PCH Options History — August 2014 In August 2014, PCH traded between $40.81 and $43.04. ATM implied volatility averaged 31.4%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 18.0% (HV 20d: 13.4%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-08-13 : Highest Volume — 25 contracts2014-08-13 : Largest IV spike — 233.9% change2014-08-13 : Highest IV Rank — 76.1%2014-08-05 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $42.19 $40.81 $43.04 $41.22 $42.68 ATM IV 31.4% 17.2% 77.6% 33.1% 28.9% Expected Move 5.0% 4.3% 6.0% 4.9% 4.6% HV 20d 13.4% 10.4% 16.0% 13.9% 10.4% HV 60d 13.4% 11.7% 14.8% 14.8% 11.7% IV Rank 21.8% 5.1% 76.1% 24.2% 18.8% IV Percentile 43.1% 6.0% 98.8% 58.3% 46.8% Term Structure 1.9% -18.3% 29.4% 16.7% 13.5% Skew 25d 24.2% -2.8% 58.7% 3.7% 27.4% Skew 10d 22.4% -1.8% 96.5% 9.9% 21.6% Call IV 25d 18.6% 13.5% 45.9% 45.9% 18.3% Put IV 25d 42.7% 17.7% 82.7% 49.5% 45.8% Bid-Ask Spread % 119.49 92.63 126.77 126.77 126.50 Gamma HHI 0.56 0.41 0.81 0.76 0.42 Net GEX 16.1K 4.9K 40.3K 31.7K 5.4K Net DEX -287.3K -528.1K -106.0K -424.2K -110.7K Net VEX -704 -986 -504 -986 -597 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.524 0 25 0 0 Total OI 165.857 95 233 233 95
Daily Data (21 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 2014-08-01 $41.22 $0.00 33.1% 4.9% 13.9% 24.2% 0.0% 3.7% 16.7% 31.7K -424.2K -986 0.00 126.77 N/A N/A 0 0 176 57 2014-08-04 $41.22 $0.00 35.0% 5.6% 13.6% 26.1% 0.0% 58.7% -17.5% 32.9K -436.6K -797 0.00 111.33 N/A N/A 0 0 176 57 2014-08-05 $40.81 $0.00 17.3% 6.0% 13.8% 5.3% 0.0% 18.8% -10.8% 40.3K -370.8K -918 0.00 92.63 N/A N/A 2 0 176 57 2014-08-06 $41.30 $0.00 18.9% 4.7% 14.6% 7.1% 0.0% 38.6% 7.8% 31.2K -434.1K -768 0.00 116.89 N/A N/A 0 0 176 57 2014-08-07 $41.40 $0.00 37.2% 4.7% 14.6% 28.6% 0.0% 43.7% -6.1% 25.5K -394.9K -933 0.00 121.34 N/A N/A 0 0 176 57 2014-08-08 $41.68 $0.00 32.5% 4.7% 14.8% 23.1% 0.0% 40.6% -13.2% 24.9K -442.4K -905 0.00 126.36 N/A N/A 0 0 176 57 2014-08-11 $42.28 $0.00 74.9% 5.3% 15.6% 72.9% 0.0% 47.4% -8.9% 19.4K -435.0K -876 0.00 119.98 N/A N/A 0 0 176 57 2014-08-12 $41.87 $0.00 23.3% 5.9% 16.0% 12.2% 0.0% 2.7% 4.7% 12.4K -528.1K -688 0.00 119.71 N/A N/A 0 0 176 57 2014-08-13 $42.01 $0.00 77.6% 5.7% 16.0% 76.1% 0.0% 22.3% -18.3% 24.5K -473.9K -688 0.00 108.73 N/A N/A 25 0 176 57 2014-08-14 $42.16 $0.00 35.0% 4.9% 15.9% 26.0% 0.0% 23.5% -11.1% 18.6K -402.8K -771 0.00 125.81 N/A N/A 0 0 161 57 2014-08-15 $42.30 $0.00 33.0% 5.1% 15.5% 23.7% 0.0% 22.8% -6.5% 15.7K -460.0K -697 0.00 125.71 N/A N/A 5 0 161 57 2014-08-18 $42.57 $0.00 24.4% 4.3% 15.2% 13.6% 0.0% 22.6% 29.4% 5.8K -106.0K -631 0.00 120.93 N/A N/A 0 0 62 33 2014-08-19 $43.04 $0.00 23.9% 5.4% 15.6% 13.0% 0.0% 23.6% 21.3% 4.9K -138.7K -646 0.00 111.55 N/A N/A 0 0 62 33 2014-08-20 $42.82 $0.00 17.2% 4.8% 13.2% 5.1% 0.0% 21.4% 1.1% 6.5K -175.6K -504 0.00 110.51 N/A N/A 0 0 62 33 2014-08-21 $42.92 $0.00 24.5% 4.4% 10.9% 13.7% 0.0% 25.7% 20.8% 5.6K -116.2K -638 0.00 125.77 N/A N/A 0 0 62 33 2014-08-22 $42.72 $0.00 19.2% 4.4% 10.6% 7.5% 0.0% 6.5% 15.3% 5.2K -111.3K -633 0.00 125.86 N/A N/A 0 0 62 33 2014-08-25 $42.81 $0.00 26.2% 4.5% 10.6% 15.7% 0.0% 15.7% -3.2% 6.4K -111.5K -518 0.00 124.49 N/A N/A 0 0 62 33 2014-08-26 $42.83 $0.00 22.1% 5.2% 10.6% 10.9% 0.0% 25.2% -3.9% 6.5K -123.5K -549 0.00 119.13 N/A N/A 0 0 62 33 2014-08-27 $42.80 $0.00 27.3% 4.3% 10.6% 16.9% 0.0% 19.7% 13.7% 6.9K -124.1K -537 0.00 122.88 N/A N/A 0 0 62 33 2014-08-28 $42.58 $0.00 27.7% 4.5% 10.5% 17.4% 0.0% -2.8% -4.3% 7.6K -112.9K -507 0.00 126.43 N/A N/A 0 0 62 33 2014-08-29 $42.68 $0.00 28.9% 4.6% 10.4% 18.8% 0.0% 27.4% 13.5% 5.4K -110.7K -597 0.00 126.50 N/A N/A 0 0 62 33
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