PCH Options History — August 2013

In August 2013, PCH traded between $38.56 and $44.19. ATM implied volatility averaged 23.1%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.0% (HV 20d: 22.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.78.

Notable Days

  • 2013-08-16: Highest Volume — 65 contracts
  • 2013-08-13: Largest IV spike — 108.3% change
  • 2013-08-13: Highest IV Rank — 85.8%
  • 2013-08-22: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.58$38.56$44.19$44.19$38.56
Max Pain$40.83$40.00$45.00$45.00$40.00
ATM IV23.1%12.3%44.4%12.3%20.9%
Expected Move6.0%3.5%7.4%3.5%6.0%
HV 20d22.1%18.8%27.0%20.1%25.4%
HV 60d25.6%24.8%27.4%25.6%25.4%
IV Rank33.7%6.1%85.8%6.1%28.5%
IV Percentile62.4%3.2%99.2%3.2%56.7%
Term Structure1.9%-2.9%10.5%8.2%1.0%
VWIV26.9%22.3%35.8%35.8%22.5%
Skew 25d5.7%-4.2%28.6%2.5%-4.2%
Skew 10d7.6%-2.9%41.2%-1.7%-2.9%
Call IV 25d19.4%10.7%24.6%12.8%23.1%
Put IV 25d25.1%15.2%52.8%15.2%18.8%
Bid-Ask Spread %94.0149.37113.8996.6253.34
Gamma HHI0.400.290.570.570.32
Net GEX79.7K-12.1K251.5K251.5K-10.5K
Net DEX-126.7K-1.2M651.8K-1.2M490.3K
Net VEX-6.6K-10.6K-4.1K-10.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0020.000.001.67
Total Volume8.40906508
Total OI1,799.7271,2962,1982,1981,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$44.19$45.0012.3%3.5%20.1%6.1%0.0%2.5%8.2%251.5K-1.2M-10.0K0.0096.62N/AN/A001,660538
2013-08-02$44.01$45.0015.2%4.4%20.1%13.3%35.8%7.1%10.5%228.0K-1.2M-10.6K0.00101.82N/AN/A021,660538
2013-08-05$44.00$0.0016.6%5.4%20.1%16.6%0.0%-2.2%0.1%215.8K-929.2K-8.9K0.0095.90N/AN/A0111,660537
2013-08-06$43.58$0.0020.3%5.0%19.9%25.8%0.0%-2.1%2.1%174.6K-812.7K-8.7K0.00110.84N/AN/A001,660538
2013-08-07$43.27$0.0018.9%4.9%19.8%22.3%0.0%5.0%3.1%143.5K-527.0K-8.5K0.0068.91N/AN/A201,660538
2013-08-08$43.28$0.0018.2%4.8%18.8%20.7%0.0%4.1%1.6%136.5K-449.6K-7.9K0.0049.37N/AN/A001,660538
2013-08-09$43.91$0.0019.7%4.9%19.3%24.4%0.0%3.4%1.2%201.5K-778.3K-8.1K0.0052.96N/AN/A001,660538
2013-08-12$43.57$0.0021.3%5.0%19.3%28.5%0.0%3.9%1.2%168.1K-609.2K-8.4K0.00102.87N/AN/A801,660538
2013-08-13$42.43$0.0044.4%6.6%21.8%85.8%0.0%5.9%5.2%96.4K-279.7K-8.0K0.00106.22N/AN/A1001,649538
2013-08-14$42.47$0.0041.4%6.2%21.8%78.3%0.0%12.2%6.6%66.7K-119.8K-6.8K0.00102.82N/AN/A011,659533
2013-08-15$40.91$0.0024.8%7.1%23.5%37.0%0.0%5.9%-0.5%27.6K232.6K-6.2K0.00105.61N/AN/A001,659518
2013-08-16$39.98$0.0022.3%6.4%24.6%32.3%22.3%1.1%2.4%71.9K651.8K-5.3K0.55103.91N/AN/A42231,659518
2013-08-19$39.26$40.0020.5%5.9%25.1%27.7%0.0%20.6%0.4%-1.8K375.4K-4.7K0.03113.89N/AN/A341958338
2013-08-20$40.24$40.0024.6%7.1%27.0%38.2%0.0%24.4%0.2%-7.3K341.6K-4.3K20.00108.08N/AN/A120967339
2013-08-21$40.59$40.0024.5%7.0%24.1%38.1%0.0%4.9%-1.9%7.5K151.1K-5.5K0.00103.11N/AN/A50968355
2013-08-22$40.50$40.0025.9%7.4%22.5%41.7%0.0%3.7%0.6%4.2K204.2K-5.2K0.00105.17N/AN/A00969355
2013-08-23$40.52$40.0022.5%6.5%22.6%32.8%22.5%1.9%0.5%5.1K218.0K-5.0K0.00102.28N/AN/A017969355
2013-08-26$40.12$40.0024.6%7.1%22.7%38.3%0.0%-2.0%-2.9%-1.0K263.0K-5.1K0.00103.46N/AN/A00969372
2013-08-27$39.81$40.0025.0%7.2%22.7%39.3%0.0%1.5%-0.5%-5.7K336.1K-4.9K0.00105.67N/AN/A00969372
2013-08-28$39.59$40.0021.9%6.3%22.2%31.4%0.0%-0.6%1.7%-7.7K408.9K-4.6K0.0072.47N/AN/A00969372
2013-08-29$40.01$40.0023.0%6.6%22.7%34.1%0.0%28.6%1.1%-12.1K409.2K-4.1K0.00102.94N/AN/A00969372
2013-08-30$38.56$40.0020.9%6.0%25.4%28.5%0.0%-4.2%1.0%-10.5K490.3K-4.3K1.6753.34N/AN/A35969372