PCH Options History — May 2013

In May 2013, PCH traded between $45.26 and $51.04. ATM implied volatility averaged 16.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.5% (HV 20d: 22.1%). 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 17 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2013-05-13: Highest Volume — 236 contracts
  • 2013-05-31: Largest IV spike — 27.4% change
  • 2013-05-31: Highest IV Rank — 27.7%
  • 2013-05-31: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.76$45.26$51.04$46.38$45.43
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV16.5%13.9%23.0%19.7%23.0%
Expected Move4.7%3.5%6.6%5.7%6.6%
HV 20d22.1%15.8%26.4%24.5%25.7%
HV 60d20.3%19.1%22.6%19.9%21.8%
IV Rank14.1%8.4%27.7%20.8%27.7%
IV Percentile33.6%15.9%68.3%45.6%68.3%
Term Structure0.9%-3.7%3.6%-2.1%-2.1%
VWIV18.9%15.0%25.2%20.2%20.7%
Skew 25d4.6%-1.0%28.0%4.8%2.7%
Skew 10d8.1%-0.8%48.4%8.1%4.0%
Call IV 25d14.6%12.7%19.3%15.3%19.3%
Put IV 25d19.2%13.0%42.4%20.1%21.9%
Bid-Ask Spread %74.7419.35115.7219.35100.76
Gamma HHI0.540.430.660.440.43
Net GEX216.5K166.0K252.6K166.6K171.8K
Net DEX-4.6M-6.6M-2.0M-3.1M-2.0M
Net VEX-17.3K-18.6K-16.0K-18.6K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.005.000.635.00
Total Volume41.7270236260
Total OI2,390.4092,1762,6022,4412,314

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$46.38$45.0019.7%5.7%24.5%20.8%20.2%4.8%-2.1%166.6K-3.1M-18.6K0.6319.35N/AN/A16101,719722
2013-05-02$47.14$45.0017.3%5.0%24.9%15.7%0.0%5.7%-2.8%180.2K-3.6M-18.2K0.0028.04N/AN/A001,734732
2013-05-03$47.29$45.0014.5%4.1%24.7%9.7%24.9%-0.1%-0.7%186.0K-4.0M-17.2K0.0031.32N/AN/A2001,734732
2013-05-06$47.58$45.0014.4%3.7%24.5%9.6%0.0%3.4%2.5%187.9K-4.1M-17.4K0.0038.59N/AN/A501,754732
2013-05-07$48.32$45.0014.1%3.5%24.7%8.9%0.0%4.3%3.3%200.0K-4.5M-16.7K0.0045.39N/AN/A501,756732
2013-05-08$48.22$45.0013.9%3.6%24.7%8.4%0.0%5.0%3.6%204.7K-4.5M-17.1K0.0043.42N/AN/A2301,756732
2013-05-09$49.25$45.0015.7%4.3%25.6%12.2%15.0%4.7%1.7%213.3K-5.3M-16.0K0.0136.81N/AN/A7111,743732
2013-05-10$49.34$45.0014.6%4.6%25.4%10.0%0.0%-1.0%1.8%220.9K-4.9M-16.7K0.0043.67N/AN/A5401,686733
2013-05-13$49.54$45.0017.8%4.5%23.2%16.7%15.8%-1.0%1.9%216.7K-5.0M-16.2K0.0181.93N/AN/A23421,660733
2013-05-14$49.78$45.0015.6%4.7%22.5%12.1%16.6%5.1%2.1%241.6K-5.6M-18.5K0.0590.60N/AN/A2011,854734
2013-05-15$50.47$45.0014.8%4.9%20.1%10.3%0.0%28.0%1.4%238.3K-6.1M-18.3K0.4094.84N/AN/A2081,864735
2013-05-16$50.50$45.0016.8%4.8%20.0%14.6%23.1%2.3%1.7%238.2K-6.2M-18.1K0.0094.46N/AN/A1301,865732
2013-05-17$51.04$45.0016.6%4.8%19.8%14.3%0.0%25.6%2.5%252.6K-6.6M-16.5K0.1899.08N/AN/A2241,870732
2013-05-20$50.96$45.0016.6%4.8%19.9%14.3%16.7%3.3%1.8%249.6K-6.0M-16.5K0.00101.03N/AN/A801,744479
2013-05-21$50.99$45.0017.6%5.1%15.8%16.4%17.6%3.5%0.1%247.7K-6.0M-16.6K0.00101.60N/AN/A2101,749479
2013-05-22$49.96$45.0015.0%4.3%17.8%10.9%15.1%0.8%2.8%251.6K-5.3M-17.9K0.00103.78N/AN/A6201,739479
2013-05-23$49.65$45.0016.5%4.7%17.4%13.9%0.0%-0.9%0.4%243.4K-4.9M-18.0K0.00101.07N/AN/A201,735479
2013-05-24$49.54$45.0016.6%4.8%17.1%14.2%0.0%-0.5%0.5%246.8K-4.8M-18.0K0.00103.85N/AN/A2601,736479
2013-05-28$49.14$45.0015.4%4.4%17.3%11.7%16.3%3.4%1.9%248.2K-4.4M-17.5K0.09107.94N/AN/A108101,710479
2013-05-29$46.99$45.0019.4%5.6%23.9%20.0%25.2%-0.7%-3.7%191.7K-3.0M-17.5K0.02115.72N/AN/A13731,700476
2013-05-30$45.26$45.0018.1%5.2%26.4%17.3%20.7%2.2%2.3%166.0K-2.1M-16.4K5.0060.93N/AN/A2101,827477
2013-05-31$45.43$45.0023.0%6.6%25.7%27.7%0.0%2.7%-2.1%171.8K-2.0M-16.1K0.00100.76N/AN/A001,827487