PCH Options History — January 2014

In January 2014, PCH traded between $39.56 and $41.89. ATM implied volatility averaged 32.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 15.8% (HV 20d: 16.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-01-07: Highest Volume — 3 contracts
  • 2014-01-14: Largest IV spike — 77.5% change
  • 2014-01-14: Highest IV Rank — 51.3%
  • 2014-01-31: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.95$39.56$41.89$41.43$40.00
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV32.4%21.1%55.1%35.4%44.7%
Expected Move8.6%5.1%12.8%10.1%12.8%
HV 20d16.6%12.1%19.6%19.6%18.0%
HV 60d18.4%16.8%21.5%21.5%18.4%
IV Rank25.6%12.8%51.3%29.0%39.6%
IV Percentile83.1%53.6%98.8%91.7%96.8%
Term Structure-4.2%-22.5%9.0%-22.5%-9.5%
VWIV31.0%15.2%46.9%15.2%46.9%
Skew 25d9.2%-13.3%27.5%-13.3%5.8%
Skew 10d19.2%0.7%45.3%7.8%34.9%
Call IV 25d21.0%13.8%52.4%52.4%28.1%
Put IV 25d30.2%18.7%52.7%39.1%33.9%
Bid-Ask Spread %116.59102.75126.28122.23119.87
Gamma HHI0.410.320.510.450.36
Net GEX21.8K11.9K33.3K28.0K14.9K
Net DEX-173.7K-307.7K-44.7K-269.0K-109.4K
Net VEX-1.5K-2.2K-1.0K-2.0K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.3330300
Total OI452.857449456453451

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$41.43$0.0035.4%10.1%19.6%29.0%0.0%-13.3%-22.5%28.0K-269.0K-2.0K0.00122.23N/AN/A00262191
2014-01-03$41.61$0.0022.1%6.3%19.4%13.9%0.0%-7.1%9.0%20.5K-289.0K-2.2K0.00119.00N/AN/A00262191
2014-01-06$41.62$40.0024.6%6.1%19.5%16.7%15.2%5.7%-1.4%23.2K-169.3K-1.2K0.00115.33N/AN/A10262191
2014-01-07$41.89$40.0025.6%6.8%18.6%17.8%0.0%6.7%-4.6%33.3K-307.7K-1.7K0.00111.66N/AN/A03262191
2014-01-08$41.47$40.0021.9%7.3%19.0%13.7%0.0%4.8%-8.7%28.0K-214.1K-1.5K0.00114.80N/AN/A00262194
2014-01-09$41.13$40.0021.1%5.7%18.7%12.8%0.0%8.1%2.5%28.0K-199.8K-1.5K0.00102.75N/AN/A00262194
2014-01-10$41.38$40.0023.8%5.1%18.4%15.8%0.0%17.5%7.9%22.0K-155.9K-1.3K0.00108.29N/AN/A00262194
2014-01-13$40.84$40.0031.0%6.0%18.8%24.0%0.0%5.5%1.1%20.3K-142.4K-1.3K0.00107.78N/AN/A00262194
2014-01-14$40.84$40.0055.1%11.4%18.5%51.3%0.0%18.4%-14.7%19.1K-172.7K-2.0K0.00112.43N/AN/A00262194
2014-01-15$40.69$40.0038.0%6.2%16.7%32.0%0.0%6.3%2.2%26.2K-182.0K-1.4K0.00104.45N/AN/A00260193
2014-01-16$40.56$40.0027.3%7.8%16.7%19.8%0.0%5.4%-2.0%17.2K-99.5K-1.4K0.00123.36N/AN/A00260193
2014-01-17$40.55$40.0030.0%8.6%14.8%22.9%0.0%13.8%-4.5%16.9K-98.1K-1.4K0.00119.49N/AN/A00260193
2014-01-21$40.86$40.0036.5%10.5%13.7%30.3%0.0%22.9%-1.4%20.4K-167.2K-1.5K0.00126.28N/AN/A00260193
2014-01-22$41.56$40.0026.0%7.5%13.7%18.3%0.0%0.9%-3.2%27.3K-243.3K-1.0K0.00125.23N/AN/A20260189
2014-01-23$41.30$40.0027.9%8.0%13.9%20.5%0.0%24.6%5.9%24.3K-191.7K-1.3K0.00118.64N/AN/A00262189
2014-01-24$40.72$40.0036.3%10.4%13.6%30.0%0.0%13.4%-5.3%19.7K-141.9K-1.5K0.00121.68N/AN/A00262189
2014-01-27$40.69$40.0038.7%11.1%12.4%32.8%0.0%10.1%-17.1%19.2K-151.5K-1.5K0.00121.76N/AN/A00262189
2014-01-28$40.71$40.0033.7%9.7%12.1%27.0%0.0%18.1%-8.9%19.0K-142.2K-1.2K0.00117.41N/AN/A00262189
2014-01-29$39.56$40.0038.3%11.0%15.3%32.3%46.9%-1.2%-7.4%11.9K-44.7K-1.3K0.00117.68N/AN/A10262189
2014-01-30$40.45$40.0042.4%12.2%17.7%36.9%0.0%27.5%-6.3%18.0K-155.2K-1.3K0.00118.33N/AN/A00262189
2014-01-31$40.00$40.0044.7%12.8%18.0%39.6%0.0%5.8%-9.5%14.9K-109.4K-1.5K0.00119.87N/AN/A00262189