PCH Options History — February 2013

In February 2013, PCH traded between $43.63 and $45.50. ATM implied volatility averaged 16.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.8% (HV 20d: 17.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2013-02-11: Highest Volume — 269 contracts
2013-02-26: Largest IV spike — 44.6% change
2013-02-27: Highest IV Rank — 18.4%
2013-02-27: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.47	$43.63	$45.50	$43.77	$44.01
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	16.6%	11.0%	25.9%	16.0%	14.5%
Expected Move	4.7%	3.2%	7.4%	5.2%	4.2%
HV 20d	17.4%	15.8%	19.1%	17.6%	17.8%
HV 60d	15.9%	14.9%	17.3%	16.2%	17.3%
IV Rank	7.1%	0.2%	18.4%	6.3%	4.5%
IV Percentile	18.5%	0.4%	67.1%	12.3%	7.9%
Term Structure	-0.4%	-7.6%	2.2%	0.7%	1.5%
VWIV	18.4%	12.6%	30.8%	30.8%	15.0%
Skew 25d	15.5%	-0.6%	43.1%	24.5%	6.0%
Skew 10d	20.9%	-2.0%	54.4%	33.1%	3.9%
Call IV 25d	15.2%	13.1%	21.5%	17.5%	14.2%
Put IV 25d	30.7%	13.3%	64.6%	42.0%	20.2%
Bid-Ask Spread %	64.47	12.18	112.80	74.52	61.02
Gamma HHI	0.72	0.59	0.93	0.66	0.69
Net GEX	281.9K	119.6K	747.3K	199.0K	122.8K
Net DEX	-2.9M	-4.5M	-2.1M	-2.6M	-2.2M
Net VEX	-7.7K	-9.0K	-6.1K	-6.1K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	5.29	0.00	5.29
Total Volume	28.947	0	269	34	0
Total OI	1,380.316	1,076	1,761	1,421	1,124

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
2013-02-01	$43.77	$40.00	16.0%	5.2%	17.6%	6.3%	0.0%	24.5%	0.7%	199.0K	-2.6M	-6.1K	0.00	74.52	N/A	N/A	34	0	1,101	320
2013-02-04	$43.63	$40.00	22.8%	5.1%	17.8%	14.6%	0.0%	5.1%	0.9%	198.9K	-2.6M	-6.2K	1.10	50.52	N/A	N/A	10	11	1,124	320
2013-02-05	$43.73	$40.00	25.2%	5.2%	17.6%	17.6%	0.0%	-0.6%	0.8%	197.9K	-2.7M	-6.5K	0.95	62.78	N/A	N/A	21	20	1,134	331
2013-02-06	$44.10	$40.00	16.6%	5.6%	17.5%	7.1%	0.0%	27.4%	-1.6%	244.9K	-2.8M	-6.4K	3.00	57.10	N/A	N/A	10	30	1,155	340
2013-02-07	$44.03	$40.00	13.4%	3.9%	17.4%	3.2%	0.0%	26.7%	-0.2%	241.1K	-2.7M	-6.6K	0.00	35.96	N/A	N/A	0	0	1,165	370
2013-02-08	$44.53	$40.00	13.9%	4.0%	17.5%	3.7%	0.0%	1.0%	1.0%	241.1K	-3.1M	-6.6K	0.00	50.77	N/A	N/A	10	0	1,165	370
2013-02-11	$44.58	$40.00	13.9%	4.0%	17.6%	3.7%	30.8%	-0.3%	0.6%	402.3K	-3.0M	-6.3K	0.02	12.18	N/A	N/A	264	5	1,175	370
2013-02-12	$44.95	$40.00	15.7%	4.5%	17.6%	6.0%	0.0%	27.8%	-1.4%	559.4K	-3.8M	-9.0K	0.00	34.33	N/A	N/A	10	0	1,384	365
2013-02-13	$45.19	$40.00	15.1%	4.3%	17.5%	5.2%	15.1%	26.4%	-0.9%	747.3K	-4.2M	-8.7K	0.00	80.16	N/A	N/A	5	0	1,394	365
2013-02-14	$45.31	$40.00	15.2%	4.4%	17.3%	5.3%	0.0%	29.2%	-0.6%	629.4K	-4.5M	-8.7K	0.00	101.05	N/A	N/A	27	0	1,399	355
2013-02-15	$45.20	$40.00	12.6%	3.6%	15.9%	2.2%	12.6%	1.5%	2.0%	702.5K	-4.3M	-8.9K	0.00	76.99	N/A	N/A	34	0	1,406	355
2013-02-19	$45.50	$40.00	16.0%	4.6%	15.8%	6.4%	0.0%	26.4%	-2.4%	120.8K	-2.6M	-8.2K	0.00	54.28	N/A	N/A	0	0	905	171
2013-02-20	$44.74	$40.00	11.0%	3.2%	16.3%	0.2%	0.0%	0.4%	2.2%	130.7K	-2.4M	-8.3K	0.00	54.46	N/A	N/A	0	0	905	171
2013-02-21	$44.13	$40.00	13.2%	3.8%	15.9%	2.9%	0.0%	1.6%	-0.4%	121.8K	-2.1M	-8.6K	0.00	112.80	N/A	N/A	0	3	905	171
2013-02-22	$44.83	$40.00	14.9%	4.3%	16.8%	5.0%	15.0%	38.1%	-1.6%	128.5K	-2.4M	-8.1K	0.00	66.27	N/A	N/A	12	0	905	171
2013-02-25	$43.71	$40.00	16.4%	4.7%	19.1%	6.9%	0.0%	3.3%	1.4%	119.6K	-2.1M	-8.4K	5.29	73.13	N/A	N/A	7	37	916	171
2013-02-26	$44.20	$40.00	23.8%	6.8%	19.1%	15.8%	0.0%	7.2%	-1.4%	124.7K	-2.1M	-8.7K	0.00	90.08	N/A	N/A	0	0	916	208
2013-02-27	$44.77	$40.00	25.9%	7.4%	18.8%	18.4%	0.0%	43.1%	-7.6%	124.1K	-2.4M	-8.5K	0.00	76.57	N/A	N/A	0	0	916	208
2013-02-28	$44.01	$40.00	14.5%	4.2%	17.8%	4.5%	0.0%	6.0%	1.5%	122.8K	-2.2M	-8.2K	0.00	61.02	N/A	N/A	0	0	916	208