PCH Options History — October 2013

In October 2013, PCH traded between $38.17 and $43.62. ATM implied volatility averaged 20.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.9% (HV 20d: 23.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-10-21: Highest Volume — 261 contracts
  • 2013-10-10: Largest IV spike — 54.9% change
  • 2013-10-24: Highest IV Rank — 54.8%
  • 2013-10-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.15$38.17$43.62$40.34$40.83
Max Pain$39.35$35.00$40.00$35.00$40.00
ATM IV20.8%14.6%31.0%21.1%28.8%
Expected Move6.5%4.2%8.9%6.0%8.3%
HV 20d23.7%15.7%27.7%15.7%27.1%
HV 60d23.3%21.7%24.5%22.1%24.3%
IV Rank28.5%12.2%54.8%29.1%49.2%
IV Percentile57.1%23.4%96.0%57.5%93.7%
Term Structure0.0%-15.8%7.9%4.6%-9.5%
VWIV22.3%17.5%26.5%26.2%22.2%
Skew 25d9.5%-1.0%31.3%23.1%3.9%
Skew 10d15.3%1.6%43.2%42.6%9.8%
Call IV 25d18.7%11.4%26.1%19.6%22.0%
Put IV 25d28.2%20.1%55.8%42.7%25.9%
Bid-Ask Spread %74.7817.94122.1020.95120.06
Gamma HHI0.440.330.610.330.47
Net GEX11.4K-26.4K63.5K-2.9K11.6K
Net DEX-169.7K-791.1K498.0K93.3K-269.1K
Net VEX-3.8K-4.3K-2.9K-4.3K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.008.000.002.00
Total Volume20.739026100
Total OI1,538.6521,4251,7291,4411,729

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$40.34$35.0021.1%6.0%15.7%29.1%0.0%23.1%4.6%-2.9K93.3K-4.3K0.0020.95N/AN/A001,025416
2013-10-02$39.79$35.0021.3%6.1%16.4%29.7%0.0%1.0%5.5%-6.0K217.6K-4.2K0.0017.94N/AN/A021,025416
2013-10-03$39.23$35.0023.6%6.8%17.3%35.6%0.0%31.3%3.1%-7.4K298.3K-4.0K0.0037.46N/AN/A011,025416
2013-10-04$38.84$40.0020.5%7.7%17.7%27.7%26.2%7.7%-4.5%-11.2K346.5K-3.9K0.0076.19N/AN/A0181,025416
2013-10-07$38.28$40.0014.7%8.2%18.0%12.6%0.0%7.9%-4.4%-12.0K409.3K-3.7K0.0068.00N/AN/A501,025420
2013-10-08$38.18$40.0017.7%7.9%17.6%20.3%0.0%8.4%-2.3%-13.4K498.0K-3.6K0.0097.59N/AN/A001,022420
2013-10-09$38.17$40.0017.1%8.3%17.6%18.8%0.0%7.3%-5.1%-14.3K476.1K-3.5K0.0075.07N/AN/A001,022420
2013-10-10$39.98$40.0026.5%7.6%24.4%43.2%26.5%9.8%-2.9%-13.3K270.2K-3.6K1.4589.53N/AN/A11161,022420
2013-10-11$41.25$40.0019.7%5.6%26.6%25.5%22.2%14.7%7.6%-26.4K-13.4K-3.4K8.00106.02N/AN/A181,033418
2013-10-14$41.71$40.0026.2%7.5%26.8%42.5%0.0%15.4%-0.8%-3.1K-128.6K-3.7K0.0070.60N/AN/A301,034426
2013-10-15$41.77$40.0026.9%7.7%26.6%44.3%0.0%15.5%-1.7%4.6K-174.4K-3.9K0.2045.18N/AN/A511,037426
2013-10-16$42.68$40.0015.0%4.3%26.3%13.2%0.0%12.1%7.9%20.9K-417.9K-4.1K0.0058.07N/AN/A501,042426
2013-10-17$43.31$40.0017.1%4.9%26.5%18.7%0.0%3.1%1.2%19.9K-538.4K-2.9K0.0059.10N/AN/A001,032419
2013-10-18$43.62$40.0017.8%5.1%26.4%20.5%0.0%2.8%1.4%20.2K-587.9K-3.2K0.0094.73N/AN/A001,032419
2013-10-21$43.02$40.0018.6%5.3%26.3%22.7%19.0%4.9%-0.4%24.7K-455.0K-3.4K0.0291.42N/AN/A25561,026399
2013-10-22$42.91$40.0014.6%4.2%26.4%12.2%17.5%10.8%5.3%63.5K-791.1K-4.2K0.0198.70N/AN/A9011,264403
2013-10-23$42.18$40.0020.6%5.9%26.8%27.9%0.0%6.5%1.5%38.7K-570.4K-3.9K2.0047.54N/AN/A10201,283403
2013-10-24$42.48$40.0031.0%8.9%26.7%54.8%0.0%6.6%-15.8%49.5K-649.0K-4.1K0.00100.84N/AN/A001,293423
2013-10-25$42.58$40.0015.0%4.3%26.4%13.3%0.0%11.4%6.1%54.4K-662.2K-4.1K0.0093.88N/AN/A001,293423
2013-10-28$42.54$40.0016.7%4.8%26.4%17.9%0.0%10.3%5.0%52.1K-644.2K-3.8K0.0040.94N/AN/A0101,293423
2013-10-29$41.88$40.0023.5%6.8%26.8%35.5%22.2%5.6%-3.8%25.1K-443.0K-3.6K0.0088.03N/AN/A091,293433
2013-10-30$40.94$40.0025.0%7.2%27.7%39.4%0.0%-1.0%3.0%-12.4K-166.9K-3.7K0.00122.10N/AN/A001,293436
2013-10-31$40.83$40.0028.8%8.3%27.1%49.2%0.0%3.9%-9.5%11.6K-269.1K-3.5K0.00120.06N/AN/A001,293436