PCH Options History — November 2013

In November 2013, PCH traded between $38.66 and $41.24. ATM implied volatility averaged 44.4%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 25.1% (HV 20d: 19.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.02.

Notable Days

  • 2013-11-18: Highest Volume — 41 contracts
  • 2013-11-13: Largest IV spike — 147.2% change
  • 2013-11-07: Highest IV Rank — 100.0%
  • 2013-11-21: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.67$38.66$41.24$41.24$39.85
Max Pain$44.75$40.00$45.00$40.00$45.00
ATM IV44.4%26.2%98.0%37.8%35.4%
Expected Move11.0%6.4%14.8%10.8%10.1%
HV 20d19.3%14.9%27.5%26.8%18.4%
HV 60d22.3%20.6%24.4%24.4%21.1%
IV Rank50.8%21.6%100.0%72.5%29.0%
IV Percentile96.0%84.9%100.0%97.6%92.9%
Term Structure-14.9%-41.7%12.1%-15.8%-12.2%
VWIV20.7%20.7%20.7%20.7%20.7%
Skew 25d12.2%-4.2%50.4%-4.2%-1.4%
Skew 10d11.9%-5.5%37.4%6.9%-0.4%
Call IV 25d33.8%14.8%72.7%29.2%27.6%
Put IV 25d46.0%19.5%74.6%25.1%26.2%
Bid-Ask Spread %114.4565.60129.64124.6176.25
Gamma HHI0.480.340.610.440.49
Net GEX-6.1K-50.4K43.3K3176.3K
Net DEX49.1K-320.4K508.8K-265.6K-10.6K
Net VEX-2.5K-3.8K-1.6K-3.8K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.070.000.00
Total Volume6.55041336
Total OI1,142.254051,7321,728440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$41.24$40.0037.8%10.8%26.8%72.5%0.0%-4.2%-15.8%317-265.6K-3.8K0.00124.61N/AN/A031,293435
2013-11-04$40.90$45.0030.8%8.8%26.4%54.4%0.0%7.2%-5.0%-24.0K-174.8K-3.5K0.0096.22N/AN/A001,293438
2013-11-05$40.14$45.0026.2%7.8%27.5%42.4%0.0%8.4%1.9%-23.1K49.3K-3.3K0.00105.55N/AN/A001,293438
2013-11-06$40.23$45.0037.1%6.4%27.5%70.7%0.0%1.8%12.1%-11.3K-111.5K-3.6K0.0099.37N/AN/A001,293438
2013-11-07$39.68$45.0057.2%10.6%22.6%100.0%0.0%9.1%-17.9%-50.4K306.4K-3.1K0.00123.06N/AN/A001,293438
2013-11-08$40.00$45.0032.8%9.6%19.6%48.5%0.0%16.9%2.0%-46.7K189.1K-2.9K0.00118.68N/AN/A031,293438
2013-11-11$40.02$45.0080.3%13.9%19.1%100.0%0.0%50.4%-18.4%43.3K-320.4K-3.7K0.00122.46N/AN/A001,293439
2013-11-12$40.08$45.0039.6%11.1%19.1%42.3%0.0%35.8%-17.2%-4.9K107.8K-3.0K0.00127.98N/AN/A001,293439
2013-11-13$39.73$45.0098.0%13.1%17.0%100.0%0.0%26.4%-30.2%10.6K135.3K-2.7K0.00127.13N/AN/A101,293439
2013-11-14$39.10$45.0046.1%13.2%16.1%41.1%0.0%-3.8%-22.5%-27.2K402.2K-2.6K0.00125.30N/AN/A001,289435
2013-11-15$39.23$45.0046.7%13.4%15.8%41.8%0.0%10.4%-41.7%-38.6K508.8K-2.3K0.00129.04N/AN/A001,289435
2013-11-18$38.95$45.0032.7%9.4%15.5%25.9%0.0%7.9%-2.9%4.7K50.1K-1.6K0.03128.22N/AN/A401243170
2013-11-19$38.69$45.0035.9%10.3%15.5%29.5%0.0%13.9%-10.8%6.6K12.6K-1.8K0.00129.41N/AN/A10234171
2013-11-20$38.66$45.0050.9%14.6%14.9%46.6%0.0%-0.2%-37.9%5.0K37.2K-1.6K0.00129.64N/AN/A020235171
2013-11-21$39.37$45.0051.7%14.8%16.4%47.5%0.0%1.5%-36.3%4.8K17.6K-1.8K0.00128.89N/AN/A10235191
2013-11-22$39.34$45.0044.6%12.8%16.3%39.5%0.0%26.8%-20.6%8.5K-10.0K-1.9K0.00128.60N/AN/A00236191
2013-11-25$38.76$45.0037.7%10.8%16.7%31.6%0.0%19.1%-14.7%4.2K40.6K-1.8K0.00127.64N/AN/A010236191
2013-11-26$39.23$45.0037.6%10.8%17.2%31.5%0.0%1.8%-6.3%1.8K56.5K-1.7K0.0075.30N/AN/A00236201
2013-11-27$40.20$45.0028.9%8.3%18.2%21.6%20.7%16.6%-2.6%7.1K-38.8K-2.0K0.0765.60N/AN/A141236201
2013-11-29$39.85$45.0035.4%10.1%18.4%29.0%0.0%-1.4%-12.2%6.3K-10.6K-2.0K0.0076.25N/AN/A360239201