PCH Options History — June 2012

In June 2012, PCH traded between $28.48 and $31.94. ATM implied volatility averaged 28.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.7% (HV 20d: 20.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2012-06-29: Highest Volume — 564 contracts
  • 2012-06-11: Largest IV spike — 105.4% change
  • 2012-06-11: Highest IV Rank — 55.5%
  • 2012-06-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.51$28.48$31.94$28.48$31.94
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.2%14.9%57.3%37.8%14.9%
Expected Move7.0%4.3%10.8%10.8%4.3%
HV 20d20.5%17.6%24.0%17.6%24.0%
HV 60d17.7%16.1%21.0%17.7%21.0%
IV Rank19.0%2.4%55.5%31.0%2.4%
IV Percentile35.2%0.4%97.2%73.0%0.4%
Term Structure3.8%-7.5%13.1%9.1%1.8%
VWIV22.7%16.4%26.5%26.5%16.4%
Skew 25d12.3%-3.4%84.3%16.1%0.6%
Skew 10d18.1%-4.8%97.5%-1.9%-4.8%
Call IV 25d24.2%18.2%38.5%20.1%18.2%
Put IV 25d36.5%18.9%122.8%36.1%18.9%
Bid-Ask Spread %118.56109.44132.74132.74114.04
Gamma HHI0.510.470.620.490.52
Net GEX51.8K31.4K82.4K32.8K71.9K
Net DEX-237.2K-1.3M75.9K-115.0K-1.3M
Net VEX-4.2K-5.0K-3.7K-4.8K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.670.000.24
Total Volume47.90505642564
Total OI1,253.3811,2301,3261,2301,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$28.48$30.0037.8%10.8%17.6%31.0%0.0%16.1%9.1%32.8K-115.0K-4.8K0.00132.74N/AN/A20995235
2012-06-04$28.66$30.0039.9%9.4%18.0%33.7%0.0%5.9%2.8%31.4K26.6K-3.9K0.00121.06N/AN/A10995235
2012-06-05$28.87$30.0036.1%9.2%18.3%28.9%0.0%16.0%0.5%33.8K-42.2K-4.1K0.00127.29N/AN/A00995235
2012-06-06$29.15$30.0022.5%7.6%18.8%11.8%26.5%7.2%1.7%44.1K-42.4K-4.2K1.71113.27N/AN/A712995235
2012-06-07$28.98$30.0030.2%5.6%18.6%21.5%0.0%-2.5%7.3%42.9K-96.0K-4.5K0.00122.70N/AN/A601,001237
2012-06-08$29.33$30.0027.9%6.6%19.3%18.7%0.0%5.3%9.1%48.9K-151.8K-4.5K0.00125.93N/AN/A501,007237
2012-06-11$28.81$30.0057.3%7.4%20.1%55.5%0.0%-1.6%0.6%39.7K-96.6K-4.0K0.00115.51N/AN/A001,012237
2012-06-12$29.22$30.0033.6%6.7%21.0%25.8%23.9%24.1%4.2%49.6K-63.7K-4.1K0.00123.60N/AN/A01201,012237
2012-06-13$28.69$30.0040.9%6.9%21.8%34.9%0.0%-3.4%0.6%34.7K75.9K-4.2K0.00118.41N/AN/A001,012277
2012-06-14$29.03$30.0024.8%7.1%22.2%14.8%25.8%-0.6%2.0%39.7K75.4K-3.9K0.00118.40N/AN/A4301,012277
2012-06-15$29.05$30.0024.7%7.1%21.7%14.7%25.4%-2.6%6.3%45.9K-3.1K-4.3K0.00119.01N/AN/A16101,049277
2012-06-18$29.30$30.0020.7%5.9%20.7%9.6%0.0%84.3%6.6%56.5K-260.9K-4.4K1.00116.79N/AN/A10101,045195
2012-06-19$29.93$30.0020.9%6.0%20.5%9.9%20.9%28.3%4.3%64.2K-252.5K-4.0K0.00109.44N/AN/A101,055205
2012-06-20$29.89$30.0018.9%5.4%20.5%7.4%18.9%27.0%13.1%65.6K-382.7K-4.7K3.67117.11N/AN/A3111,056205
2012-06-21$29.63$30.0023.1%6.6%20.7%12.6%0.0%1.7%5.7%57.5K-351.6K-4.4K0.00113.05N/AN/A051,054208
2012-06-22$29.88$30.0021.1%6.0%20.7%10.0%0.0%-1.9%8.4%60.6K-322.1K-4.1K0.00118.09N/AN/A001,028208
2012-06-25$29.58$30.0025.3%7.3%20.6%15.4%0.0%30.7%2.7%54.1K-212.6K-3.7K0.00119.57N/AN/A001,028208
2012-06-26$29.50$30.0025.8%7.4%20.4%16.0%0.0%-1.7%2.4%55.8K-238.0K-3.9K0.00115.84N/AN/A201,028208
2012-06-27$30.79$30.0023.9%6.9%22.4%13.7%23.9%17.3%-1.5%76.1K-563.2K-4.0K0.00113.70N/AN/A4201,026208
2012-06-28$30.94$30.0022.3%6.4%22.3%11.7%0.0%7.4%-7.5%82.4K-713.2K-3.9K0.00114.31N/AN/A101,068208
2012-06-29$31.94$30.0014.9%4.3%24.0%2.4%16.4%0.6%1.8%71.9K-1.3M-5.0K0.24114.04N/AN/A4551091,068208