PCH Options History — January 2015

In January 2015, PCH traded between $39.86 and $43.02. ATM implied volatility averaged 49.8%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 32.3% (HV 20d: 17.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2015-01-08: Highest Volume — 216 contracts
2015-01-14: Largest IV drop — 59.6% change
2015-01-12: Highest IV Rank — 91.7%
2015-01-30: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.01	$39.86	$43.02	$42.15	$39.86
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	49.8%	28.6%	93.4%	50.3%	45.7%
Expected Move	10.3%	5.8%	13.1%	10.0%	13.1%
HV 20d	17.5%	13.1%	26.7%	13.9%	26.6%
HV 60d	14.3%	12.7%	18.1%	13.8%	18.1%
IV Rank	42.1%	17.9%	91.7%	42.6%	37.3%
IV Percentile	73.3%	25.4%	98.8%	89.3%	79.4%
Term Structure	-5.4%	-15.7%	9.7%	-13.0%	4.3%
VWIV	27.0%	18.2%	49.9%	22.7%	49.9%
Skew 25d	15.4%	-15.6%	25.2%	5.5%	-15.6%
Skew 10d	25.1%	-7.5%	67.3%	11.6%	-7.5%
Call IV 25d	26.2%	13.7%	53.1%	53.1%	52.5%
Put IV 25d	41.6%	20.8%	58.5%	58.5%	37.0%
Bid-Ask Spread %	127.43	121.45	133.00	125.42	124.25
Gamma HHI	0.76	0.56	0.85	0.59	0.78
Net GEX	15.2K	3.9K	27.2K	4.2K	13.4K
Net DEX	-144.1K	-263.2K	-41.4K	-47.4K	-44.5K
Net VEX	-2.2K	-2.8K	-1.1K	-1.1K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.00	0.47	0.17
Total Volume	121.15	0	216	87	185
Total OI	249.6	121	305	121	305

Daily Data (20 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
2015-01-02	$42.15	$35.00	50.3%	10.0%	13.9%	42.6%	22.7%	5.5%	-13.0%	4.2K	-47.4K	-1.1K	0.47	125.42	N/A	N/A	59	28	80	41
2015-01-05	$42.11	$35.00	55.9%	7.1%	13.9%	49.0%	0.0%	5.6%	-10.4%	4.2K	-41.4K	-1.1K	0.00	129.62	N/A	N/A	0	0	80	41
2015-01-06	$42.14	$35.00	46.2%	9.3%	13.8%	37.9%	0.0%	22.6%	-6.3%	3.9K	-48.9K	-1.1K	0.00	129.98	N/A	N/A	11	0	80	41
2015-01-07	$42.57	$35.00	61.3%	5.8%	14.2%	55.2%	0.0%	10.1%	9.7%	6.1K	-60.0K	-1.2K	1.00	128.61	N/A	N/A	11	11	91	41
2015-01-08	$42.54	$35.00	60.8%	7.3%	14.1%	54.6%	24.5%	16.3%	-6.0%	5.4K	-100.7K	-1.5K	0.26	121.78	N/A	N/A	171	45	102	52
2015-01-09	$42.16	$35.00	70.5%	10.7%	14.5%	65.6%	24.5%	19.4%	-9.5%	15.4K	-263.2K	-2.8K	0.26	126.18	N/A	N/A	171	45	213	63
2015-01-12	$41.94	$35.00	93.4%	11.2%	14.2%	91.7%	25.2%	23.6%	-9.4%	16.1K	-214.0K	-2.6K	0.26	127.70	N/A	N/A	171	45	213	63
2015-01-13	$41.78	$35.00	92.1%	11.0%	13.6%	90.2%	26.9%	19.8%	-11.9%	14.7K	-192.0K	-2.5K	0.26	123.03	N/A	N/A	171	45	213	63
2015-01-14	$42.05	$35.00	37.3%	10.7%	13.1%	27.8%	18.2%	21.9%	-15.7%	14.5K	-144.1K	-2.4K	0.26	127.85	N/A	N/A	171	45	213	63
2015-01-15	$41.08	$35.00	39.5%	11.3%	15.7%	30.3%	31.3%	19.1%	-4.3%	15.3K	-130.4K	-2.3K	0.26	121.92	N/A	N/A	171	45	213	63
2015-01-16	$42.29	$35.00	32.5%	9.3%	18.3%	22.3%	0.0%	22.9%	-8.5%	17.9K	-170.2K	-2.5K	0.00	129.57	N/A	N/A	0	0	213	63
2015-01-20	$41.80	$35.00	39.0%	11.2%	17.7%	29.8%	0.0%	25.2%	-7.7%	17.3K	-126.9K	-2.3K	0.00	132.69	N/A	N/A	6	0	213	63
2015-01-21	$41.98	$35.00	39.7%	11.4%	17.7%	30.6%	0.0%	22.8%	-8.5%	17.6K	-94.3K	-2.2K	0.00	131.60	N/A	N/A	22	0	219	63
2015-01-22	$43.02	$35.00	28.6%	8.2%	19.6%	17.9%	21.7%	3.6%	-5.5%	27.2K	-223.1K	-2.6K	0.28	121.45	N/A	N/A	158	45	241	63
2015-01-23	$42.35	$35.00	40.8%	11.7%	20.4%	31.8%	19.5%	24.9%	-12.2%	22.9K	-225.3K	-2.7K	0.28	125.64	N/A	N/A	158	45	241	63
2015-01-26	$42.79	$35.00	40.4%	11.6%	20.8%	31.3%	0.0%	8.4%	5.4%	23.7K	-241.3K	-2.7K	0.00	132.43	N/A	N/A	0	0	241	63
2015-01-27	$42.68	$35.00	41.4%	11.9%	20.8%	32.5%	0.0%	7.9%	4.3%	23.3K	-232.0K	-2.7K	0.00	133.00	N/A	N/A	0	0	241	63
2015-01-28	$42.50	$35.00	43.5%	12.5%	20.5%	34.9%	28.8%	19.7%	-8.6%	23.2K	-171.2K	-2.4K	0.28	132.28	N/A	N/A	158	45	241	63
2015-01-29	$40.46	$35.00	38.0%	10.9%	26.7%	28.6%	31.0%	24.5%	5.9%	17.4K	-110.6K	-2.3K	0.17	123.62	N/A	N/A	158	27	241	63
2015-01-30	$39.86	$35.00	45.7%	13.1%	26.6%	37.3%	49.9%	-15.6%	4.3%	13.4K	-44.5K	-2.0K	0.17	124.25	N/A	N/A	158	27	241	64