PCH Options History — May 2012

In May 2012, PCH traded between $28.39 and $31.08. ATM implied volatility averaged 28.2%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 12.1% (HV 20d: 16.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2012-05-18: Highest Volume — 476 contracts
  • 2012-05-17: Largest IV spike — 65.1% change
  • 2012-05-30: Highest IV Rank — 40.7%
  • 2012-05-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.95$28.39$31.08$31.08$28.66
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.2%19.7%45.5%22.2%36.0%
Expected Move8.2%5.4%13.0%6.4%10.3%
HV 20d16.1%13.3%19.2%19.2%17.6%
HV 60d17.4%16.7%18.1%17.9%17.8%
IV Rank19.1%8.4%40.7%11.9%28.8%
IV Percentile37.8%6.3%86.9%11.9%70.6%
Term Structure-0.2%-16.5%9.3%4.7%9.3%
VWIV24.9%21.7%26.6%25.5%25.7%
Skew 25d7.1%-7.4%21.9%1.4%19.3%
Skew 10d9.4%-6.0%37.3%37.3%-0.0%
Call IV 25d23.7%16.9%35.1%19.2%16.9%
Put IV 25d30.8%17.0%56.9%20.6%36.2%
Bid-Ask Spread %110.6749.06132.7359.85129.11
Gamma HHI0.500.470.570.540.47
Net GEX17.5K-14.4K41.1K21.4K31.5K
Net DEX-166.6K-495.1K411.8K-493.6K-99.3K
Net VEX-5.0K-6.2K-4.0K-6.2K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.600.000.00
Total Volume34.3640476142
Total OI1,494.2271,1451,6831,6481,228

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$31.08$30.0022.2%6.4%19.2%11.9%0.0%1.4%4.7%21.4K-493.6K-6.2K0.0059.85N/AN/A1401,266382
2012-05-02$31.00$30.0023.4%6.7%19.0%13.3%25.5%2.3%-2.3%21.3K-322.3K-5.4K0.00109.73N/AN/A201,263382
2012-05-03$30.91$30.0024.6%7.1%18.6%14.5%0.0%-0.1%2.2%16.9K-430.7K-6.0K0.00118.17N/AN/A301,264382
2012-05-04$30.77$0.0019.7%5.4%18.1%8.4%0.0%2.7%4.2%8.4K-241.7K-5.0K0.00130.63N/AN/A001,267382
2012-05-07$30.87$0.0027.3%7.3%17.7%17.8%0.0%4.9%0.5%17.2K-347.8K-5.4K1.00118.57N/AN/A111,267382
2012-05-08$30.84$0.0026.1%6.3%16.6%16.3%0.0%3.7%6.6%12.9K-307.5K-5.3K0.00121.49N/AN/A001,267382
2012-05-09$30.50$0.0020.9%9.8%17.0%9.9%0.0%18.5%-2.9%7.9K-160.3K-5.1K0.0098.83N/AN/A6801,267382
2012-05-10$30.47$0.0025.7%7.4%16.5%15.8%0.0%2.8%0.3%8.7K-209.9K-5.0K0.0093.83N/AN/A1101,301382
2012-05-11$30.33$0.0025.6%7.3%16.0%15.8%0.0%2.0%3.9%-1.8K-181.2K-4.9K0.00105.89N/AN/A1401,300382
2012-05-14$30.25$0.0037.6%10.8%15.2%30.8%0.0%3.3%-16.5%-802-73.7K-4.6K1.60121.06N/AN/A581,286382
2012-05-15$30.20$0.0023.4%6.7%14.8%13.0%0.0%-1.8%4.4%-14.4K-105.4K-4.7K0.00105.29N/AN/A101,285386
2012-05-16$29.96$0.0026.5%7.6%14.9%16.9%26.6%0.7%-0.0%-6.2K-6.4K-4.5K0.00109.52N/AN/A801,284386
2012-05-17$29.53$30.0043.8%12.6%15.4%38.6%0.0%21.7%-8.5%-13.4K295.3K-4.1K0.00122.46N/AN/A001,280382
2012-05-18$28.93$30.0020.0%5.7%14.9%8.8%21.7%-7.4%0.4%15.4K411.8K-4.0K0.3449.06N/AN/A3541221,280382
2012-05-21$29.58$30.0023.8%6.8%16.3%13.5%25.7%20.5%0.7%35.5K-31.3K-4.3K0.13115.21N/AN/A152913232
2012-05-22$29.66$30.0027.1%7.8%14.6%17.7%0.0%21.9%-1.6%35.9K-495.1K-6.1K0.00114.24N/AN/A470924234
2012-05-23$29.49$30.0032.7%9.4%13.5%24.6%0.0%21.7%-5.1%36.7K-215.0K-5.3K0.00116.25N/AN/A240969234
2012-05-24$29.31$30.0023.3%6.7%13.3%12.9%0.0%-4.4%-0.1%40.7K-180.2K-4.9K0.00114.28N/AN/A50993234
2012-05-25$28.97$30.0031.4%9.0%13.5%23.0%0.0%0.6%-0.6%38.1K-143.2K-4.9K0.00123.89N/AN/A460993234
2012-05-29$29.24$30.0034.2%9.8%14.1%26.5%0.0%9.6%2.3%41.1K-152.8K-4.8K0.00124.71N/AN/A20991234
2012-05-30$28.39$30.0045.5%13.0%16.9%40.7%0.0%12.1%-6.0%31.9K-173.8K-4.7K0.00132.73N/AN/A01993234
2012-05-31$28.66$30.0036.0%10.3%17.6%28.8%0.0%19.3%9.3%31.5K-99.3K-4.6K0.00129.11N/AN/A20993235