K
Net DEX-154.3K-289.4K78.7K45.0K-160.8K
Net VEX-5.8K-6.4K-4.9K-5.0K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0016.2516.250.00
Total Volume31.601526925
Total OI1,6161,0621,8791,7411,256

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$30.42$35.0026.9%7.7%34.2%29.1%27.2%24.1%-6.2%20.1K45.0K-5.0K16.25106.42N/AN/A4651,345396
2012-02-02$30.49$35.0027.0%7.7%34.0%29.3%35.8%5.9%0.4%11.5K78.7K-4.9K0.20103.03N/AN/A511,343455
2012-02-03$31.07$35.0039.9%7.2%34.6%55.8%0.0%2.5%-3.2%25.0K-102.6K-5.6K0.00126.22N/AN/A1001,342455
2012-02-06$31.15$35.0032.9%8.8%34.5%41.4%0.0%9.1%-1.4%32.1K-214.0K-5.9K4.6279.29N/AN/A261201,342455
2012-02-07$31.16$35.0026.5%7.4%34.4%28.3%0.0%14.1%0.0%18.0K-70.5K-6.0K0.00120.80N/AN/A4201,343505
2012-02-08$31.35$35.0034.8%6.8%34.1%45.4%0.0%7.1%-2.2%28.1K-86.7K-5.7K2.50126.97N/AN/A8201,374505
2012-02-09$31.31$35.0024.4%7.0%33.5%24.1%0.0%8.3%0.6%23.0K-213.9K-6.1K7.33120.66N/AN/A3221,381467
2012-02-10$31.05$35.0021.5%6.2%32.5%18.0%0.0%-1.6%1.1%19.5K-177.0K-5.9K0.0084.83N/AN/A001,384469
2012-02-13$31.37$35.0025.8%7.4%32.3%26.8%0.0%9.4%4.2%21.3K-289.4K-6.1K0.00132.88N/AN/A011,384469
2012-02-14$31.10$35.0027.3%7.8%32.4%29.9%25.0%9.6%3.8%18.2K-215.7K-5.9K0.00116.54N/AN/A1101,384469
2012-02-15$30.61$30.0019.6%5.6%32.6%14.2%0.0%-0.5%5.8%16.3K-63.7K-5.4K0.00126.37N/AN/A1001,393469
2012-02-16$31.20$30.0028.3%8.1%32.9%31.9%0.0%15.6%2.3%21.0K-263.4K-5.9K0.00120.12N/AN/A001,398469
2012-02-17$31.11$30.0024.4%7.0%31.6%24.0%0.0%6.6%3.0%22.8K-218.7K-5.4K0.0058.54N/AN/A701,398469
2012-02-21$31.04$30.0029.1%8.3%30.8%33.6%0.0%8.3%-1.5%22.7K-177.9K-5.6K0.0041.67N/AN/A1520740322
2012-02-22$30.37$30.0026.3%7.5%31.4%27.8%23.8%0.8%-2.4%27.9K-240.3K-6.4K2.3343.05N/AN/A921878322
2012-02-23$31.01$30.0025.1%7.2%32.6%25.4%0.0%4.3%1.2%24.9K-160.0K-6.0K0.0076.91N/AN/A400879343
2012-02-24$30.82$30.0034.9%10.0%32.6%45.6%0.0%6.2%-14.6%27.2K-185.1K-6.2K1.0090.92N/AN/A55883343
2012-02-27$31.14$30.0022.3%6.4%32.8%19.7%23.5%3.3%4.4%25.0K-183.8K-6.3K8.50118.78N/AN/A217888348
2012-02-28$30.63$30.0025.4%7.3%33.2%25.9%22.1%-2.9%-6.0%21.7K-185.6K-6.0K0.0064.73N/AN/A01890365
2012-02-29$30.82$30.0035.1%10.1%18.8%46.0%0.0%-10.6%-23.1%21.2K-160.8K-6.0K0.00113.45N/AN/A250890366