PCH Options History — February 2015

In February 2015, PCH traded between $39.67 and $40.57. ATM implied volatility averaged 34.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.5% (HV 20d: 24.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.30.

Notable Days

2015-02-03: Highest Volume — 185 contracts
2015-02-27: Largest IV spike — 89.9% change
2015-02-04: Highest IV Rank — 47.2%
2015-02-04: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.94	$39.67	$40.57	$39.93	$40.00
Max Pain	$43.42	$35.00	$45.00	$35.00	$45.00
ATM IV	34.8%	19.8%	54.3%	34.3%	43.8%
Expected Move	9.9%	5.7%	15.6%	9.8%	12.5%
HV 20d	24.3%	12.3%	27.6%	26.5%	12.3%
HV 60d	18.3%	18.0%	18.7%	18.1%	18.3%
IV Rank	25.0%	7.9%	47.2%	24.4%	35.2%
IV Percentile	44.4%	6.0%	89.7%	41.7%	75.0%
Term Structure	-1.5%	-28.7%	31.3%	2.9%	-6.5%
VWIV	40.6%	15.7%	71.9%	42.8%	55.7%
Skew 25d	8.8%	-15.0%	37.1%	10.7%	4.3%
Skew 10d	17.6%	-12.7%	57.2%	26.1%	12.3%
Call IV 25d	39.7%	19.2%	70.7%	35.6%	52.1%
Put IV 25d	48.5%	21.4%	83.5%	46.3%	56.4%
Bid-Ask Spread %	122.99	113.88	132.53	130.04	130.09
Gamma HHI	0.73	0.55	0.98	0.76	0.61
Net GEX	13.8K	7.8K	21.2K	12.5K	21.2K
Net DEX	-39.4K	-160.6K	37.5K	-11.8K	-133.4K
Net VEX	-1.8K	-2.3K	-1.5K	-1.8K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	0.69	0.17	0.69
Total Volume	123.053	0	185	0	59
Total OI	318.737	305	356	305	356

Daily Data (19 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
2015-02-02	$39.93	$35.00	34.3%	9.8%	26.5%	24.4%	0.0%	10.7%	2.9%	12.5K	-11.8K	-1.8K	0.00	130.04	N/A	N/A	0	0	241	64
2015-02-03	$39.94	$35.00	37.8%	10.8%	26.5%	28.4%	42.8%	3.9%	10.9%	14.7K	-31.0K	-1.9K	0.17	126.89	N/A	N/A	158	27	241	64
2015-02-04	$39.77	$35.00	54.3%	15.6%	26.5%	47.2%	66.3%	5.3%	-2.7%	13.5K	-118.3K	-2.3K	0.17	125.22	N/A	N/A	158	27	241	64
2015-02-05	$40.57	$45.00	50.7%	14.1%	27.3%	43.1%	63.3%	15.9%	-3.4%	14.0K	-89.8K	-2.2K	0.17	125.70	N/A	N/A	158	27	241	64
2015-02-06	$40.02	$45.00	24.8%	6.7%	27.6%	13.6%	15.7%	30.8%	2.1%	11.6K	24.0K	-1.6K	0.17	116.16	N/A	N/A	158	27	241	64
2015-02-09	$39.86	$45.00	27.4%	6.9%	27.5%	16.6%	16.9%	0.9%	-2.1%	10.7K	19.9K	-1.6K	0.18	115.00	N/A	N/A	149	27	241	64
2015-02-10	$39.83	$45.00	23.2%	7.6%	27.5%	11.8%	18.1%	3.7%	-2.5%	10.2K	3.6K	-1.7K	0.18	116.61	N/A	N/A	149	27	243	64
2015-02-11	$39.67	$45.00	23.9%	6.8%	27.5%	12.5%	63.5%	-15.0%	2.5%	11.6K	29.5K	-1.5K	0.18	113.88	N/A	N/A	149	27	243	64
2015-02-12	$40.01	$45.00	29.8%	8.6%	27.6%	19.3%	23.1%	34.4%	-5.5%	11.5K	-9.0K	-1.7K	0.18	126.05	N/A	N/A	149	27	243	64
2015-02-13	$39.97	$45.00	41.5%	11.9%	26.5%	32.6%	16.8%	37.1%	-28.7%	10.3K	21.6K	-1.6K	0.18	121.53	N/A	N/A	149	27	243	64
2015-02-17	$39.71	$45.00	53.5%	15.3%	24.0%	46.2%	71.0%	7.2%	-21.9%	13.1K	-45.7K	-1.8K	0.18	131.02	N/A	N/A	149	27	243	64
2015-02-18	$39.89	$45.00	47.8%	13.7%	23.9%	39.7%	71.9%	3.3%	-16.1%	12.7K	-38.8K	-1.8K	0.18	129.55	N/A	N/A	149	27	243	64
2015-02-19	$39.82	$45.00	39.8%	11.4%	23.8%	30.7%	0.0%	14.3%	-9.6%	7.8K	37.5K	-1.5K	0.00	132.53	N/A	N/A	32	0	243	64
2015-02-20	$40.02	$45.00	32.8%	9.4%	21.7%	22.7%	0.0%	-5.4%	-5.0%	15.4K	-83.3K	-1.9K	0.00	122.54	N/A	N/A	0	0	275	64
2015-02-23	$40.18	$45.00	19.8%	5.7%	21.4%	7.9%	50.9%	12.9%	29.3%	13.4K	3.9K	-1.5K	0.32	115.03	N/A	N/A	74	24	254	61
2015-02-24	$39.83	$45.00	30.0%	8.6%	20.9%	19.5%	23.0%	1.7%	31.3%	18.9K	-160.6K	-2.2K	0.69	126.89	N/A	N/A	35	24	294	61
2015-02-25	$39.87	$45.00	22.9%	6.6%	21.0%	11.5%	28.8%	0.1%	0.7%	18.1K	-76.1K	-1.9K	0.69	115.47	N/A	N/A	35	24	295	61
2015-02-26	$40.05	$45.00	23.0%	6.6%	21.2%	11.6%	22.5%	0.4%	-4.1%	20.8K	-90.8K	-1.8K	0.69	116.64	N/A	N/A	35	24	295	61
2015-02-27	$40.00	$45.00	43.8%	12.5%	12.3%	35.2%	55.7%	4.3%	-6.5%	21.2K	-133.4K	-2.1K	0.69	130.09	N/A	N/A	35	24	295	61