PCH Options History — June 2013

In June 2013, PCH traded between $39.93 and $45.36. ATM implied volatility averaged 24.8%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.0% (HV 20d: 27.9%). 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 6 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2013-06-24: Highest Volume — 92 contracts
  • 2013-06-17: Largest IV spike — 37.3% change
  • 2013-06-17: Highest IV Rank — 54.8%
  • 2013-06-17: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.38$39.93$45.36$45.36$40.44
Max Pain$44.50$40.00$45.00$45.00$40.00
ATM IV24.8%17.0%32.0%24.0%27.3%
Expected Move7.3%6.4%9.2%6.9%7.8%
HV 20d27.9%25.3%33.3%25.6%29.5%
HV 60d24.5%21.8%26.9%21.8%26.8%
IV Rank35.0%15.1%54.8%29.9%43.2%
IV Percentile74.1%40.5%90.9%72.2%83.7%
Term Structure-2.3%-11.7%4.4%-1.9%-1.4%
VWIV26.0%23.8%28.2%28.2%23.8%
Skew 25d6.5%-3.1%36.4%2.3%3.7%
Skew 10d11.5%-1.6%56.7%3.5%4.4%
Call IV 25d21.4%17.6%25.0%20.8%22.1%
Put IV 25d27.9%17.2%58.1%23.1%25.9%
Bid-Ask Spread %88.8342.93107.81102.8551.04
Gamma HHI0.420.380.460.420.44
Net GEX101.7K48.9K167.9K167.9K69.3K
Net DEX-587.8K-1.9M409.2K-1.9M19.1K
Net VEX-11.6K-15.3K-7.9K-15.3K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.004.800.000.00
Total Volume18.05092145
Total OI2,263.72,0982,3242,3142,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$45.36$45.0024.0%6.9%25.6%29.9%0.0%2.3%-1.9%167.9K-1.9M-15.3K0.00102.85N/AN/A1401,827487
2013-06-04$44.44$45.0024.8%7.1%26.2%31.5%0.0%-1.8%-2.5%147.4K-1.5M-14.9K3.00103.52N/AN/A131,832487
2013-06-05$43.99$45.0024.1%6.9%25.3%29.9%0.0%-1.9%-2.0%136.6K-1.3M-14.4K0.0042.93N/AN/A001,831490
2013-06-06$44.94$45.0024.0%6.9%27.0%29.8%0.0%36.4%-1.9%159.8K-1.7M-14.1K0.0048.30N/AN/A201,831480
2013-06-07$44.48$45.0023.3%6.4%25.4%28.4%0.0%8.6%-0.9%150.4K-1.5M-14.6K0.0092.63N/AN/A001,829480
2013-06-10$43.68$45.0024.5%6.6%25.7%30.9%0.0%-3.1%1.0%130.5K-1.3M-13.9K0.0097.20N/AN/A001,829480
2013-06-11$43.22$45.0017.0%6.6%25.4%15.1%0.0%4.9%-1.4%120.2K-929.3K-13.0K0.0098.51N/AN/A021,829480
2013-06-12$42.00$45.0020.2%8.8%26.2%21.8%0.0%2.8%-6.4%96.3K-547.0K-12.3K0.0095.45N/AN/A401,829480
2013-06-13$42.82$45.0022.9%6.6%26.9%27.5%0.0%5.2%-6.1%104.9K-435.7K-10.8K0.0092.39N/AN/A0211,829480
2013-06-14$42.54$45.0023.3%6.7%26.7%33.3%28.2%5.2%-3.0%103.9K-576.3K-12.0K0.0086.37N/AN/A011,829481
2013-06-17$41.96$45.0032.0%9.2%25.7%54.8%0.0%2.3%-11.7%85.5K-245.7K-10.7K4.8091.76N/AN/A5241,829482
2013-06-18$42.41$45.0023.7%6.8%26.6%34.3%0.0%3.8%4.4%97.1K-404.1K-10.8K0.0094.76N/AN/A4201,829470
2013-06-19$40.50$45.0029.7%8.5%29.3%49.3%0.0%10.8%-7.9%53.4K343.1K-8.4K0.85105.17N/AN/A26221,854470
2013-06-20$39.93$45.0029.0%8.3%29.2%47.4%0.0%3.1%-5.3%48.9K409.2K-7.9K0.7396.81N/AN/A1181,834446
2013-06-21$40.90$45.0024.2%6.9%31.7%35.5%0.0%12.8%0.0%60.4K215.5K-8.4K1.00104.68N/AN/A20201,834446
2013-06-24$40.76$45.0026.1%7.5%31.7%40.2%0.0%9.4%0.6%74.0K-91.0K-10.1K0.14102.44N/AN/A81111,642456
2013-06-25$41.54$45.0024.9%7.1%33.3%37.4%0.0%10.5%2.7%82.4K-239.1K-10.1K0.0099.72N/AN/A0221,653467
2013-06-26$40.61$45.0023.9%6.8%30.9%34.8%23.8%3.3%0.8%75.1K-159.9K-10.8K0.23107.81N/AN/A1331,653489
2013-06-27$41.09$40.0028.0%8.0%29.4%44.9%0.0%11.0%-2.8%70.2K10.6K-9.2K0.0062.20N/AN/A001,658492
2013-06-28$40.44$40.0027.3%7.8%29.5%43.2%0.0%3.7%-1.4%69.3K19.1K-9.6K0.0051.04N/AN/A501,658492