PCH Options History — March 2015

In March 2015, PCH traded between $38.14 and $40.60. ATM implied volatility averaged 25.6%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 13.1% (HV 20d: 12.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2015-03-26: Highest Volume — 68 contracts
  • 2015-03-12: Largest IV spike — 147.0% change
  • 2015-03-12: Highest IV Rank — 33.0%
  • 2015-03-12: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.55$38.14$40.60$40.16$40.00
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV25.6%16.4%41.9%36.3%21.3%
Expected Move7.1%4.4%12.0%10.4%6.1%
HV 20d12.4%9.7%15.0%11.1%14.6%
HV 60d18.6%18.3%18.9%18.3%18.5%
IV Rank14.5%4.1%33.0%26.7%9.6%
IV Percentile22.3%2.0%71.8%51.2%11.1%
Term Structure-3.0%-35.8%8.2%-0.1%2.1%
VWIV37.7%24.4%52.5%36.3%52.5%
Skew 25d2.2%-27.2%42.2%42.2%12.2%
Skew 10d5.0%-45.4%58.5%58.5%9.1%
Call IV 25d38.7%14.5%65.5%34.4%56.4%
Put IV 25d40.9%18.5%76.6%76.6%68.6%
Bid-Ask Spread %121.81113.74130.48125.55123.20
Gamma HHI0.520.500.630.630.50
Net GEX19.6K14.0K25.9K19.8K21.3K
Net DEX-75.3K-174.3K50.7K-174.3K-170.8K
Net VEX-1.6K-2.3K-1.2K-2.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.000.690.690.55
Total Volume25.1820685968
Total OI360352370356357

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$40.16$45.0036.3%10.4%11.1%26.7%36.3%42.2%-0.1%19.8K-174.3K-2.3K0.69125.55N/AN/A352429561
2015-03-03$39.76$45.0024.5%7.0%11.7%13.2%24.4%7.6%-6.1%19.4K-48.0K-1.6K0.69119.07N/AN/A352429561
2015-03-04$39.50$45.0020.4%5.9%11.9%8.6%52.5%-2.6%1.3%18.5K-39.6K-1.6K0.69116.76N/AN/A352429561
2015-03-05$39.39$0.0022.1%5.4%11.8%10.5%0.0%-1.0%-2.2%14.5K-15.9K-1.3K0.63113.74N/AN/A382429561
2015-03-06$38.75$0.0020.0%4.4%10.5%8.1%0.0%-0.7%7.2%16.8K-22.5K-1.5K0.63118.41N/AN/A382429961
2015-03-09$38.82$0.0037.6%4.6%9.7%28.1%0.0%14.8%-0.4%17.0K3.6K-1.4K0.00116.50N/AN/A0029961
2015-03-10$38.54$0.0028.1%11.1%9.8%17.4%0.0%-10.8%-25.7%14.7K-9.0K-1.4K0.00128.31N/AN/A0029961
2015-03-11$38.14$0.0016.9%4.9%10.3%4.7%0.0%5.6%5.8%14.1K42.2K-1.2K0.00122.92N/AN/A0029961
2015-03-12$38.52$0.0041.9%12.0%11.1%33.0%0.0%-24.1%-35.8%14.0K50.7K-1.2K0.00128.76N/AN/A0029961
2015-03-13$38.88$0.0022.9%6.6%11.2%11.4%0.0%-2.0%7.0%16.3K-34.4K-1.5K0.00120.24N/AN/A0029961
2015-03-16$39.44$0.0017.4%5.0%12.5%5.2%0.0%11.8%2.4%18.5K-16.7K-1.3K0.00115.57N/AN/A19029961
2015-03-17$39.52$0.0024.9%7.1%12.4%13.7%0.0%-27.2%-2.6%22.5K-107.4K-1.7K0.00117.41N/AN/A0030961
2015-03-18$39.97$0.0018.6%5.3%13.0%6.5%0.0%2.2%8.2%22.1K-161.3K-2.0K0.00114.89N/AN/A0030961
2015-03-19$39.98$0.0037.3%10.7%12.9%27.8%0.0%-14.4%-18.5%23.5K-94.3K-1.6K0.00129.95N/AN/A0030961
2015-03-20$40.36$0.0037.1%10.6%13.2%27.6%0.0%5.0%-6.6%22.8K-156.2K-1.8K0.00125.04N/AN/A0030961
2015-03-23$40.26$0.0031.0%8.9%13.2%20.7%0.0%10.3%-3.5%24.7K-119.2K-1.6K0.00129.32N/AN/A25029861
2015-03-24$40.60$0.0016.4%4.7%13.1%4.1%0.0%17.0%3.2%25.9K-153.3K-1.7K0.00117.32N/AN/A5029161
2015-03-25$39.86$0.0019.6%5.6%14.8%7.7%0.0%-0.1%6.9%21.9K-124.8K-1.7K0.00119.64N/AN/A0029661
2015-03-26$39.68$0.0018.2%5.2%14.8%6.1%0.0%-6.3%2.2%20.7K-64.7K-1.5K0.55123.93N/AN/A442429661
2015-03-27$39.82$0.0022.9%6.6%14.8%11.4%0.0%7.8%-3.6%21.0K-152.4K-1.8K0.00130.48N/AN/A0029661
2015-03-30$40.10$0.0027.2%7.8%15.0%16.3%0.0%0.7%-7.2%20.6K-89.4K-1.4K0.55122.73N/AN/A442429661
2015-03-31$40.00$0.0021.3%6.1%14.6%9.6%0.0%12.2%2.1%21.3K-170.8K-1.8K0.55123.20N/AN/A442429661