PCH Options History — July 2014

In July 2014, PCH traded between $40.79 and $41.95. ATM implied volatility averaged 31.8%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 19.9% (HV 20d: 11.9%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-07-22: Highest Volume — 5 contracts
  • 2014-07-23: Largest IV spike — 104.4% change
  • 2014-07-09: Highest IV Rank — 54.7%
  • 2014-07-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.58$40.79$41.95$41.90$41.30
ATM IV31.8%12.8%59.2%25.8%32.3%
Expected Move5.1%4.7%5.9%5.7%4.8%
HV 20d11.9%10.2%14.9%11.6%13.9%
HV 60d15.4%14.3%16.3%16.2%15.3%
IV Rank22.8%0.6%54.7%15.8%23.4%
IV Percentile51.6%0.8%98.0%42.9%56.3%
Term Structure3.9%-31.0%21.2%-21.3%19.7%
Skew 25d7.0%-12.5%25.5%-8.4%4.1%
Skew 10d12.2%-17.0%29.3%7.9%9.1%
Call IV 25d29.7%13.1%52.4%21.3%44.3%
Put IV 25d36.7%12.5%57.0%12.9%48.4%
Bid-Ask Spread %119.8391.18128.1091.18126.88
Gamma HHI0.670.600.770.630.75
Net GEX25.4K21.6K31.8K24.3K30.4K
Net DEX-418.6K-447.1K-347.0K-434.1K-433.3K
Net VEX-1.2K-1.4K-950-1.3K-975
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.4090500
Total OI231.591229234231233

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$41.90$0.0025.8%5.7%11.6%15.8%0.0%-8.4%-21.3%24.3K-434.1K-1.3K0.0091.18N/AN/A0017853
2014-07-02$41.86$0.0047.5%5.8%11.6%41.1%0.0%3.9%-29.8%22.8K-433.1K-1.4K0.00126.68N/AN/A0017853
2014-07-03$41.82$0.0049.4%5.9%10.8%43.3%0.0%4.6%-31.0%24.2K-431.0K-1.3K0.00107.26N/AN/A0017853
2014-07-07$41.48$0.0053.8%4.7%11.0%48.5%0.0%14.3%2.9%23.5K-396.7K-1.4K0.00127.08N/AN/A0017853
2014-07-08$41.69$0.0056.2%4.7%10.9%51.3%0.0%10.2%1.9%24.3K-426.0K-1.3K0.00127.09N/AN/A0017853
2014-07-09$41.62$0.0059.2%4.7%10.9%54.7%0.0%10.8%3.6%25.3K-424.8K-1.3K0.00127.00N/AN/A0017853
2014-07-10$41.48$0.0026.7%4.7%10.8%16.8%0.0%10.7%3.7%25.9K-413.2K-1.3K0.00128.10N/AN/A0017853
2014-07-11$41.53$0.0026.4%4.7%10.8%16.4%0.0%10.6%4.4%26.4K-423.3K-1.3K0.00128.08N/AN/A0017853
2014-07-14$41.69$0.0027.5%5.0%10.2%17.7%0.0%10.4%2.2%26.8K-447.1K-1.2K0.00113.04N/AN/A0017853
2014-07-15$41.57$0.0028.5%5.1%10.4%18.9%0.0%10.5%2.2%25.5K-420.6K-1.3K0.00125.38N/AN/A0017853
2014-07-16$41.65$0.0027.6%5.2%10.4%17.9%0.0%20.4%3.8%26.6K-443.4K-1.2K0.00119.86N/AN/A0017853
2014-07-17$41.50$0.0015.3%5.6%10.3%3.5%0.0%-2.2%1.3%28.2K-429.5K-1.1K0.00100.73N/AN/A0317853
2014-07-18$41.95$0.0026.2%5.5%10.8%16.2%0.0%25.5%8.6%21.9K-422.0K-1.2K0.00112.97N/AN/A0017852
2014-07-21$41.57$0.0029.7%4.7%11.4%20.3%0.0%10.9%12.6%26.6K-427.1K-1.2K0.00124.81N/AN/A0017752
2014-07-22$41.70$0.0012.8%4.8%11.0%0.6%0.0%-12.5%9.6%25.2K-434.2K-1.1K0.00125.78N/AN/A0517752
2014-07-23$40.79$0.0026.3%5.1%12.5%16.3%0.0%10.1%13.7%31.8K-347.0K-1.2K0.00117.78N/AN/A0017757
2014-07-24$41.71$0.0020.7%4.9%14.6%9.8%0.0%15.5%21.2%22.8K-415.8K-1.2K0.00124.23N/AN/A0017757
2014-07-25$41.37$0.0025.6%5.5%14.9%15.5%0.0%-0.3%15.2%22.4K-372.5K-1.1K0.00105.57N/AN/A0017757
2014-07-28$41.51$0.0020.6%4.7%14.6%9.7%0.0%-8.2%17.4%24.1K-402.2K-1.1K0.00126.53N/AN/A1017757
2014-07-29$41.54$0.0032.7%5.2%14.4%23.8%0.0%4.6%7.5%27.3K-446.9K-9500.00123.79N/AN/A0017657
2014-07-30$41.55$0.0029.3%4.9%13.7%19.9%0.0%9.0%16.0%21.6K-385.8K-1.1K0.00126.46N/AN/A0017657
2014-07-31$41.30$0.0032.3%4.8%13.9%23.4%0.0%4.1%19.7%30.4K-433.3K-9750.00126.88N/AN/A0017657