PCH Options History — December 2012

In December 2012, PCH traded between $38.12 and $39.15. ATM implied volatility averaged 23.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 8.9% (HV 20d: 14.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.96.

Notable Days

2012-12-28: Highest Volume — 148 contracts
2012-12-05: Largest IV spike — 103.1% change
2012-12-12: Highest IV Rank — 34.9%
2012-12-21: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.72	$38.12	$39.15	$39.01	$39.15
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	23.2%	10.8%	40.4%	20.1%	18.1%
Expected Move	5.9%	3.1%	8.5%	5.8%	5.2%
HV 20d	14.3%	13.4%	15.7%	14.0%	15.7%
HV 60d	13.1%	12.6%	13.8%	12.6%	13.8%
IV Rank	13.9%	0.0%	34.9%	9.7%	8.9%
IV Percentile	37.1%	0.0%	94.8%	21.4%	13.1%
Term Structure	2.9%	-4.1%	8.3%	4.1%	0.3%
VWIV	11.2%	9.1%	13.3%	9.1%	13.3%
Skew 25d	8.0%	-1.6%	36.7%	11.8%	5.7%
Skew 10d	4.9%	-2.5%	52.2%	0.9%	1.9%
Call IV 25d	14.7%	9.7%	30.2%	9.7%	14.3%
Put IV 25d	22.7%	13.5%	66.9%	21.5%	20.1%
Bid-Ask Spread %	83.98	27.68	123.09	68.95	56.28
Gamma HHI	0.72	0.65	0.84	0.74	0.84
Net GEX	50.2K	36.2K	83.9K	53.9K	83.9K
Net DEX	-631.6K	-995.1K	-326.8K	-969.0K	-665.7K
Net VEX	-3.9K	-4.6K	-3.4K	-4.4K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.00	5.00	0.00	0.00
Total Volume	12.95	0	148	6	4
Total OI	627.9	544	720	686	709

Daily Data (20 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
2012-12-03	$39.01	$35.00	20.1%	5.8%	14.0%	9.7%	9.1%	11.8%	4.1%	53.9K	-969.0K	-4.4K	0.00	68.95	N/A	N/A	6	0	534	152
2012-12-04	$38.83	$35.00	14.5%	4.1%	13.8%	2.6%	0.0%	5.6%	4.5%	58.2K	-952.7K	-4.3K	0.00	27.68	N/A	N/A	0	0	540	152
2012-12-05	$38.26	$35.00	29.4%	8.4%	14.7%	21.2%	0.0%	8.1%	3.3%	50.1K	-889.5K	-4.5K	0.00	60.03	N/A	N/A	0	0	540	152
2012-12-06	$38.40	$35.00	17.4%	5.0%	13.9%	6.3%	0.0%	7.0%	2.6%	55.0K	-841.1K	-4.1K	0.00	64.26	N/A	N/A	8	0	540	152
2012-12-07	$38.94	$35.00	34.1%	5.9%	14.5%	27.1%	0.0%	8.3%	7.0%	54.1K	-991.1K	-4.3K	0.00	86.86	N/A	N/A	0	0	548	152
2012-12-10	$39.00	$35.00	38.6%	6.2%	14.5%	32.6%	0.0%	26.1%	2.0%	63.1K	-973.7K	-4.0K	0.00	61.00	N/A	N/A	0	0	548	152
2012-12-11	$38.99	$35.00	30.1%	6.6%	14.4%	22.0%	0.0%	4.0%	2.0%	61.1K	-995.1K	-4.1K	0.00	66.63	N/A	N/A	0	21	548	152
2012-12-12	$38.95	$35.00	40.4%	7.6%	14.4%	34.9%	0.0%	5.4%	1.5%	61.1K	-982.7K	-4.1K	3.67	66.56	N/A	N/A	3	11	548	172
2012-12-13	$38.41	$35.00	23.3%	6.7%	13.6%	13.6%	0.0%	1.8%	2.1%	36.9K	-387.4K	-3.7K	0.00	121.97	N/A	N/A	0	10	386	183
2012-12-14	$38.12	$35.00	13.5%	3.9%	14.0%	1.4%	0.0%	0.0%	3.2%	36.7K	-326.8K	-3.6K	0.00	81.85	N/A	N/A	10	0	386	193
2012-12-17	$38.47	$35.00	15.5%	4.5%	14.3%	4.0%	13.3%	-1.6%	2.2%	40.1K	-339.8K	-3.5K	0.00	76.46	N/A	N/A	6	0	386	193
2012-12-18	$38.99	$35.00	21.0%	6.0%	14.3%	10.7%	0.0%	5.3%	3.0%	46.9K	-430.2K	-3.5K	0.00	106.38	N/A	N/A	0	0	392	193
2012-12-19	$38.55	$35.00	21.5%	6.2%	13.4%	11.3%	0.0%	1.7%	0.4%	47.8K	-411.6K	-3.6K	0.00	113.16	N/A	N/A	0	0	392	193
2012-12-20	$39.07	$35.00	20.5%	5.9%	14.3%	10.1%	0.0%	5.5%	2.3%	50.8K	-454.0K	-3.4K	0.00	117.66	N/A	N/A	0	0	387	183
2012-12-21	$38.75	$35.00	29.8%	8.5%	14.5%	21.6%	0.0%	36.7%	-4.1%	44.8K	-435.2K	-3.5K	0.00	122.46	N/A	N/A	0	0	387	183
2012-12-24	$38.72	$35.00	26.7%	7.7%	14.2%	17.9%	0.0%	6.9%	2.6%	40.3K	-432.0K	-3.5K	5.00	123.09	N/A	N/A	2	10	371	173
2012-12-26	$38.41	$35.00	10.8%	3.1%	14.3%	0.0%	0.0%	2.7%	8.3%	36.2K	-369.1K	-3.5K	0.00	122.74	N/A	N/A	0	0	373	183
2012-12-27	$38.84	$35.00	20.0%	5.7%	14.4%	11.2%	0.0%	10.8%	6.1%	41.9K	-385.3K	-3.4K	0.00	68.41	N/A	N/A	20	0	373	183
2012-12-28	$38.52	$35.00	19.2%	5.5%	14.6%	10.2%	0.0%	9.2%	4.9%	41.7K	-400.4K	-3.6K	0.00	67.11	N/A	N/A	148	0	391	183
2012-12-31	$39.15	$35.00	18.1%	5.2%	15.7%	8.9%	0.0%	5.7%	0.3%	83.9K	-665.7K	-4.6K	0.00	56.28	N/A	N/A	4	0	526	183