PCH Options History — September 2013

In September 2013, PCH traded between $38.00 and $40.80. ATM implied volatility averaged 21.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.4% (HV 20d: 22.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-09-30: Highest Volume — 56 contracts
  • 2013-09-09: Largest IV spike — 48.8% change
  • 2013-09-20: Highest IV Rank — 38.7%
  • 2013-09-20: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.46$38.00$40.80$38.00$39.68
Max Pain$35.75$35.00$40.00$40.00$35.00
ATM IV21.2%14.9%24.8%20.8%21.4%
Expected Move6.3%4.3%7.1%6.0%6.1%
HV 20d22.7%16.0%26.7%25.4%16.0%
HV 60d23.1%21.5%25.5%25.5%21.8%
IV Rank29.5%13.1%38.7%28.3%30.0%
IV Percentile59.3%24.6%79.0%56.3%61.1%
Term Structure2.5%-1.6%10.3%5.1%4.5%
VWIV25.8%21.3%30.3%30.3%21.3%
Skew 25d6.5%-2.4%27.3%-0.8%3.8%
Skew 10d10.9%-2.7%41.9%-1.2%6.1%
Call IV 25d20.9%16.2%23.1%21.1%20.6%
Put IV 25d27.4%19.4%44.2%20.3%24.4%
Bid-Ask Spread %86.6636.76108.8957.4040.73
Gamma HHI0.350.310.500.340.36
Net GEX-12.1K-25.0K1.6K-14.9K-10.5K
Net DEX373.6K54.1K608.1K581.5K297.8K
Net VEX-3.9K-4.4K-3.4K-3.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.002.501.080.24
Total Volume11.2056056
Total OI1,369.71,3321,4131,3411,413

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$38.00$40.0020.8%6.0%25.4%28.3%0.0%-0.8%5.1%-14.9K581.5K-3.8K0.0057.40N/AN/A00969372
2013-09-04$38.45$40.0018.1%5.2%26.3%21.3%0.0%8.0%10.3%-15.5K592.3K-3.8K0.00108.89N/AN/A00969372
2013-09-05$38.35$40.0014.9%4.3%26.3%13.1%0.0%0.9%7.5%-15.0K595.9K-3.7K0.00106.89N/AN/A00969372
2013-09-06$38.48$35.0015.6%6.9%26.4%15.0%30.3%7.1%1.3%-11.2K525.9K-4.1K1.0839.68N/AN/A1213969372
2013-09-09$38.90$35.0023.3%7.1%26.1%34.8%0.0%6.5%0.2%-20.6K608.1K-3.5K2.5090.75N/AN/A410981385
2013-09-10$39.28$35.0020.5%6.6%26.7%27.6%0.0%5.5%0.6%-15.0K515.4K-3.9K0.0096.18N/AN/A100985385
2013-09-11$39.25$35.0021.3%6.5%25.5%29.7%0.0%-2.3%-0.1%-18.8K515.1K-3.5K0.00102.20N/AN/A10985385
2013-09-12$39.13$35.0024.2%6.9%25.4%37.3%0.0%4.9%-0.5%-15.9K495.2K-3.9K0.0099.60N/AN/A00986385
2013-09-13$39.40$35.0022.9%6.6%22.4%33.9%0.0%-0.5%1.0%-15.9K424.7K-3.9K0.00100.07N/AN/A00986385
2013-09-16$39.60$35.0024.4%7.0%21.1%37.7%0.0%1.7%-0.3%-13.7K375.8K-4.0K0.00100.82N/AN/A50986385
2013-09-17$39.36$35.0024.2%6.9%20.1%37.1%0.0%0.8%-1.6%-20.0K446.3K-3.7K0.00104.18N/AN/A012991385
2013-09-18$40.32$35.0018.1%5.2%20.0%21.5%0.0%27.3%5.4%-25.0K315.9K-3.4K0.0097.72N/AN/A00991395
2013-09-19$40.80$35.0023.4%6.7%20.2%35.2%0.0%19.9%0.9%-4.6K118.4K-4.2K0.00101.36N/AN/A00991378
2013-09-20$40.69$35.0024.8%7.1%20.3%38.7%0.0%2.6%-1.1%-2.9K54.1K-4.4K0.00104.88N/AN/A00991378
2013-09-23$40.09$35.0019.8%5.7%21.0%25.8%21.3%-2.4%3.2%1.6K121.9K-4.1K0.67108.18N/AN/A2718981351
2013-09-24$40.06$35.0021.6%6.2%20.7%30.5%0.0%24.1%2.9%-6.3K187.1K-3.9K0.0096.03N/AN/A0151,008369
2013-09-25$39.55$35.0021.5%6.2%21.0%30.3%0.0%-1.5%3.8%-3.7K178.4K-4.2K0.00103.32N/AN/A001,008384
2013-09-26$39.99$35.0022.4%6.4%21.3%32.5%0.0%23.8%3.2%-4.9K251.2K-3.9K0.0037.59N/AN/A0131,008384
2013-09-27$39.73$35.0021.3%6.1%21.1%29.6%0.0%1.3%3.8%-9.8K270.3K-4.0K0.0036.76N/AN/A0281,008397
2013-09-30$39.68$35.0021.4%6.1%16.0%30.0%0.0%3.8%4.5%-10.5K297.8K-3.9K0.2440.73N/AN/A45111,008405