PCH Options History — April 2013

In April 2013, PCH traded between $44.79 and $48.12. ATM implied volatility averaged 14.9%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.8% (HV 20d: 18.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.44.

Notable Days

  • 2013-04-23: Highest Volume — 620 contracts
  • 2013-04-23: Largest IV drop — 50.8% change
  • 2013-04-22: Highest IV Rank — 26.8%
  • 2013-04-22: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.19$44.79$48.12$45.48$47.35
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.9%9.8%22.7%14.5%13.4%
Expected Move4.4%2.8%6.5%4.2%3.8%
HV 20d18.6%13.3%25.0%15.4%24.7%
HV 60d18.5%16.8%20.2%16.8%19.4%
IV Rank10.3%0.0%26.8%9.5%7.5%
IV Percentile19.4%0.0%60.3%16.7%10.3%
Term Structure1.1%-5.8%6.4%-0.4%3.6%
VWIV19.4%16.5%23.4%16.5%16.8%
Skew 25d7.7%-2.6%28.9%18.9%2.3%
Skew 10d16.9%0.3%51.3%41.2%2.5%
Call IV 25d13.9%9.6%17.7%15.4%11.4%
Put IV 25d21.5%12.3%46.6%34.3%13.7%
Bid-Ask Spread %74.9331.62115.5540.9331.62
Gamma HHI0.570.460.650.640.46
Net GEX137.7K109.5K194.9K128.0K178.3K
Net DEX-2.7M-4.5M-1.4M-2.0M-3.9M
Net VEX-15.1K-18.2K-12.9K-13.0K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.0064.330.000.20
Total Volume56.5062010
Total OI1,892.5911,4982,4411,4992,441

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$45.48$45.0014.5%4.2%15.4%9.5%0.0%18.9%-0.4%128.0K-2.0M-13.0K0.0040.93N/AN/A101,079420
2013-04-02$45.91$45.0013.4%3.8%15.2%7.0%0.0%-2.6%1.3%126.0K-2.2M-12.9K0.00115.55N/AN/A001,078420
2013-04-03$44.88$45.0014.4%4.1%16.6%9.3%0.0%1.1%-0.2%129.6K-1.8M-13.1K0.00105.90N/AN/A001,078420
2013-04-04$45.24$45.0015.4%4.4%13.3%11.3%0.0%28.9%1.0%121.4K-1.7M-13.4K0.79102.60N/AN/A1351061,078420
2013-04-05$45.78$45.0014.4%4.5%13.6%9.3%0.0%20.8%2.8%138.8K-2.1M-14.4K0.00102.35N/AN/A8001,203520
2013-04-08$46.30$45.0012.8%4.8%14.0%5.8%0.0%4.7%1.0%123.0K-2.7M-14.6K0.0098.91N/AN/A601,213520
2013-04-09$45.93$45.0011.6%4.5%14.4%3.3%0.0%3.5%1.6%126.7K-2.6M-14.7K0.0078.41N/AN/A001,219520
2013-04-10$46.31$45.0013.5%4.7%14.2%7.2%16.5%13.1%1.2%124.9K-2.7M-14.6K1.0099.25N/AN/A10101,219520
2013-04-11$46.43$45.0017.2%4.9%14.2%15.2%17.2%4.4%1.4%122.2K-2.8M-14.4K0.0098.83N/AN/A401,219530
2013-04-12$46.21$45.0015.5%4.4%14.3%11.5%0.0%10.4%1.9%124.3K-2.7M-14.3K0.00100.06N/AN/A001,217530
2013-04-15$45.08$45.0016.1%4.6%16.9%12.8%0.0%1.3%-0.1%132.6K-2.0M-14.2K64.33107.72N/AN/A31931,217530
2013-04-16$45.98$45.0017.0%4.9%18.2%14.7%0.0%18.7%0.3%119.6K-2.3M-14.9K0.0099.58N/AN/A301,218669
2013-04-17$44.88$45.0017.9%5.1%20.4%16.6%0.0%0.2%-1.3%118.0K-1.6M-15.3K0.0098.87N/AN/A001,221669
2013-04-18$44.79$45.0018.9%5.4%20.0%18.8%0.0%1.0%-0.0%109.5K-1.4M-15.5K0.0036.78N/AN/A101,221669
2013-04-19$45.44$45.0018.6%5.3%20.5%18.2%0.0%27.9%-1.4%122.8K-1.9M-15.3K0.0040.66N/AN/A501,221669
2013-04-22$45.84$45.0022.7%6.5%20.7%26.8%22.8%4.1%-5.8%110.3K-2.1M-14.8K0.0056.91N/AN/A3201,198660
2013-04-23$47.61$45.0011.2%3.2%24.5%2.4%23.4%0.5%6.4%114.2K-3.7M-13.0K0.1351.96N/AN/A549711,220660
2013-04-24$47.41$45.0013.4%3.8%24.5%7.1%0.0%1.0%-1.2%188.9K-4.0M-18.0K0.0062.75N/AN/A601,710721
2013-04-25$48.12$45.009.8%2.8%24.8%0.0%16.8%4.3%6.0%191.3K-4.5M-17.9K0.1446.55N/AN/A1421,708721
2013-04-26$47.72$45.0013.4%3.8%25.0%7.5%0.0%3.7%4.3%194.9K-4.2M-18.2K0.2039.16N/AN/A1021,709721
2013-04-29$47.52$45.0012.3%3.5%24.8%5.3%0.0%0.7%2.5%184.6K-4.0M-18.1K0.0033.14N/AN/A001,719722
2013-04-30$47.35$45.0013.4%3.8%24.7%7.5%0.0%2.3%3.6%178.3K-3.9M-17.8K0.0031.62N/AN/A001,719722