PCH Options History — September 2012

In September 2012, PCH traded between $36.52 and $38.27. ATM implied volatility averaged 24.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 12.2% (HV 20d: 12.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.09.

Notable Days

2012-09-07: Highest Volume — 156 contracts
2012-09-11: Largest IV spike — 59.1% change
2012-09-11: Highest IV Rank — 34.3%
2012-09-12: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.56	$36.52	$38.27	$36.52	$37.37
Max Pain	$39.21	$35.00	$40.00	$35.00	$40.00
ATM IV	24.8%	15.3%	40.4%	27.2%	32.4%
Expected Move	6.9%	4.4%	11.1%	7.8%	9.3%
HV 20d	12.6%	9.7%	15.3%	15.3%	12.8%
HV 60d	16.4%	13.3%	18.6%	18.6%	13.6%
IV Rank	14.7%	2.9%	34.3%	17.7%	24.3%
IV Percentile	31.7%	3.2%	81.7%	40.5%	63.5%
Term Structure	-2.0%	-29.1%	12.9%	-10.2%	-16.6%
VWIV	7.7%	7.1%	8.2%	7.1%	8.2%
Skew 25d	5.4%	-19.9%	29.3%	1.2%	1.8%
Skew 10d	4.0%	-8.4%	29.1%	8.2%	1.6%
Call IV 25d	14.0%	7.8%	32.7%	21.2%	16.2%
Put IV 25d	19.5%	12.8%	39.3%	22.4%	18.0%
Bid-Ask Spread %	111.77	66.25	130.17	66.25	123.71
Gamma HHI	0.78	0.60	0.92	0.92	0.71
Net GEX	100.9K	65.0K	136.3K	124.0K	117.0K
Net DEX	-2.9M	-3.3M	-2.2M	-2.2M	-2.8M
Net VEX	-5.0K	-7.5K	-2.2K	-7.5K	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	1.00	0.00	0.00
Total Volume	16.842	0	156	0	0
Total OI	1,291.368	1,188	1,340	1,340	1,306

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$36.52	$35.00	27.2%	7.8%	15.3%	17.7%	0.0%	1.2%	-10.2%	124.0K	-2.2M	-7.5K	0.00	66.25	N/A	N/A	0	0	1,048	292
2012-09-05	$36.77	$35.00	25.6%	7.3%	15.3%	15.8%	0.0%	-19.9%	-15.3%	91.8K	-2.5M	-6.9K	0.00	114.87	N/A	N/A	5	0	1,044	292
2012-09-06	$36.82	$35.00	34.3%	9.8%	14.6%	26.6%	0.0%	-13.3%	-29.1%	100.0K	-2.4M	-7.3K	0.00	95.51	N/A	N/A	6	0	1,048	292
2012-09-07	$37.15	$40.00	31.4%	6.2%	13.5%	23.0%	0.0%	4.7%	-5.6%	94.0K	-2.5M	-7.1K	0.00	116.04	N/A	N/A	156	0	1,046	292
2012-09-10	$37.45	$40.00	25.4%	6.9%	13.4%	15.5%	0.0%	8.7%	-11.4%	107.0K	-2.4M	-5.0K	0.00	113.17	N/A	N/A	0	0	896	292
2012-09-11	$37.41	$40.00	40.4%	7.2%	13.6%	34.3%	0.0%	7.2%	-9.4%	112.5K	-2.7M	-6.1K	0.00	103.44	N/A	N/A	0	0	1,032	292
2012-09-12	$37.49	$40.00	23.8%	11.1%	13.3%	13.5%	0.0%	29.3%	-12.8%	136.3K	-2.7M	-5.9K	0.00	130.17	N/A	N/A	0	0	1,024	292
2012-09-13	$37.77	$40.00	25.8%	7.4%	11.5%	16.0%	0.0%	-0.2%	12.9%	99.3K	-3.2M	-2.2K	0.00	122.06	N/A	N/A	38	0	957	292
2012-09-14	$38.27	$40.00	19.7%	5.6%	9.7%	8.4%	7.1%	10.6%	8.3%	119.6K	-3.2M	-3.1K	0.11	116.25	N/A	N/A	19	2	991	292
2012-09-17	$37.60	$40.00	15.3%	4.4%	12.3%	2.9%	0.0%	2.6%	5.1%	82.6K	-3.1M	-4.2K	0.00	119.52	N/A	N/A	6	0	1,010	290
2012-09-18	$37.67	$40.00	19.3%	5.5%	12.2%	7.9%	8.2%	14.7%	7.5%	102.4K	-2.8M	-5.0K	0.00	109.94	N/A	N/A	6	0	1,010	290
2012-09-19	$37.88	$40.00	21.2%	6.1%	12.2%	10.2%	0.0%	8.9%	7.7%	110.5K	-3.0M	-4.3K	0.00	127.46	N/A	N/A	0	0	1,012	290
2012-09-20	$37.64	$40.00	24.6%	7.0%	12.5%	14.4%	0.0%	6.0%	5.4%	85.9K	-2.9M	-4.6K	0.00	104.59	N/A	N/A	0	0	1,012	290
2012-09-21	$38.00	$40.00	21.5%	6.2%	11.8%	10.6%	0.0%	10.9%	6.7%	105.4K	-3.1M	-4.1K	0.00	114.11	N/A	N/A	4	0	1,010	290
2012-09-24	$38.04	$40.00	22.8%	6.5%	11.6%	12.2%	0.0%	9.4%	5.5%	111.8K	-3.2M	-3.4K	0.00	122.64	N/A	N/A	10	0	1,014	214
2012-09-25	$38.00	$40.00	18.6%	5.3%	11.8%	7.0%	0.0%	6.9%	5.3%	75.0K	-3.3M	-3.3K	1.00	99.79	N/A	N/A	10	10	1,024	214
2012-09-26	$37.86	$40.00	20.0%	5.7%	11.2%	8.7%	0.0%	6.0%	4.5%	65.0K	-3.2M	-3.9K	0.00	106.91	N/A	N/A	30	0	1,034	224
2012-09-27	$37.92	$40.00	21.9%	6.3%	11.2%	11.1%	0.0%	7.9%	3.0%	76.8K	-3.2M	-4.3K	0.00	117.30	N/A	N/A	18	0	1,064	224
2012-09-28	$37.37	$40.00	32.4%	9.3%	12.8%	24.3%	0.0%	1.8%	-16.6%	117.0K	-2.8M	-6.1K	0.00	123.71	N/A	N/A	0	0	1,082	224