PCH Options History — October 2012

In October 2012, PCH traded between $37.27 and $38.80. ATM implied volatility averaged 24.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 12.6% (HV 20d: 11.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2012-10-18: Highest Volume — 70 contracts
  • 2012-10-11: Largest IV drop — 51.3% change
  • 2012-10-10: Highest IV Rank — 28.8%
  • 2012-10-01: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.14$37.27$38.80$37.27$38.48
Max Pain$35.95$35.00$40.00$40.00$35.00
ATM IV24.3%16.4%36.0%32.1%20.7%
Expected Move6.2%4.7%9.2%9.2%5.9%
HV 20d11.7%9.7%12.9%12.9%11.4%
HV 60d13.4%13.2%13.9%13.6%13.2%
IV Rank14.2%4.2%28.8%23.9%9.6%
IV Percentile33.7%5.2%77.8%63.1%21.0%
Term Structure2.2%-13.6%8.8%-13.6%0.1%
VWIV16.7%7.8%48.2%9.5%48.2%
Skew 25d10.2%-2.1%47.0%6.0%12.5%
Skew 10d5.7%-3.1%69.9%8.3%1.3%
Call IV 25d12.8%8.1%26.1%17.5%10.7%
Put IV 25d23.1%15.3%73.1%23.5%23.1%
Bid-Ask Spread %98.5646.70124.42124.1582.13
Gamma HHI0.600.470.710.700.47
Net GEX93.8K44.6K120.2K120.2K86.3K
Net DEX-3.2M-3.5M-2.7M-2.7M-3.5M
Net VEX-4.6K-6.2K-2.9K-6.2K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.330.000.00
Total Volume13.61907032
Total OI1,3591,3061,5381,3061,538

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$37.27$40.0032.1%9.2%12.9%23.9%0.0%6.0%-13.6%120.2K-2.7M-6.2K0.00124.15N/AN/A301,082224
2012-10-02$37.51$40.0029.9%8.6%12.3%21.1%0.0%5.3%-4.9%114.8K-2.8M-5.6K0.00124.42N/AN/A301,082224
2012-10-03$37.81$40.0029.1%8.4%12.4%20.2%0.0%6.6%-3.9%104.3K-3.0M-5.5K0.0094.61N/AN/A001,084224
2012-10-04$37.93$40.0027.1%7.8%12.4%17.7%0.0%9.9%-4.1%106.9K-3.0M-5.0K0.0081.39N/AN/A001,084224
2012-10-05$38.12$35.0032.6%5.8%12.2%24.5%0.0%10.1%8.2%99.3K-3.0M-5.4K0.50105.96N/AN/A421,084224
2012-10-08$37.93$35.0029.4%5.8%12.1%20.6%0.0%-2.1%1.5%98.5K-3.2M-4.1K0.0084.98N/AN/A001,080226
2012-10-09$37.60$35.0033.6%5.1%12.6%25.7%9.5%7.1%6.4%116.4K-3.0M-5.0K0.0092.48N/AN/A401,080226
2012-10-10$37.82$35.0036.0%5.4%12.7%28.8%0.0%11.8%8.1%104.6K-3.0M-5.0K0.0083.49N/AN/A001,083226
2012-10-11$38.05$35.0017.5%5.0%12.6%5.6%0.0%7.7%8.8%104.4K-3.1M-4.5K0.00124.07N/AN/A001,083226
2012-10-12$37.92$35.0017.0%4.9%11.7%5.0%0.0%5.9%3.2%104.7K-3.0M-4.7K0.00122.62N/AN/A001,083226
2012-10-15$38.15$35.0019.8%5.7%10.0%8.5%0.0%16.2%8.6%104.0K-3.1M-4.6K0.0074.01N/AN/A001,083226
2012-10-16$38.37$35.0018.7%5.4%10.2%7.1%0.0%10.1%6.6%94.6K-3.2M-4.2K0.00101.28N/AN/A401,083226
2012-10-17$38.36$35.0020.0%5.7%10.0%8.7%0.0%1.4%3.1%60.6K-3.4M-2.9K0.0083.09N/AN/A1001,087226
2012-10-18$38.30$35.0022.1%6.4%9.7%11.4%15.7%-0.8%0.6%72.8K-3.4M-3.4K0.75116.17N/AN/A40301,087226
2012-10-19$37.98$35.0020.7%5.9%9.7%9.6%13.4%15.4%-0.4%108.9K-3.0M-5.1K1.33121.71N/AN/A9121,127256
2012-10-22$38.80$35.0028.1%8.1%12.3%18.9%15.3%9.6%3.2%62.9K-3.5M-3.4K1.33115.65N/AN/A21281,123267
2012-10-23$38.59$35.0016.4%4.7%12.5%4.2%15.7%47.0%-0.9%44.6K-3.5M-3.7K0.0476.79N/AN/A2611,143295
2012-10-24$38.78$35.0020.3%5.8%12.5%9.2%7.8%10.4%6.5%83.7K-3.5M-4.7K0.00105.98N/AN/A4701,169296
2012-10-25$38.53$35.0019.9%5.7%12.7%8.6%0.0%12.0%0.5%89.2K-3.5M-4.7K0.0046.70N/AN/A1001,202296
2012-10-26$38.57$35.0019.7%5.7%11.4%8.4%8.0%12.3%8.0%88.1K-3.5M-4.9K0.00108.17N/AN/A3001,212296
2012-10-31$38.48$35.0020.7%5.9%11.4%9.6%48.2%12.5%0.1%86.3K-3.5M-4.9K0.0082.13N/AN/A201,242296