PCH Options History — April 2012

In April 2012, PCH traded between $29.73 and $31.60. ATM implied volatility averaged 23.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.6% (HV 20d: 16.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2012-04-20: Highest Volume — 408 contracts
  • 2012-04-30: Largest IV spike — 42.0% change
  • 2012-04-04: Highest IV Rank — 25.1%
  • 2012-04-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.77$29.73$31.60$31.46$31.30
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV23.6%13.0%32.8%32.0%22.1%
Expected Move6.9%3.7%9.4%9.2%6.3%
HV 20d16.0%12.2%19.1%18.0%19.1%
HV 60d23.0%18.2%24.3%24.3%18.3%
IV Rank13.6%0.4%25.1%24.1%11.7%
IV Percentile23.1%0.4%61.5%58.7%11.9%
Term Structure1.6%-21.2%16.1%-8.8%10.2%
VWIV26.1%15.6%43.2%28.8%22.0%
Skew 25d5.0%-15.3%26.7%-0.3%6.5%
Skew 10d12.5%-4.8%52.7%6.5%14.3%
Call IV 25d20.7%13.1%31.5%26.4%17.2%
Put IV 25d25.6%14.6%46.0%26.1%23.7%
Bid-Ask Spread %113.0498.71132.59128.19120.04
Gamma HHI0.630.480.940.940.58
Net GEX46.5K13.8K67.1K52.6K29.2K
Net DEX-465.8K-869.4K-128.9K-733.8K-642.7K
Net VEX-6.2K-7.6K-5.5K-7.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.005.000.000.00
Total Volume28.650408111
Total OI1,658.251,6381,6811,6381,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$31.46$30.0032.0%9.2%18.0%24.1%0.0%-0.3%-8.8%52.6K-733.8K-7.1K0.00128.19N/AN/A1101,242396
2012-04-03$31.23$30.0030.8%8.8%16.5%22.6%0.0%-15.3%-21.2%67.1K-869.4K-7.6K0.00132.59N/AN/A001,253396
2012-04-04$30.90$30.0032.8%9.4%16.6%25.1%0.0%-7.1%-11.0%55.0K-658.8K-7.3K0.00131.09N/AN/A3001,253396
2012-04-05$30.51$30.0032.5%9.3%16.9%24.7%0.0%-3.3%-15.3%46.0K-472.6K-6.4K0.00122.26N/AN/A501,257396
2012-04-09$30.19$30.0021.5%7.2%15.6%11.0%0.0%-2.1%6.9%51.1K-277.4K-6.2K0.0098.71N/AN/A501,260396
2012-04-10$29.73$30.0019.3%6.7%16.4%8.2%28.8%-2.8%1.7%48.8K-173.1K-5.7K0.00106.99N/AN/A1901,255396
2012-04-11$30.00$30.0024.6%6.8%12.5%14.8%23.6%-3.1%1.7%43.8K-129.7K-5.6K0.00105.19N/AN/A081,252396
2012-04-12$30.35$30.0024.6%7.0%12.2%14.8%15.6%26.7%4.4%65.2K-265.9K-5.8K0.00106.11N/AN/A3401,252404
2012-04-13$29.99$30.0024.9%7.1%12.8%15.2%0.0%5.0%0.6%56.6K-293.2K-6.1K0.00107.77N/AN/A201,266404
2012-04-16$30.42$30.0025.0%7.2%13.9%15.3%0.0%5.1%1.0%58.2K-403.7K-6.1K0.00100.69N/AN/A1001,264404
2012-04-17$30.69$30.0025.2%7.2%14.2%15.6%0.0%9.1%1.7%54.9K-509.8K-6.0K0.00104.75N/AN/A001,274404
2012-04-18$30.78$30.0023.8%6.8%13.8%13.9%0.0%22.0%2.7%58.5K-503.0K-5.8K0.00110.32N/AN/A031,274404
2012-04-19$30.52$30.0025.3%7.2%14.1%15.7%0.0%8.5%0.1%55.7K-485.0K-6.0K0.00110.76N/AN/A001,274407
2012-04-20$31.09$30.0023.6%6.8%15.7%13.6%23.7%16.4%2.1%47.5K-625.5K-6.1K0.08109.51N/AN/A379291,274407
2012-04-23$30.50$30.0020.7%5.9%17.0%10.0%0.0%5.4%2.3%13.8K-128.9K-5.5K0.00104.53N/AN/A1701,266390
2012-04-24$31.08$30.0017.6%5.0%18.2%6.0%0.0%7.4%8.8%25.8K-359.6K-5.8K0.00109.87N/AN/A001,261390
2012-04-25$31.48$30.0013.0%3.7%18.8%0.4%0.0%5.6%16.1%30.7K-610.5K-5.9K5.00105.71N/AN/A2101,261390
2012-04-26$31.58$30.0017.6%5.0%18.8%6.1%43.2%8.8%13.9%36.2K-591.6K-6.6K0.00117.65N/AN/A011,261400
2012-04-27$31.60$30.0015.6%4.5%18.7%3.6%0.0%6.8%14.9%34.3K-581.1K-5.9K0.00127.99N/AN/A701,260382
2012-04-30$31.30$30.0022.1%6.3%19.1%11.7%22.0%6.5%10.2%29.2K-642.7K-6.8K0.00120.04N/AN/A011,266382