PCH Options History — March 2012

In March 2012, PCH traded between $30.07 and $31.89. ATM implied volatility averaged 35.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 15.1% (HV 20d: 19.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2012-03-30: Highest Volume — 245 contracts
  • 2012-03-12: Largest IV spike — 103.7% change
  • 2012-03-12: Highest IV Rank — 100.0%
  • 2012-03-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.15$30.07$31.89$30.92$31.34
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV35.0%19.2%92.8%33.8%29.6%
Expected Move7.4%5.5%9.7%9.7%8.5%
HV 20d19.9%17.5%23.6%18.7%18.0%
HV 60d25.7%24.3%27.3%27.3%24.3%
IV Rank33.6%8.0%100.0%43.1%21.1%
IV Percentile48.6%7.5%100.0%66.7%50.8%
Term Structure-3.2%-20.8%8.9%-20.8%-10.2%
VWIV22.2%19.2%24.0%22.1%20.3%
Skew 25d3.2%-12.4%14.9%-12.4%-3.4%
Skew 10d10.9%-6.6%32.0%-6.6%16.3%
Call IV 25d21.6%15.4%35.8%35.8%24.8%
Put IV 25d24.8%20.4%34.1%23.4%21.5%
Bid-Ask Spread %109.5844.84127.48122.2883.23
Gamma HHI0.750.540.910.540.83
Net GEX39.1K21.7K50.9K21.7K43.6K
Net DEX-443.2K-622.8K-100.8K-190.0K-556.5K
Net VEX-5.7K-6.2K-5.4K-6.2K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0010.000.000.00
Total Volume33.45502452245
Total OI1,346.1821,2801,3931,2801,393

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$30.92$30.0033.8%9.7%18.7%43.1%22.1%-12.4%-20.8%21.7K-190.0K-6.2K0.00122.28N/AN/A02914366
2012-03-02$30.90$30.0034.0%9.7%18.7%43.7%0.0%-8.3%-17.0%24.1K-199.9K-6.1K0.00118.96N/AN/A30914368
2012-03-05$30.97$30.0024.6%6.8%17.5%24.3%23.9%14.7%4.5%21.9K-162.7K-6.1K0.0097.24N/AN/A2321917368
2012-03-06$30.34$30.0024.8%6.9%18.9%24.8%0.0%1.4%1.8%23.4K-129.1K-5.4K1.25111.70N/AN/A810943369
2012-03-07$30.07$30.0027.4%6.6%19.1%30.1%23.1%-0.2%2.5%25.8K-100.8K-5.4K0.86105.37N/AN/A76946379
2012-03-08$30.40$30.0023.3%6.9%19.4%21.8%0.0%14.9%2.3%27.6K-193.6K-5.4K0.0044.84N/AN/A350952373
2012-03-09$31.02$30.0039.0%7.1%20.9%53.9%0.0%13.9%0.3%36.6K-366.6K-5.7K2.00108.73N/AN/A12975373
2012-03-12$30.99$30.0079.4%6.2%20.7%100.0%21.5%3.8%4.3%42.3K-388.6K-5.9K1.00111.16N/AN/A2121976375
2012-03-13$31.89$30.0079.9%7.3%22.8%100.0%0.0%10.6%-6.2%42.9K-622.8K-5.8K0.00122.74N/AN/A20996376
2012-03-14$31.32$30.0092.8%5.7%23.6%100.0%0.0%5.3%6.1%50.0K-603.3K-5.9K0.00117.19N/AN/A00996376
2012-03-15$31.22$30.0024.7%7.1%22.8%15.0%24.0%7.7%2.4%43.5K-562.1K-5.9K0.00104.23N/AN/A100996376
2012-03-16$31.35$30.0027.6%7.9%21.8%18.6%23.2%4.2%-7.4%44.3K-554.3K-5.8K8.5080.13N/AN/A217996376
2012-03-19$31.51$30.0019.2%5.5%21.9%8.0%0.0%8.3%8.9%46.0K-547.5K-5.6K0.00100.23N/AN/A410982353
2012-03-20$31.19$30.0019.8%5.7%22.2%8.9%19.2%4.8%6.9%47.3K-516.5K-5.6K0.07116.50N/AN/A141983353
2012-03-21$31.25$30.0027.4%7.8%20.6%18.3%0.0%-1.8%-10.6%43.1K-481.0K-5.5K0.00125.74N/AN/A00996354
2012-03-22$31.22$30.0022.8%6.5%19.3%12.5%0.0%3.2%-1.0%47.8K-616.0K-6.2K0.00119.11N/AN/A00996354
2012-03-23$31.35$30.0026.5%7.6%19.2%17.2%20.3%-1.9%-7.9%47.3K-521.2K-5.4K10.00125.84N/AN/A220996354
2012-03-26$31.59$30.0029.5%8.5%19.0%21.0%0.0%2.3%-7.4%44.7K-589.3K-5.5K0.00126.54N/AN/A010998374
2012-03-27$31.56$30.0029.6%8.5%17.9%21.0%0.0%0.0%-8.9%44.0K-607.6K-5.5K0.00127.48N/AN/A10998374
2012-03-28$31.54$30.0024.5%7.0%17.9%14.7%0.0%0.4%-6.2%50.9K-620.1K-5.6K0.00120.38N/AN/A020997374
2012-03-29$31.37$30.0030.1%8.6%18.0%21.7%0.0%2.0%-6.8%41.9K-620.8K-5.8K0.00121.14N/AN/A02997394
2012-03-30$31.34$30.0029.6%8.5%18.0%21.1%0.0%-3.4%-10.2%43.6K-556.5K-5.6K0.0083.23N/AN/A2450997396