PCH Options History — September 2014 In September 2014, PCH traded between $40.20 and $42.93. ATM implied volatility averaged 36.7%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 23.9% (HV 20d: 12.8%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2014-09-15 : Highest Volume — 8 contracts2014-09-24 : Largest IV spike — 95.5% change2014-09-10 : Highest IV Rank — 52.1%2014-09-29 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $41.37 $40.20 $42.93 $42.93 $40.21 ATM IV 36.7% 21.4% 57.2% 31.7% 43.6% Expected Move 5.4% 4.3% 7.1% 4.7% 5.7% HV 20d 12.8% 9.7% 16.0% 10.5% 16.0% HV 60d 12.9% 11.7% 13.8% 11.7% 13.8% IV Rank 28.0% 10.1% 52.1% 22.2% 36.2% IV Percentile 63.8% 15.9% 96.8% 52.8% 82.1% Term Structure -7.8% -27.6% 13.5% 13.5% -13.8% Skew 25d 2.9% -12.0% 24.7% 24.7% -12.0% Skew 10d 7.8% -8.9% 30.8% 12.9% -8.9% Call IV 25d 35.1% 18.5% 53.8% 18.5% 53.8% Put IV 25d 38.1% 20.6% 51.9% 43.2% 41.8% Bid-Ask Spread % 122.24 100.64 129.20 126.60 128.46 Gamma HHI 0.39 0.34 0.54 0.42 0.36 Net GEX 5.1K 3.7K 8.5K 5.4K 4.0K Net DEX -77.2K -131.0K -46.2K -116.9K -55.1K Net VEX -486 -595 -408 -595 -449 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.381 0 8 0 0 Total OI 95.762 95 99 95 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 2014-09-02 $42.93 $0.00 31.7% 4.7% 10.5% 22.2% 0.0% 24.7% 13.5% 5.4K -116.9K -595 0.00 126.60 N/A N/A 0 0 62 33 2014-09-03 $42.57 $0.00 28.4% 4.3% 10.3% 18.3% 0.0% -4.7% -0.4% 8.5K -131.0K -480 0.00 110.01 N/A N/A 0 0 62 33 2014-09-04 $42.44 $0.00 36.8% 4.5% 9.7% 28.1% 0.0% -7.1% -27.6% 6.7K -103.8K -530 0.00 123.38 N/A N/A 0 0 62 33 2014-09-05 $42.93 $0.00 34.4% 4.8% 10.4% 25.3% 0.0% -8.7% -18.7% 6.7K -108.7K -456 0.00 124.85 N/A N/A 0 0 62 33 2014-09-08 $42.76 $0.00 35.0% 5.1% 10.4% 26.0% 0.0% 0.2% -4.6% 8.1K -115.3K -428 0.00 100.64 N/A N/A 0 0 62 33 2014-09-09 $42.30 $0.00 46.4% 6.4% 10.0% 39.5% 0.0% 13.3% -6.7% 5.5K -93.5K -432 0.00 112.50 N/A N/A 0 0 62 33 2014-09-10 $41.92 $0.00 57.2% 5.3% 10.0% 52.1% 0.0% 4.8% -11.1% 5.3K -90.9K -533 0.00 126.50 N/A N/A 0 0 62 33 2014-09-11 $41.70 $0.00 35.2% 5.3% 10.0% 26.3% 0.0% 4.4% -7.3% 4.9K -85.2K -546 0.00 126.67 N/A N/A 0 0 62 33 2014-09-12 $40.59 $0.00 33.6% 5.6% 13.7% 24.4% 0.0% 3.8% -6.9% 4.4K -64.7K -524 0.00 124.16 N/A N/A 0 0 62 33 2014-09-15 $40.78 $0.00 36.0% 5.3% 13.7% 27.2% 0.0% -7.5% -5.7% 4.1K -63.8K -498 0.00 129.20 N/A N/A 0 8 62 33 2014-09-16 $41.27 $0.00 35.6% 5.0% 14.3% 26.7% 0.0% 5.1% -5.3% 4.0K -60.0K -459 0.00 123.30 N/A N/A 0 0 62 37 2014-09-17 $41.06 $0.00 27.2% 6.0% 13.6% 16.8% 0.0% 7.5% -1.6% 4.5K -57.2K -531 0.00 124.00 N/A N/A 0 0 62 37 2014-09-18 $40.94 $0.00 37.6% 5.3% 13.5% 29.1% 0.0% 4.5% -8.5% 4.2K -58.5K -518 0.00 128.22 N/A N/A 0 0 62 37 2014-09-19 $41.09 $0.00 37.0% 6.1% 13.6% 28.4% 0.0% 4.7% -8.2% 4.7K -61.4K -509 0.00 122.42 N/A N/A 0 0 62 37 2014-09-22 $40.82 $0.00 41.1% 5.4% 13.7% 33.2% 0.0% 3.4% -12.0% 4.2K -69.9K -508 0.00 127.55 N/A N/A 0 0 62 33 2014-09-23 $40.23 $0.00 21.4% 6.1% 14.2% 10.1% 0.0% -0.7% 2.7% 3.7K -46.2K -408 0.00 112.02 N/A N/A 0 0 62 33 2014-09-24 $40.56 $0.00 41.9% 5.9% 14.7% 34.2% 0.0% -5.2% -9.0% 4.4K -62.2K -465 0.00 126.00 N/A N/A 0 0 62 33 2014-09-25 $40.20 $0.00 40.5% 5.7% 14.9% 32.5% 0.0% 19.0% -11.3% 4.1K -50.0K -445 0.00 127.03 N/A N/A 0 0 62 33 2014-09-26 $40.55 $0.00 39.5% 4.8% 15.4% 31.3% 0.0% 8.8% -11.0% 4.5K -60.6K -457 0.00 125.53 N/A N/A 0 0 62 33 2014-09-29 $40.82 $0.00 29.5% 7.1% 15.7% 19.6% 0.0% 3.3% -10.3% 4.9K -66.9K -438 0.00 117.94 N/A N/A 0 0 62 33 2014-09-30 $40.21 $0.00 43.6% 5.7% 16.0% 36.2% 0.0% -12.0% -13.8% 4.0K -55.1K -449 0.00 128.46 N/A N/A 0 0 62 33
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