PCH Options History — December 2014

In December 2014, PCH traded between $40.72 and $42.94. ATM implied volatility averaged 43.0%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 32.2% (HV 20d: 10.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.10.

Notable Days

2014-12-29: Highest Volume — 87 contracts
2014-12-10: Largest IV spike — 51.2% change
2014-12-10: Highest IV Rank — 55.5%
2014-12-22: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.78	$40.72	$42.94	$41.39	$41.87
Max Pain	$36.82	$35.00	$45.00	$45.00	$35.00
ATM IV	43.0%	30.3%	61.7%	44.5%	48.6%
Expected Move	8.5%	5.9%	10.0%	8.2%	8.9%
HV 20d	10.8%	8.7%	13.8%	10.0%	13.8%
HV 60d	13.6%	13.0%	14.6%	14.6%	13.8%
IV Rank	34.3%	19.8%	55.5%	36.0%	40.6%
IV Percentile	70.2%	34.9%	97.2%	82.5%	86.1%
Term Structure	-11.1%	-26.6%	12.1%	-14.8%	-17.6%
VWIV	34.9%	24.1%	40.9%	34.0%	26.7%
Skew 25d	13.0%	-27.8%	52.2%	52.2%	21.5%
Skew 10d	17.5%	-4.3%	97.9%	97.9%	21.3%
Call IV 25d	37.9%	15.6%	67.2%	34.6%	32.1%
Put IV 25d	51.0%	18.4%	86.8%	86.8%	53.7%
Bid-Ask Spread %	123.67	106.05	131.14	129.20	127.73
Gamma HHI	0.50	0.47	0.59	0.59	0.59
Net GEX	236	-1.5K	5.3K	1.6K	5.3K
Net DEX	18.4K	-60.4K	47.3K	-2.7K	-30.7K
Net VEX	-692	-1.2K	-448	-448	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.47	1.21	1.08	0.47
Total Volume	45.364	0	87	50	0
Total OI	80.818	54	121	54	121

Daily Data (22 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
2014-12-01	$41.39	$45.00	44.5%	8.2%	10.0%	36.0%	34.0%	52.2%	-14.8%	1.6K	-2.7K	-448	1.08	129.20	N/A	N/A	24	26	35	19
2014-12-02	$41.53	$45.00	45.3%	8.6%	10.1%	36.9%	37.3%	32.8%	-22.6%	-669	39.4K	-639	1.08	124.10	N/A	N/A	24	26	35	39
2014-12-03	$41.72	$45.00	54.9%	9.0%	10.1%	47.8%	35.6%	31.0%	-26.2%	-770	35.2K	-656	1.08	125.08	N/A	N/A	24	26	35	40
2014-12-04	$41.64	$45.00	48.9%	7.9%	9.9%	41.0%	36.0%	25.1%	-19.8%	-621	32.3K	-658	0.00	131.14	N/A	N/A	0	3	35	40
2014-12-05	$41.56	$35.00	54.3%	9.4%	9.9%	47.1%	40.7%	7.1%	-4.1%	-508	33.5K	-684	1.21	109.08	N/A	N/A	24	29	35	43
2014-12-08	$41.51	$35.00	36.5%	6.2%	9.7%	26.9%	25.6%	8.7%	-10.5%	-751	39.8K	-621	1.21	106.05	N/A	N/A	24	29	35	43
2014-12-09	$41.32	$35.00	40.8%	5.9%	9.6%	31.8%	24.1%	-5.5%	-24.2%	-1.5K	47.3K	-618	1.21	112.40	N/A	N/A	24	29	35	43
2014-12-10	$41.28	$35.00	61.7%	8.8%	8.7%	55.5%	38.6%	0.5%	-9.5%	-637	37.3K	-671	1.21	124.27	N/A	N/A	24	29	35	43
2014-12-11	$41.74	$35.00	50.4%	7.9%	9.6%	42.7%	37.8%	3.1%	-17.8%	-388	28.7K	-672	1.21	129.08	N/A	N/A	24	29	35	43
2014-12-12	$41.25	$35.00	54.6%	9.5%	10.1%	47.5%	35.1%	2.8%	-26.6%	-483	35.3K	-647	1.21	126.06	N/A	N/A	24	29	35	43
2014-12-15	$40.83	$35.00	48.1%	9.9%	9.7%	40.1%	34.8%	-1.1%	-19.3%	-415	41.8K	-627	1.21	118.11	N/A	N/A	24	29	35	43
2014-12-16	$40.72	$35.00	34.0%	7.9%	9.4%	24.1%	38.9%	-27.8%	-14.9%	-797	46.4K	-617	1.21	129.55	N/A	N/A	24	29	35	43
2014-12-17	$41.25	$35.00	41.4%	8.7%	10.7%	32.5%	39.4%	5.7%	-13.1%	-511	43.2K	-613	1.21	127.49	N/A	N/A	24	29	35	43
2014-12-18	$42.00	$35.00	40.1%	9.0%	11.9%	31.0%	40.9%	22.4%	-11.7%	-660	23.2K	-653	1.21	124.36	N/A	N/A	24	29	35	43
2014-12-19	$42.10	$35.00	37.1%	8.1%	11.9%	27.6%	0.0%	21.6%	-7.9%	-380	18.1K	-646	0.00	128.68	N/A	N/A	0	0	35	43
2014-12-22	$42.41	$35.00	43.9%	10.0%	12.1%	35.4%	38.4%	6.1%	-19.7%	-494	13.5K	-638	1.17	120.97	N/A	N/A	24	28	35	41
2014-12-23	$42.55	$35.00	30.3%	8.9%	11.9%	19.8%	31.6%	-4.2%	8.2%	232	-242	-640	1.17	123.72	N/A	N/A	24	28	35	41
2014-12-24	$42.62	$35.00	30.9%	8.3%	11.9%	20.5%	31.2%	19.2%	9.2%	-318	11.5K	-627	0.82	123.26	N/A	N/A	34	28	35	41
2014-12-26	$42.51	$35.00	31.6%	9.2%	11.8%	21.4%	36.9%	21.7%	12.1%	1.2K	-14.9K	-788	0.82	125.36	N/A	N/A	34	28	45	41
2014-12-29	$42.94	$35.00	33.3%	7.6%	11.9%	23.2%	26.7%	20.1%	1.5%	2.0K	-13.3K	-766	0.47	124.52	N/A	N/A	59	28	45	41
2014-12-30	$42.53	$35.00	34.3%	8.4%	12.4%	24.4%	0.0%	23.4%	5.1%	4.7K	-60.4K	-1.2K	0.00	130.60	N/A	N/A	0	0	80	41
2014-12-31	$41.87	$35.00	48.6%	8.9%	13.8%	40.6%	0.0%	21.5%	-17.6%	5.3K	-30.7K	-1.1K	0.00	127.73	N/A	N/A	0	0	80	41