PCH Options History — March 2014

In March 2014, PCH traded between $37.70 and $40.14. ATM implied volatility averaged 33.2%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 16.5% (HV 20d: 16.7%). 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 9 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2014-03-20: Highest Volume — 9 contracts
  • 2014-03-11: Largest IV spike — 73.2% change
  • 2014-03-04: Highest IV Rank — 40.8%
  • 2014-03-04: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.67$37.70$40.14$39.34$38.69
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.2%21.3%45.8%36.2%45.5%
Expected Move9.3%6.1%13.1%10.4%13.0%
HV 20d16.7%14.0%20.7%20.7%19.3%
HV 60d19.0%18.4%19.8%19.3%19.0%
IV Rank26.5%13.0%40.8%30.0%40.5%
IV Percentile75.1%42.9%94.4%84.9%94.0%
Term Structure-1.8%-16.1%21.9%-7.0%-14.4%
VWIV24.1%24.1%24.1%24.1%24.1%
Skew 25d6.7%-19.6%58.7%3.0%4.4%
Skew 10d16.7%-17.7%90.8%3.5%16.9%
Call IV 25d35.0%18.4%54.3%27.6%54.3%
Put IV 25d41.6%22.1%96.1%30.6%58.7%
Bid-Ask Spread %120.4198.03129.02126.22120.88
Gamma HHI0.470.420.500.480.47
Net GEX3.3K1.9K4.3K3.8K3.6K
Net DEX-67.8K-117.8K-37.7K-56.4K-41.9K
Net VEX-1.3K-1.4K-1.1K-1.4K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.008.000.000.00
Total Volume1.2860954
Total OI199.286197205201202

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$39.34$40.0036.2%10.4%20.7%30.0%0.0%3.0%-7.0%3.8K-56.4K-1.4K0.00126.22N/AN/A50100101
2014-03-04$40.14$40.0045.8%13.1%15.5%40.8%0.0%-10.5%4.4%2.6K-96.3K-1.4K0.00120.84N/AN/A00100101
2014-03-05$39.72$40.0021.9%6.3%16.2%13.7%0.0%47.5%13.9%3.3K-95.7K-1.3K0.00118.78N/AN/A00100101
2014-03-06$40.02$40.0021.3%6.1%15.4%13.0%0.0%58.7%3.3%3.9K-110.9K-1.3K0.00121.52N/AN/A0010097
2014-03-07$39.67$0.0031.5%9.2%15.8%24.6%0.0%9.6%-6.2%3.9K-117.8K-1.3K0.00122.78N/AN/A0010097
2014-03-10$39.31$0.0023.5%6.9%16.2%15.5%24.1%5.8%0.3%3.3K-87.7K-1.3K0.0098.03N/AN/A1010097
2014-03-11$38.95$40.0040.8%10.2%16.3%35.1%0.0%9.0%-4.7%4.2K-96.0K-1.3K0.00122.12N/AN/A0010197
2014-03-12$38.56$40.0041.0%9.2%15.6%35.3%0.0%12.8%-4.9%3.1K-50.9K-1.3K0.00118.17N/AN/A0010197
2014-03-13$38.32$40.0038.5%11.0%15.7%32.5%0.0%-3.4%-5.9%4.0K-82.4K-1.3K0.00125.15N/AN/A0010197
2014-03-14$38.44$40.0030.1%8.6%14.2%23.0%0.0%-8.5%5.0%3.8K-57.3K-1.3K0.00122.03N/AN/A0010197
2014-03-17$38.35$40.0023.1%6.6%14.0%15.1%0.0%7.8%3.9%4.1K-73.7K-1.2K0.00125.31N/AN/A0110197
2014-03-18$38.88$40.0021.9%6.3%15.1%13.7%0.0%4.5%21.9%2.1K-68.5K-1.3K0.00118.56N/AN/A0010197
2014-03-19$37.79$40.0025.1%7.2%17.8%17.3%0.0%8.3%11.2%3.6K-73.4K-1.2K0.00116.93N/AN/A0410197
2014-03-20$38.14$40.0039.2%11.2%17.7%33.3%0.0%13.0%-14.7%1.9K-41.5K-1.1K8.00124.34N/AN/A1810196
2014-03-21$38.17$40.0037.5%10.8%17.7%31.4%0.0%2.5%-2.0%2.2K-55.8K-1.3K0.00118.63N/AN/A00101104
2014-03-24$37.96$40.0033.0%9.5%17.5%26.2%0.0%-14.9%1.3%3.2K-61.8K-1.3K0.00116.86N/AN/A0010099
2014-03-25$38.25$40.0031.8%9.1%17.8%24.9%0.0%1.2%-12.3%2.2K-37.7K-1.2K0.00118.13N/AN/A0010099
2014-03-26$37.80$40.0028.9%8.3%17.8%21.6%0.0%-19.6%-16.1%4.2K-39.6K-1.2K0.00116.66N/AN/A3010099
2014-03-27$37.70$40.0045.4%13.0%17.3%40.4%0.0%1.6%-12.6%2.5K-40.6K-1.3K0.00129.02N/AN/A0010399
2014-03-28$37.81$40.0035.4%10.2%17.3%29.1%0.0%7.1%-1.9%4.3K-38.4K-1.2K0.00127.59N/AN/A0010399
2014-03-31$38.69$40.0045.5%13.0%19.3%40.5%0.0%4.4%-14.4%3.6K-41.9K-1.1K0.00120.88N/AN/A4010399