PCH Options History — November 2012

In November 2012, PCH traded between $37.55 and $39.01. ATM implied volatility averaged 25.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 11.6% (HV 20d: 13.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2012-11-16: Highest Volume — 64 contracts
  • 2012-11-05: Largest IV spike — 113.7% change
  • 2012-11-14: Highest IV Rank — 44.6%
  • 2012-11-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.44$37.55$39.01$38.74$38.95
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.2%12.3%48.4%23.5%21.8%
Expected Move5.5%3.5%8.1%6.7%6.2%
HV 20d13.5%11.4%15.9%11.4%14.5%
HV 60d12.7%11.6%13.3%13.0%12.6%
IV Rank15.6%0.0%44.6%13.2%11.7%
IV Percentile40.6%0.0%97.6%32.5%28.6%
Term Structure3.4%-3.1%7.9%6.5%6.5%
VWIV11.6%10.4%12.9%12.9%10.4%
Skew 25d4.0%-6.8%15.3%15.3%11.9%
Skew 10d0.0%-5.3%7.8%1.1%-2.0%
Call IV 25d13.3%7.5%21.8%10.1%9.3%
Put IV 25d17.3%12.2%25.4%25.4%21.2%
Bid-Ask Spread %94.6050.35130.71107.61122.07
Gamma HHI0.580.480.770.490.77
Net GEX75.7K45.1K127.1K87.5K56.7K
Net DEX-2.3M-3.7M-740.7K-3.6M-934.0K
Net VEX-4.4K-4.9K-3.9K-4.7K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.000.003.00
Total Volume11.762064100
Total OI1,184.196331,6101,538686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$38.74$35.0023.5%6.7%11.4%13.2%0.0%15.3%6.5%87.5K-3.6M-4.7K0.00107.61N/AN/A1001,242296
2012-11-02$38.35$35.0012.7%3.6%11.8%0.0%0.0%1.5%2.9%69.3K-3.6M-4.0K0.0082.40N/AN/A001,252296
2012-11-05$38.67$35.0027.2%5.8%12.1%18.1%0.0%-2.4%1.6%91.9K-3.6M-4.4K0.0064.35N/AN/A1001,252296
2012-11-06$38.86$35.0025.6%3.9%12.1%16.1%0.0%-2.3%3.4%88.5K-3.7M-4.2K0.0052.15N/AN/A001,262296
2012-11-07$38.34$35.0025.5%3.9%13.0%16.0%0.0%3.0%7.9%92.0K-3.5M-4.3K0.0071.20N/AN/A1001,262296
2012-11-08$38.09$35.0026.4%5.1%12.8%17.1%0.0%1.9%3.3%102.5K-3.4M-4.6K1.1055.76N/AN/A10111,272296
2012-11-09$38.00$35.0031.9%5.8%12.7%23.9%0.0%3.3%2.1%106.1K-3.3M-4.8K0.0058.42N/AN/A1001,282305
2012-11-12$38.19$35.0044.2%4.4%12.7%39.3%0.0%-3.6%2.3%107.7K-3.4M-4.6K0.0059.07N/AN/A1001,292305
2012-11-13$38.26$35.0036.1%4.6%12.6%29.2%0.0%-1.6%2.1%78.0K-3.6M-4.4K0.1350.35N/AN/A811,301305
2012-11-14$37.55$35.0048.4%6.5%14.1%44.6%12.9%-6.8%-3.1%127.1K-3.2M-4.6K0.0076.71N/AN/A0101,305305
2012-11-15$37.65$35.0027.7%7.9%14.0%18.7%0.0%-6.2%-0.0%122.0K-3.1M-4.9K2.00126.92N/AN/A121,300304
2012-11-16$37.70$35.0016.2%4.6%14.0%4.3%10.4%6.6%4.2%53.1K-3.4M-4.2K0.02118.08N/AN/A6311,300306
2012-11-19$38.22$35.0021.6%6.2%14.9%11.1%0.0%7.2%2.1%45.1K-740.7K-4.3K0.00122.67N/AN/A20491142
2012-11-20$38.92$35.0015.1%4.3%15.9%2.9%0.0%8.1%7.8%55.0K-855.1K-3.9K0.00112.80N/AN/A210493142
2012-11-21$38.91$35.0018.1%5.2%14.0%6.7%0.0%9.2%6.5%49.9K-922.3K-4.5K0.29118.34N/AN/A175514142
2012-11-23$39.01$35.0018.5%5.3%13.9%7.2%0.0%11.2%5.9%54.8K-929.3K-4.4K0.0094.10N/AN/A00521142
2012-11-26$38.66$35.0012.3%3.5%14.2%0.0%0.0%2.5%6.1%53.2K-882.1K-4.5K0.00114.58N/AN/A50521142
2012-11-27$38.41$35.0021.2%6.1%14.2%11.0%0.0%5.2%3.0%49.4K-838.8K-4.4K0.00126.57N/AN/A00526142
2012-11-28$38.80$35.0026.3%7.5%14.6%17.3%0.0%11.0%-0.8%51.9K-860.6K-4.2K0.00121.76N/AN/A00526142
2012-11-29$38.98$35.0028.2%8.1%14.7%19.7%0.0%9.9%-0.1%47.5K-895.5K-4.3K3.00130.71N/AN/A1030526142
2012-11-30$38.95$35.0021.8%6.2%14.5%11.7%0.0%11.9%6.5%56.7K-934.0K-4.3K0.00122.07N/AN/A00534152