PCH Options History — July 2013

In July 2013, PCH traded between $40.31 and $44.26. ATM implied volatility averaged 22.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.2% (HV 20d: 24.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-07-22: Highest Volume — 250 contracts
  • 2013-07-22: Largest IV spike — 85.2% change
  • 2013-07-01: Highest IV Rank — 44.5%
  • 2013-07-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$40.31$44.26$40.39$44.03
Max Pain$42.27$40.00$45.00$40.00$45.00
ATM IV22.4%12.7%27.8%27.8%15.4%
Expected Move6.5%3.6%8.0%8.0%4.4%
HV 20d24.7%20.2%29.5%29.5%20.3%
HV 60d26.0%25.0%26.8%26.7%25.8%
IV Rank31.2%7.1%44.5%44.5%13.7%
IV Percentile62.1%7.1%84.5%84.1%30.6%
Term Structure1.3%-7.8%11.3%-2.2%9.6%
VWIV22.4%10.3%28.2%28.2%10.3%
Skew 25d14.9%0.8%58.0%0.8%5.9%
Skew 10d16.6%-1.3%78.0%0.9%-0.8%
Call IV 25d16.8%10.9%25.9%25.7%11.5%
Put IV 25d31.7%16.0%76.7%26.5%17.3%
Bid-Ask Spread %73.5335.51106.1151.2996.68
Gamma HHI0.450.390.560.430.56
Net GEX102.7K52.6K205.3K65.1K205.3K
Net DEX-300.5K-1.2M344.0K106.5K-994.5K
Net VEX-9.0K-11.1K-8.1K-8.8K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.002.670.600.00
Total Volume24.7270250406
Total OI2,177.6822,0452,2032,1512,201

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$40.39$40.0027.8%8.0%29.5%44.5%28.2%0.8%-2.2%65.1K106.5K-8.8K0.6051.29N/AN/A25151,659492
2013-07-02$40.62$40.0027.1%7.8%29.3%42.8%0.0%1.0%-1.2%67.9K75.1K-9.2K0.0052.94N/AN/A0121,664503
2013-07-03$40.52$40.0027.6%7.9%29.2%44.0%0.0%3.0%-1.3%60.3K200.2K-8.7K0.4535.51N/AN/A22101,664515
2013-07-05$40.31$40.0025.7%7.4%27.6%39.4%0.0%10.2%-1.1%52.6K344.0K-8.1K2.6757.96N/AN/A6161,653525
2013-07-08$40.31$40.0024.5%7.3%27.6%36.3%17.6%4.8%0.5%57.2K284.1K-8.2K0.0044.32N/AN/A6101,659535
2013-07-09$41.06$40.0026.4%7.3%28.3%41.1%25.6%12.8%-1.1%64.9K123.8K-8.6K0.3344.44N/AN/A621,667535
2013-07-10$40.70$40.0023.3%7.3%28.3%33.3%0.0%5.9%1.1%68.9K72.5K-9.0K1.1046.43N/AN/A10111,667536
2013-07-11$41.52$40.0027.3%7.8%27.7%43.3%27.3%11.8%-2.3%76.2K-106.1K-8.6K0.0044.05N/AN/A1301,677524
2013-07-12$41.55$40.0026.2%7.5%26.7%40.5%26.2%11.4%-1.8%81.5K-162.5K-9.1K0.0044.70N/AN/A031,674524
2013-07-15$41.25$40.0025.8%7.4%26.7%39.5%0.0%8.0%-0.9%74.4K8.3K-8.4K0.0044.10N/AN/A101,674521
2013-07-16$41.55$40.0026.9%7.7%26.4%42.3%27.0%11.2%-1.4%79.8K-116.0K-8.5K2.5759.64N/AN/A7181,675521
2013-07-17$41.44$40.0026.9%7.7%26.1%42.3%0.0%12.9%-1.7%85.9K-207.9K-8.8K0.0098.75N/AN/A001,674519
2013-07-18$42.60$45.0021.2%6.1%22.1%28.2%0.0%19.5%11.3%84.5K-416.6K-8.5K0.00106.11N/AN/A001,597499
2013-07-19$42.68$45.0012.9%3.7%21.2%7.6%17.3%11.1%9.9%98.1K-301.9K-8.4K2.5098.95N/AN/A12301,597499
2013-07-22$42.26$45.0023.9%6.9%20.2%34.9%0.0%4.4%-7.8%89.1K-322.9K-8.8K0.09102.72N/AN/A230201,517528
2013-07-23$42.02$45.0024.8%7.1%20.3%37.0%22.1%5.6%-2.0%92.3K-212.2K-9.5K0.33102.40N/AN/A311,665538
2013-07-24$43.41$45.0015.4%4.4%22.3%13.7%0.0%7.9%8.3%155.2K-707.6K-9.8K0.0098.58N/AN/A001,665538
2013-07-25$44.26$45.0019.9%5.7%21.1%25.0%0.0%54.3%-1.1%177.7K-1.0M-9.3K0.00104.01N/AN/A001,665538
2013-07-26$44.05$45.0016.7%4.8%21.1%16.9%0.0%58.0%0.6%188.5K-1.1M-10.3K0.00100.12N/AN/A201,665538
2013-07-29$43.73$45.0012.7%3.6%20.3%7.1%0.0%14.3%7.7%151.0K-1.2M-11.1K0.0095.45N/AN/A021,663538
2013-07-30$43.70$45.0015.1%4.3%20.2%13.1%0.0%52.9%5.1%182.1K-842.3K-9.8K0.0088.53N/AN/A001,663538
2013-07-31$44.03$45.0015.4%4.4%20.3%13.7%10.3%5.9%9.6%205.3K-994.5K-9.1K0.0096.68N/AN/A601,663538