PCH Options History — March 2013

In March 2013, PCH traded between $44.17 and $45.86. ATM implied volatility averaged 13.2%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 6.3% (HV 20d: 19.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.31.

Notable Days

2013-03-26: Highest Volume — 241 contracts
2013-03-04: Largest IV spike — 49.5% change
2013-03-25: Highest IV Rank — 8.6%
2013-03-04: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.85	$44.17	$45.86	$44.24	$45.86
Max Pain	$44.74	$40.00	$45.00	$40.00	$45.00
ATM IV	13.2%	10.0%	15.0%	10.0%	14.1%
Expected Move	3.9%	2.9%	4.1%	2.9%	4.0%
HV 20d	19.5%	15.0%	21.4%	17.8%	15.0%
HV 60d	17.7%	17.0%	18.3%	17.4%	17.0%
IV Rank	5.1%	0.0%	8.6%	0.0%	8.6%
IV Percentile	7.4%	0.0%	13.9%	0.0%	13.9%
Term Structure	1.2%	-0.7%	6.2%	6.2%	0.2%
VWIV	13.8%	13.5%	14.3%	14.3%	14.1%
Skew 25d	4.4%	-1.0%	23.9%	5.6%	1.2%
Skew 10d	7.5%	-4.8%	36.9%	-4.8%	4.2%
Call IV 25d	13.3%	11.7%	14.0%	11.7%	13.5%
Put IV 25d	17.7%	12.7%	37.4%	17.4%	14.8%
Bid-Ask Spread %	37.26	16.46	82.39	82.39	42.05
Gamma HHI	0.88	0.57	0.99	0.57	0.67
Net GEX	144.6K	94.5K	261.0K	129.6K	152.0K
Net DEX	-1.6M	-2.7M	-1.2M	-2.1M	-2.3M
Net VEX	-9.1K	-12.9K	-7.5K	-8.3K	-12.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	2.00	0.33	0.23
Total Volume	41.75	0	241	10	94
Total OI	1,065.65	892	1,405	1,124	1,405

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
2013-03-01	$44.24	$40.00	10.0%	2.9%	17.8%	0.0%	0.0%	5.6%	6.2%	129.6K	-2.1M	-8.3K	0.00	82.39	N/A	N/A	0	10	916	208
2013-03-04	$44.75	$0.00	15.0%	4.1%	18.0%	6.0%	14.3%	0.1%	0.7%	130.2K	-2.4M	-8.4K	0.33	48.77	N/A	N/A	30	10	916	218
2013-03-05	$45.41	$45.00	13.5%	3.9%	18.6%	4.2%	13.7%	0.9%	2.4%	160.6K	-2.7M	-8.1K	0.00	32.60	N/A	N/A	2	0	937	228
2013-03-06	$44.17	$45.00	11.9%	4.1%	21.3%	2.3%	0.0%	-1.0%	-0.7%	124.5K	-1.2M	-7.5K	0.00	49.69	N/A	N/A	0	0	664	228
2013-03-07	$44.58	$45.00	12.5%	3.9%	21.4%	3.0%	13.6%	0.2%	2.0%	139.8K	-1.2M	-7.7K	0.00	44.17	N/A	N/A	1	0	664	228
2013-03-08	$44.60	$45.00	12.6%	4.0%	21.4%	3.0%	13.8%	-0.2%	1.4%	147.4K	-1.3M	-7.7K	0.02	21.95	N/A	N/A	134	3	665	228
2013-03-11	$44.83	$45.00	12.4%	4.1%	21.1%	2.9%	0.0%	0.8%	1.1%	180.7K	-1.6M	-8.5K	0.00	16.46	N/A	N/A	10	0	781	231
2013-03-12	$44.48	$45.00	12.8%	4.1%	21.3%	3.4%	0.0%	-0.6%	1.3%	178.2K	-1.4M	-8.6K	0.00	29.56	N/A	N/A	0	10	791	231
2013-03-13	$44.52	$45.00	12.5%	3.9%	21.0%	3.0%	13.5%	0.3%	0.9%	186.5K	-1.4M	-8.7K	0.00	45.73	N/A	N/A	0	12	791	241
2013-03-14	$44.80	$45.00	14.0%	4.0%	21.1%	4.7%	0.0%	0.8%	0.7%	261.0K	-1.5M	-8.6K	0.00	29.18	N/A	N/A	1	0	781	253
2013-03-15	$44.55	$45.00	13.5%	3.9%	21.1%	4.2%	0.0%	0.0%	1.2%	187.3K	-1.4M	-8.6K	0.00	27.55	N/A	N/A	1	0	782	253
2013-03-18	$44.43	$45.00	13.8%	4.0%	21.1%	4.6%	0.0%	0.3%	1.1%	94.5K	-1.2M	-8.4K	1.67	49.58	N/A	N/A	12	20	697	252
2013-03-19	$44.52	$45.00	13.8%	4.0%	21.0%	8.0%	13.8%	23.9%	1.5%	94.8K	-1.2M	-8.8K	0.08	39.99	N/A	N/A	51	4	708	272
2013-03-20	$45.04	$45.00	12.8%	3.7%	20.6%	5.9%	0.0%	21.8%	2.2%	108.4K	-1.5M	-9.2K	0.00	24.75	N/A	N/A	25	0	752	276
2013-03-21	$44.84	$45.00	14.0%	4.0%	20.0%	8.5%	0.0%	0.6%	0.4%	110.6K	-1.5M	-9.5K	2.00	26.10	N/A	N/A	10	20	772	276
2013-03-22	$45.05	$45.00	13.5%	3.9%	19.2%	7.3%	0.0%	1.0%	0.7%	109.6K	-1.6M	-9.8K	0.34	24.42	N/A	N/A	29	10	782	296
2013-03-25	$45.25	$45.00	14.1%	4.0%	16.7%	8.6%	14.1%	1.3%	0.3%	118.6K	-1.7M	-9.8K	0.00	35.33	N/A	N/A	41	0	793	306
2013-03-26	$45.65	$45.00	13.8%	4.0%	16.6%	8.0%	0.0%	14.4%	-0.2%	129.5K	-1.9M	-10.2K	0.04	37.29	N/A	N/A	231	10	834	306
2013-03-27	$45.44	$45.00	13.0%	3.7%	16.2%	6.2%	0.0%	17.3%	0.5%	148.1K	-2.0M	-12.5K	0.23	37.71	N/A	N/A	44	10	1,035	316
2013-03-28	$45.86	$45.00	14.1%	4.0%	15.0%	8.6%	0.0%	1.2%	0.2%	152.0K	-2.3M	-12.9K	0.00	42.05	N/A	N/A	0	94	1,079	326