PCH Options History — July 2012

In July 2012, PCH traded between $32.51 and $35.75. ATM implied volatility averaged 26.9%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.3% (HV 20d: 20.6%). 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 16 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-07-16: Highest Volume — 343 contracts
  • 2012-07-12: Largest IV drop — 48.5% change
  • 2012-07-10: Highest IV Rank — 43.6%
  • 2012-07-05: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.54$32.51$35.75$32.51$34.61
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.9%16.9%47.8%37.9%18.1%
Expected Move6.8%4.8%11.6%10.9%5.2%
HV 20d20.6%13.6%25.0%24.4%13.8%
HV 60d20.4%19.6%21.3%21.1%20.0%
IV Rank17.4%4.8%43.6%31.2%6.4%
IV Percentile30.7%1.2%92.1%71.8%3.2%
Term Structure1.6%-4.9%8.1%-4.9%1.8%
VWIV19.7%14.4%25.6%20.0%18.3%
Skew 25d16.8%-1.2%54.4%2.0%54.4%
Skew 10d22.5%-3.9%74.9%-3.6%74.9%
Call IV 25d19.7%15.2%24.1%21.4%21.4%
Put IV 25d36.5%19.7%75.8%23.3%75.8%
Bid-Ask Spread %112.7184.93131.58126.82104.82
Gamma HHI0.950.690.990.690.98
Net GEX203.9K77.5K317.8K77.5K292.1K
Net DEX-2.6M-3.7M-1.1M-1.1M-2.6M
Net VEX-10.1K-12.1K-7.2K-7.2K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.0010.000.000.00
Total Volume54.61903435512
Total OI1,912.2381,4582,1961,4582,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$32.51$30.0037.9%10.9%24.4%31.2%0.0%2.0%-4.9%77.5K-1.1M-7.2K0.00126.82N/AN/A5501,194264
2012-07-03$33.20$30.0032.2%9.2%25.0%24.0%0.0%13.3%5.7%98.5K-1.3M-7.5K0.00127.30N/AN/A10901,237264
2012-07-05$33.54$30.0040.4%11.6%25.0%34.3%0.0%16.5%7.1%104.2K-1.7M-8.6K0.00131.58N/AN/A301,337264
2012-07-06$33.50$30.0030.4%6.6%24.7%21.7%0.0%34.0%-2.1%105.2K-1.7M-8.4K0.00113.02N/AN/A2701,340264
2012-07-09$33.81$30.0032.6%6.7%24.6%24.6%20.0%38.0%2.0%116.5K-1.8M-8.4K0.00113.46N/AN/A8501,367264
2012-07-10$33.72$30.0047.8%6.7%23.1%43.6%18.6%1.4%0.4%140.0K-2.0M-9.2K0.05119.05N/AN/A2211,452264
2012-07-11$34.13$30.0047.6%6.8%23.1%43.3%14.4%6.5%8.1%162.8K-2.0M-9.1K0.00118.17N/AN/A1501,474264
2012-07-12$34.11$30.0024.5%7.0%21.2%14.4%0.0%3.2%2.2%175.2K-2.0M-8.8K0.00120.23N/AN/A2001,486264
2012-07-13$34.64$30.0029.1%8.4%21.3%20.2%25.6%35.9%-4.7%160.1K-2.4M-9.4K0.0084.93N/AN/A20301,506264
2012-07-16$34.91$30.0021.1%6.0%21.1%10.1%21.1%1.7%0.3%200.2K-2.9M-10.4K0.30113.51N/AN/A263801,622264
2012-07-17$35.05$30.0029.5%8.4%21.2%20.6%19.9%12.2%5.6%249.0K-3.3M-11.6K0.00122.34N/AN/A1401,838344
2012-07-18$35.17$30.0020.6%5.9%20.8%9.5%20.6%9.0%1.0%246.6K-3.5M-12.1K0.00102.95N/AN/A7701,852344
2012-07-19$35.02$30.0019.6%5.6%21.0%8.2%20.1%0.9%1.6%253.0K-3.3M-12.0K0.40107.75N/AN/A1041,845344
2012-07-20$35.06$30.0020.0%5.7%20.2%8.7%0.0%36.1%2.9%259.5K-3.2M-11.9K0.00106.29N/AN/A101,855340
2012-07-23$35.06$30.0022.0%6.3%20.4%11.2%22.0%37.4%-2.1%241.1K-3.0M-11.5K0.44102.93N/AN/A941,791298
2012-07-24$35.39$30.0020.0%5.7%19.3%8.8%0.0%32.0%-0.5%257.8K-3.3M-11.4K0.00106.54N/AN/A011,798300
2012-07-25$35.75$30.0016.9%4.8%18.8%4.8%17.2%16.4%4.7%317.8K-3.7M-11.0K0.57110.41N/AN/A68391,798301
2012-07-26$35.64$30.0018.6%5.3%14.6%6.9%18.3%1.0%1.3%264.9K-3.7M-11.2K0.00108.61N/AN/A1401,798308
2012-07-27$35.42$30.0017.9%5.1%15.4%6.1%0.0%2.1%1.9%273.9K-3.7M-10.7K0.00116.29N/AN/A001,805308
2012-07-30$35.00$30.0018.3%5.3%13.6%6.6%18.3%-1.2%2.2%285.0K-3.1M-10.7K10.00109.99N/AN/A1101,805308
2012-07-31$34.61$30.0018.1%5.2%13.8%6.4%0.0%54.4%1.8%292.1K-2.6M-10.8K0.00104.82N/AN/A1201,804318