PCH Options History — May 2014

In May 2014, PCH traded between $37.81 and $40.22. ATM implied volatility averaged 40.8%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 23.0% (HV 20d: 17.8%). 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 0.11.

Notable Days

  • 2014-05-27: Highest Volume — 42 contracts
  • 2014-05-22: Largest IV spike — 91.6% change
  • 2014-05-14: Highest IV Rank — 97.7%
  • 2014-05-01: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$37.81$40.22$38.19$40.16
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV40.8%16.5%96.0%47.8%17.7%
Expected Move8.9%4.7%13.7%13.7%5.1%
HV 20d17.8%15.6%21.3%16.1%21.2%
HV 60d17.6%16.7%19.1%16.7%18.5%
IV Rank33.3%4.9%97.7%41.4%6.3%
IV Percentile70.5%6.3%99.6%94.0%9.1%
Term Structure-1.1%-9.8%11.4%5.0%-0.9%
VWIV22.9%19.8%28.0%28.0%20.8%
Skew 25d18.5%-6.3%76.8%8.5%52.7%
Skew 10d27.5%-6.7%92.6%18.2%78.7%
Call IV 25d32.4%16.2%54.0%54.0%26.7%
Put IV 25d50.9%23.6%106.5%62.4%79.4%
Bid-Ask Spread %124.35111.67133.20130.39111.67
Gamma HHI0.650.490.920.490.86
Net GEX11.4K4.9K27.9K4.9K27.9K
Net DEX-115.8K-286.2K-42.1K-63.4K-271.2K
Net VEX-1.3K-1.7K-1.1K-1.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.000.00
Total Volume5.33304201
Total OI232.571166268257225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$38.19$40.0047.8%13.7%16.1%41.4%0.0%8.5%5.0%4.9K-63.4K-1.5K0.00130.39N/AN/A00134123
2014-05-02$38.65$40.0037.4%10.7%16.6%29.3%0.0%34.1%9.0%7.2K-86.0K-1.4K0.00125.01N/AN/A00134123
2014-05-05$38.96$0.0034.0%8.0%15.6%25.3%0.0%14.5%-3.7%10.4K-99.2K-1.3K0.00123.73N/AN/A00134123
2014-05-06$38.29$0.0046.3%7.9%16.8%39.6%28.0%12.3%-2.5%6.5K-90.3K-1.4K0.00120.57N/AN/A110134123
2014-05-07$39.05$40.0042.0%10.2%18.2%34.6%0.0%1.5%-6.7%10.4K-129.2K-1.4K0.00125.57N/AN/A00145123
2014-05-08$38.55$40.0039.2%5.4%18.8%31.4%0.0%1.9%11.4%10.9K-120.9K-1.4K0.00120.83N/AN/A00145123
2014-05-09$38.76$40.0048.7%8.4%16.8%42.5%0.0%2.9%-0.1%9.6K-104.7K-1.3K0.00120.37N/AN/A00145121
2014-05-12$39.24$40.0069.8%10.7%16.7%67.1%0.0%9.3%-9.8%8.9K-154.4K-1.4K0.00126.37N/AN/A00145121
2014-05-13$38.65$40.0077.4%8.5%17.2%76.0%0.0%7.8%3.3%8.2K-125.5K-1.3K0.00124.68N/AN/A10145121
2014-05-14$38.38$40.0096.0%11.2%17.3%97.7%0.0%9.5%-9.4%6.8K-107.7K-1.3K0.00129.25N/AN/A00146121
2014-05-15$38.27$40.0030.9%8.8%17.3%21.7%0.0%27.5%-7.6%9.2K-77.8K-1.2K0.00121.75N/AN/A00146121
2014-05-16$38.64$40.0017.3%5.0%17.6%5.8%19.8%14.6%0.1%10.0K-57.7K-1.1K1.00116.06N/AN/A2020146121
2014-05-19$38.63$40.0028.0%8.0%17.4%18.3%20.8%71.8%7.7%9.8K-49.6K-1.2K0.00124.09N/AN/A10011353
2014-05-20$38.05$40.0038.4%11.0%16.5%30.4%0.0%-6.3%-7.9%11.5K-60.3K-1.2K0.00124.67N/AN/A0012353
2014-05-21$37.81$40.0016.5%4.7%16.1%4.9%0.0%10.1%4.3%11.9K-42.1K-1.2K0.00119.08N/AN/A1012353
2014-05-22$37.84$40.0031.6%9.1%15.9%22.6%0.0%19.0%-5.3%9.1K-44.7K-1.2K0.00133.20N/AN/A1012453
2014-05-23$38.88$40.0029.3%8.4%18.7%19.9%0.0%-5.3%2.6%12.3K-47.9K-1.1K0.00129.52N/AN/A0012553
2014-05-27$40.03$40.0026.7%7.6%21.3%16.7%0.0%76.8%0.3%18.4K-135.9K-1.2K0.00126.75N/AN/A42012553
2014-05-28$40.22$40.0038.5%11.0%21.2%30.6%0.0%4.2%-9.1%19.3K-276.8K-1.4K0.00128.01N/AN/A5016753
2014-05-29$40.15$40.0043.3%12.4%21.2%36.2%0.0%20.6%-4.0%15.8K-286.2K-1.7K0.00129.72N/AN/A0017253
2014-05-30$40.16$40.0017.7%5.1%21.2%6.3%0.0%52.7%-0.9%27.9K-271.2K-1.6K0.00111.67N/AN/A1017253