PCH Options History — February 2014

In February 2014, PCH traded between $37.92 and $40.42. ATM implied volatility averaged 38.7%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 15.1% (HV 20d: 23.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.60.

Notable Days

2014-02-11: Highest Volume — 82 contracts
2014-02-14: Largest IV spike — 121.5% change
2014-02-19: Highest IV Rank — 52.6%
2014-02-19: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.33	$37.92	$40.42	$38.37	$39.64
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	38.7%	22.0%	56.2%	44.3%	23.3%
Expected Move	10.7%	6.3%	16.1%	12.7%	6.7%
HV 20d	23.5%	20.9%	24.9%	22.7%	20.9%
HV 60d	19.8%	19.1%	20.2%	19.9%	19.2%
IV Rank	32.7%	13.8%	52.6%	39.1%	15.3%
IV Percentile	83.9%	48.8%	98.8%	95.2%	54.0%
Term Structure	-9.2%	-38.2%	17.0%	-5.5%	11.4%
VWIV	34.4%	23.6%	53.5%	53.5%	29.8%
Skew 25d	-3.7%	-29.5%	36.0%	2.3%	-0.5%
Skew 10d	13.1%	-25.8%	60.9%	60.9%	-0.3%
Call IV 25d	36.7%	22.6%	65.1%	38.8%	23.4%
Put IV 25d	33.0%	21.7%	60.3%	41.1%	22.9%
Bid-Ask Spread %	120.09	110.16	124.92	120.93	120.03
Gamma HHI	0.42	0.29	0.78	0.31	0.47
Net GEX	8.7K	916	28.8K	8.0K	4.0K
Net DEX	-72.5K	-171.3K	83.3K	-24.8K	-81.6K
Net VEX	-1.3K	-1.7K	-831	-1.4K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	3.00	0.00	0.00
Total Volume	6.895	0	82	2	0
Total OI	402.895	169	517	451	201

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$38.37	$40.00	44.3%	12.7%	22.7%	39.1%	53.5%	2.3%	-5.5%	8.0K	-24.8K	-1.4K	0.00	120.93	N/A	N/A	2	0	262	189
2014-02-04	$38.39	$40.00	51.4%	14.7%	22.7%	47.2%	0.0%	1.5%	-38.2%	7.4K	-21.7K	-1.4K	0.00	121.73	N/A	N/A	0	0	261	188
2014-02-05	$37.92	$40.00	49.6%	14.2%	22.5%	45.1%	0.0%	16.5%	-23.4%	2.8K	46.8K	-1.1K	0.00	123.24	N/A	N/A	0	0	261	188
2014-02-06	$38.23	$40.00	36.4%	10.4%	22.9%	30.1%	0.0%	36.0%	1.1%	2.7K	83.3K	-831	0.00	120.54	N/A	N/A	0	0	261	188
2014-02-07	$38.15	$0.00	41.0%	7.1%	22.8%	35.3%	0.0%	7.2%	-2.5%	2.5K	52.0K	-976	0.00	116.24	N/A	N/A	0	0	261	188
2014-02-10	$38.55	$0.00	37.8%	12.8%	23.1%	31.7%	0.0%	5.0%	-15.1%	4.6K	50.3K	-979	0.00	119.58	N/A	N/A	0	0	261	188
2014-02-11	$39.17	$0.00	48.9%	10.6%	23.8%	44.3%	34.5%	-6.9%	-9.6%	8.1K	-8.7K	-998	0.03	116.89	N/A	N/A	80	2	261	188
2014-02-12	$39.06	$40.00	56.1%	14.4%	23.8%	52.5%	0.0%	-29.5%	-20.3%	13.2K	-121.1K	-1.7K	0.00	121.98	N/A	N/A	0	0	316	190
2014-02-13	$39.76	$40.00	25.0%	7.2%	24.8%	17.1%	23.6%	2.7%	-4.1%	15.3K	-161.3K	-1.3K	0.00	118.75	N/A	N/A	0	7	316	190
2014-02-14	$39.91	$40.00	55.3%	15.8%	24.9%	51.6%	30.6%	-28.8%	-19.9%	16.7K	-171.3K	-1.6K	3.00	120.64	N/A	N/A	1	3	316	197
2014-02-18	$39.88	$40.00	25.6%	7.3%	24.9%	17.9%	0.0%	1.7%	-2.4%	28.8K	-147.8K	-1.3K	0.00	110.16	N/A	N/A	0	0	317	200
2014-02-19	$40.03	$40.00	56.2%	16.1%	24.7%	52.6%	0.0%	-18.9%	-26.9%	15.1K	-168.2K	-1.4K	0.00	123.72	N/A	N/A	0	0	317	200
2014-02-20	$40.42	$40.00	31.5%	9.0%	24.2%	24.6%	0.0%	-9.7%	0.1%	10.2K	-137.2K	-1.3K	0.00	124.92	N/A	N/A	4	0	292	200
2014-02-21	$40.09	$40.00	31.5%	9.0%	24.2%	24.6%	0.0%	-14.8%	-2.2%	10.0K	-130.2K	-1.2K	0.00	117.25	N/A	N/A	0	0	292	200
2014-02-24	$40.24	$40.00	22.0%	6.3%	23.8%	13.8%	0.0%	-0.9%	17.0%	916	-87.8K	-997	0.00	122.48	N/A	N/A	30	0	70	99
2014-02-25	$39.88	$40.00	40.6%	11.6%	24.0%	34.9%	0.0%	-16.1%	-18.2%	4.4K	-112.5K	-1.4K	0.00	124.73	N/A	N/A	0	0	100	99
2014-02-26	$40.11	$40.00	24.4%	7.0%	24.1%	16.5%	0.0%	-15.0%	-1.2%	5.5K	-124.5K	-1.3K	0.00	120.04	N/A	N/A	0	0	100	99
2014-02-27	$39.52	$40.00	34.2%	9.8%	22.4%	27.7%	29.8%	-1.1%	-14.0%	4.3K	-110.6K	-1.4K	0.00	117.81	N/A	N/A	0	2	100	99
2014-02-28	$39.64	$40.00	23.3%	6.7%	20.9%	15.3%	0.0%	-0.5%	11.4%	4.0K	-81.6K	-1.4K	0.00	120.03	N/A	N/A	0	0	100	101