PCH Options History — January 2013

In January 2013, PCH traded between $39.90 and $44.44. ATM implied volatility averaged 17.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.7% (HV 20d: 15.7%). 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 0.44.

Notable Days

  • 2013-01-24: Highest Volume — 294 contracts
  • 2013-01-29: Largest IV spike — 38.7% change
  • 2013-01-31: Highest IV Rank — 18.6%
  • 2013-01-31: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.98$39.90$44.44$39.90$43.39
Max Pain$39.52$35.00$40.00$35.00$40.00
ATM IV17.4%11.5%26.0%12.5%26.0%
Expected Move5.1%3.6%7.5%3.6%7.5%
HV 20d15.7%14.3%18.2%17.1%17.6%
HV 60d14.7%14.1%16.4%14.2%16.2%
IV Rank8.0%0.8%18.6%2.0%18.6%
IV Percentile19.6%0.4%63.1%0.8%63.1%
Term Structure2.2%-6.7%11.2%2.8%3.0%
VWIV17.0%8.6%30.4%14.7%30.4%
Skew 25d11.5%-2.3%39.1%39.1%9.0%
Skew 10d17.9%-12.6%56.4%56.1%-6.1%
Call IV 25d13.7%7.5%21.7%16.1%12.3%
Put IV 25d25.2%11.4%55.2%55.2%21.3%
Bid-Ask Spread %70.589.22125.6440.51125.64
Gamma HHI0.790.560.920.890.56
Net GEX118.5K68.3K228.4K90.1K171.7K
Net DEX-1.7M-3.0M-889.4K-889.4K-2.5M
Net VEX-4.9K-6.7K-3.1K-4.9K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.890.001.24
Total Volume38.3330294100
Total OI886.5717121,4217121,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$39.90$35.0012.5%3.6%17.1%2.0%0.0%39.1%2.8%90.1K-889.4K-4.9K0.0040.51N/AN/A100529183
2013-01-03$40.05$35.0013.0%3.7%17.0%2.7%0.0%34.1%2.0%102.6K-964.6K-4.9K0.0039.14N/AN/A00539183
2013-01-04$40.22$40.0012.7%4.3%15.8%2.2%0.0%29.5%2.2%104.1K-1.0M-4.9K0.0036.72N/AN/A00539183
2013-01-07$40.04$40.0012.4%4.0%16.0%1.9%0.0%1.2%3.3%109.5K-1.0M-4.8K0.0028.06N/AN/A00539183
2013-01-08$40.02$40.0014.0%4.4%15.4%3.8%0.0%1.1%2.2%101.9K-980.8K-4.8K0.009.22N/AN/A100539183
2013-01-09$40.53$40.0011.5%3.9%15.9%0.8%0.0%24.6%3.5%118.4K-1.1M-4.8K0.0021.07N/AN/A240549183
2013-01-10$40.57$40.0014.5%4.2%15.9%4.5%0.0%2.1%2.6%110.6K-1.2M-5.0K0.0025.31N/AN/A03563183
2013-01-11$40.72$40.0013.5%3.9%15.9%3.2%0.0%18.8%3.6%111.9K-1.3M-5.0K0.0012.28N/AN/A00563186
2013-01-14$40.77$40.0014.7%4.2%14.7%4.7%14.7%18.8%2.4%110.4K-1.3M-4.8K0.0033.99N/AN/A120563186
2013-01-15$41.14$40.0015.7%4.5%14.3%6.0%13.5%8.1%2.6%108.6K-1.3M-4.7K0.00103.50N/AN/A120563186
2013-01-16$41.66$40.0019.5%5.6%14.5%10.6%10.9%4.9%-2.6%88.4K-1.5M-4.4K0.00113.99N/AN/A60567186
2013-01-17$42.64$40.0021.2%6.1%15.7%12.7%8.6%5.7%11.2%86.2K-1.7M-3.9K0.53107.42N/AN/A1910573184
2013-01-18$42.56$40.0018.2%5.2%14.8%9.0%0.0%1.1%4.0%77.7K-1.7M-4.1K0.9277.77N/AN/A1211576194
2013-01-22$43.36$40.0021.1%6.1%15.3%12.5%25.6%11.8%-1.1%84.3K-1.9M-3.6K1.75108.71N/AN/A1221582195
2013-01-23$44.16$40.0019.4%5.6%15.1%10.5%0.0%12.4%5.2%76.3K-2.1M-3.1K0.0596.02N/AN/A211592216
2013-01-24$44.04$40.0020.3%5.8%15.2%11.6%16.1%2.4%-1.0%68.3K-2.0M-4.0K0.04113.25N/AN/A28410613217
2013-01-25$44.22$40.0023.4%6.7%14.3%15.4%17.7%3.1%-1.8%161.5K-2.5M-5.2K0.0092.22N/AN/A1560897227
2013-01-28$43.72$40.0015.2%4.4%15.6%5.4%15.2%1.5%-0.5%228.4K-2.8M-5.9K1.8969.69N/AN/A44831,041227
2013-01-29$44.44$40.0021.1%6.1%15.1%12.6%0.0%13.5%8.6%209.6K-3.0M-5.9K0.20105.78N/AN/A511,083309
2013-01-30$43.40$40.0025.5%7.3%18.2%17.9%30.4%-2.3%-6.7%167.8K-2.5M-6.5K1.24121.82N/AN/A17211,084309
2013-01-31$43.39$40.0026.0%7.5%17.6%18.6%0.0%9.0%3.0%171.7K-2.5M-6.7K0.00125.64N/AN/A001,101320