PCH Options History — August 2012

In August 2012, PCH traded between $33.43 and $36.06. ATM implied volatility averaged 21.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.4% (HV 20d: 14.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.25.

Notable Days

  • 2012-08-17: Highest Volume — 177 contracts
  • 2012-08-09: Largest IV spike — 77.9% change
  • 2012-08-13: Highest IV Rank — 46.6%
  • 2012-08-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.86$33.43$36.06$34.31$36.06
Max Pain$34.21$30.00$35.00$30.00$35.00
ATM IV21.3%14.1%50.2%15.3%18.5%
Expected Move5.4%4.0%8.0%4.4%5.3%
HV 20d14.8%11.3%17.3%12.7%15.6%
HV 60d19.6%18.6%20.4%20.1%18.6%
IV Rank10.3%1.3%46.6%2.9%6.9%
IV Percentile17.6%0.4%93.7%0.8%8.7%
Term Structure0.6%-12.9%7.4%1.0%-6.8%
VWIV15.5%13.2%17.1%13.2%15.9%
Skew 25d9.6%-4.3%73.5%-2.0%-0.2%
Skew 10d13.9%-4.7%90.5%-4.7%4.3%
Call IV 25d17.8%13.8%22.8%20.6%17.5%
Put IV 25d27.4%15.3%93.1%18.6%17.3%
Bid-Ask Spread %99.0253.81129.69110.5657.58
Gamma HHI0.950.890.980.980.89
Net GEX211.8K88.2K435.0K295.4K88.2K
Net DEX-2.0M-3.9M-1.4M-2.4M-2.0M
Net VEX-8.5K-10.5K-7.1K-10.5K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0011.000.280.00
Total Volume25.69601774610
Total OI1,752.7391,2432,1292,1291,332

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$34.31$30.0015.3%4.4%12.7%2.9%13.2%-2.0%1.0%295.4K-2.4M-10.5K0.28110.56N/AN/A36101,811318
2012-08-02$34.08$30.0018.2%5.2%12.6%6.5%17.1%68.0%2.8%248.7K-1.8M-9.8K0.00107.22N/AN/A0201,807318
2012-08-03$34.41$30.0016.5%4.7%13.0%4.3%0.0%73.5%1.1%318.5K-2.2M-10.2K0.00111.59N/AN/A001,807313
2012-08-06$34.09$0.0017.3%4.5%13.1%5.4%0.0%-2.4%2.7%357.7K-2.2M-9.8K0.00114.95N/AN/A0601,807313
2012-08-07$34.10$0.0025.6%5.3%13.1%15.7%0.0%-3.3%0.7%257.4K-2.0M-9.5K0.00113.97N/AN/A001,807310
2012-08-08$33.78$0.0017.0%5.8%12.8%5.0%0.0%2.2%7.1%228.5K-1.4M-8.5K8.50125.55N/AN/A2171,807310
2012-08-09$33.43$0.0030.2%6.0%13.3%21.6%16.9%-2.0%2.9%191.6K-1.5M-8.5K0.00115.96N/AN/A801,809305
2012-08-10$33.44$35.0034.4%8.0%11.8%26.8%0.0%0.9%2.4%200.1K-1.5M-8.5K1.25125.67N/AN/A8101,805305
2012-08-13$33.47$35.0050.2%7.9%11.3%46.6%15.5%1.8%4.7%198.0K-1.6M-8.3K5.00129.69N/AN/A2101,797315
2012-08-14$33.90$35.0024.7%6.6%12.3%14.6%0.0%27.2%1.7%258.7K-1.6M-8.1K0.00122.91N/AN/A0141,799283
2012-08-15$34.70$35.0033.1%7.3%15.1%25.1%15.2%8.4%7.4%396.4K-2.4M-8.3K0.00123.71N/AN/A3501,799289
2012-08-16$35.52$35.0015.7%4.5%17.3%3.3%0.0%24.5%4.8%396.4K-3.7M-8.2K0.00121.38N/AN/A6801,805280
2012-08-17$35.56$35.0015.5%4.5%17.3%3.1%15.2%2.1%1.7%435.0K-3.9M-8.3K0.1794.86N/AN/A151261,741280
2012-08-20$35.54$35.0014.5%4.2%17.3%1.9%0.0%2.9%6.0%124.4K-1.8M-8.0K0.0080.58N/AN/A901,022221
2012-08-21$35.77$35.0014.9%4.3%17.1%2.4%0.0%2.8%1.3%123.6K-2.0M-7.7K0.0053.81N/AN/A601,031221
2012-08-22$35.71$35.0014.9%4.3%16.7%2.3%14.9%2.5%1.9%129.5K-2.1M-7.5K7.50105.16N/AN/A8601,031221
2012-08-23$35.34$35.0020.6%5.9%17.1%9.4%0.0%-0.9%-8.7%108.3K-1.7M-8.2K0.0098.17N/AN/A001,031281
2012-08-24$35.28$35.0015.3%4.4%17.0%2.9%0.0%2.1%-0.1%97.0K-1.6M-8.3K0.0093.84N/AN/A001,031281
2012-08-27$35.36$35.0015.8%4.5%16.4%3.5%15.9%2.5%-0.2%114.4K-1.7M-7.7K0.0079.10N/AN/A011,031281
2012-08-28$35.89$35.0014.1%4.0%16.6%1.3%0.0%18.1%4.1%112.6K-1.8M-7.1K0.0074.04N/AN/A501,031281
2012-08-29$36.01$35.0023.3%6.7%16.1%12.9%0.0%-4.3%-12.1%90.0K-2.0M-8.0K11.0056.19N/AN/A1111,036281
2012-08-30$36.06$35.0023.8%6.8%15.7%13.5%0.0%-2.9%-12.9%102.1K-2.0M-7.9K0.0060.97N/AN/A301,037292
2012-08-31$36.06$35.0018.5%5.3%15.6%6.9%0.0%-0.2%-6.8%88.2K-2.0M-8.1K0.0057.58N/AN/A1001,040292