PCH Options History — December 2013

In December 2013, PCH traded between $39.18 and $42.08. ATM implied volatility averaged 26.9%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.1% (HV 20d: 18.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-12-30: Highest Volume — 10 contracts
  • 2013-12-20: Largest IV spike — 83.9% change
  • 2013-12-04: Highest IV Rank — 39.1%
  • 2013-12-04: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.63$39.18$42.08$39.91$41.74
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV26.9%16.6%44.3%23.6%23.2%
Expected Move7.7%4.8%12.7%6.8%6.7%
HV 20d18.7%16.7%21.2%18.0%19.4%
HV 60d21.5%20.9%22.1%21.1%21.6%
IV Rank19.3%7.6%39.1%15.6%15.2%
IV Percentile70.6%35.3%96.4%68.7%64.3%
Term Structure-5.3%-23.4%4.6%-4.5%-2.5%
Skew 25d7.2%-17.0%46.5%1.5%-2.0%
Skew 10d9.8%-15.5%62.2%4.4%7.3%
Call IV 25d23.5%14.1%40.5%20.8%23.2%
Put IV 25d30.7%15.8%74.8%22.2%21.1%
Bid-Ask Spread %117.0779.83130.7079.83123.61
Gamma HHI0.450.350.530.390.48
Net GEX16.9K5.5K31.9K10.1K28.1K
Net DEX-175.7K-405.2K2.1K-61.6K-296.9K
Net VEX-1.9K-2.4K-1.4K-1.8K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.47601007
Total OI466.667437480476448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$39.91$45.0023.6%6.8%18.0%15.6%0.0%1.5%-4.5%10.1K-61.6K-1.8K0.0079.83N/AN/A00275201
2013-12-03$39.83$45.0039.8%11.4%17.8%34.0%0.0%1.3%-11.6%11.0K-129.4K-2.4K0.00130.70N/AN/A00275201
2013-12-04$39.63$45.0044.3%12.7%16.7%39.1%0.0%-5.8%-16.0%10.8K-112.5K-2.4K0.00126.63N/AN/A00275201
2013-12-05$39.75$45.0023.2%6.6%16.7%15.1%0.0%46.5%-1.1%8.3K-45.0K-1.9K0.00112.41N/AN/A00275201
2013-12-06$40.48$0.0020.8%6.1%17.2%12.5%0.0%1.6%0.8%10.1K-109.4K-1.9K0.00106.82N/AN/A10275201
2013-12-09$40.30$0.0021.8%5.8%17.1%13.5%0.0%2.0%1.5%10.8K-120.1K-1.9K0.00105.29N/AN/A30276201
2013-12-10$39.83$0.0019.4%6.0%17.6%10.8%0.0%3.9%2.9%5.7K-61.2K-1.9K0.00114.17N/AN/A00279201
2013-12-11$39.50$0.0024.3%6.1%17.8%16.4%0.0%-1.6%0.7%6.8K-26.6K-1.7K0.00110.68N/AN/A00279201
2013-12-12$39.18$0.0018.3%5.3%17.8%9.6%0.0%-4.0%1.6%5.7K2.1K-1.8K0.00105.67N/AN/A00279201
2013-12-13$39.61$0.0020.4%5.8%17.3%11.9%0.0%27.8%0.3%5.5K-30.5K-1.4K0.00105.48N/AN/A01277201
2013-12-16$40.55$0.0016.6%4.8%19.1%7.6%0.0%23.5%4.6%14.0K-131.4K-1.6K0.00112.67N/AN/A00277202
2013-12-17$40.71$0.0020.7%5.9%18.8%12.3%0.0%22.6%4.0%17.4K-214.3K-2.1K0.00122.45N/AN/A00277202
2013-12-18$41.54$0.0025.8%7.4%19.5%18.1%0.0%17.4%4.0%26.5K-283.2K-2.0K0.00123.64N/AN/A00277201
2013-12-19$40.78$0.0018.5%5.3%21.0%9.9%0.0%-15.2%3.8%20.4K-196.2K-1.8K0.00124.46N/AN/A40273201
2013-12-20$41.46$0.0034.1%9.8%20.8%27.5%0.0%12.2%-23.3%26.4K-278.7K-1.7K0.00125.66N/AN/A00276201
2013-12-23$41.48$0.0028.3%8.1%20.8%21.0%0.0%-17.0%-13.0%29.0K-278.1K-1.7K0.00125.86N/AN/A00256181
2013-12-24$42.08$0.0026.1%7.5%20.1%18.4%0.0%5.4%-0.1%21.0K-405.2K-2.1K0.00126.24N/AN/A20256181
2013-12-26$41.39$0.0040.6%11.6%21.2%34.9%0.0%18.3%-17.7%26.5K-284.7K-1.9K0.00124.20N/AN/A00258181
2013-12-27$41.69$0.0040.7%11.7%19.7%35.1%0.0%17.3%-23.4%31.9K-291.0K-1.5K0.00124.08N/AN/A30258181
2013-12-30$41.86$0.0033.3%9.6%19.3%26.7%0.0%-3.5%-21.8%28.7K-335.7K-1.8K0.00127.88N/AN/A010257181
2013-12-31$41.74$0.0023.2%6.7%19.4%15.2%0.0%-2.0%-2.5%28.1K-296.9K-1.9K0.00123.61N/AN/A70257191