PCH Options History — April 2015

In April 2015, PCH traded between $36.98 and $39.67. ATM implied volatility averaged 36.9%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 22.9% (HV 20d: 14.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-04-27: Highest Volume — 115 contracts
  • 2015-04-22: Largest IV spike — 143.0% change
  • 2015-04-30: Highest IV Rank — 81.3%
  • 2015-04-30: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$36.98$39.67$39.67$36.98
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV36.9%17.7%84.3%78.1%84.3%
Expected Move10.9%5.1%24.2%22.4%24.2%
HV 20d14.1%12.7%16.4%14.7%16.4%
HV 60d17.0%13.7%18.8%18.6%14.4%
IV Rank27.4%5.6%81.3%74.2%81.3%
IV Percentile43.4%5.6%98.0%98.0%98.0%
Term Structure-10.7%-36.9%13.8%-25.0%-34.2%
VWIV31.9%17.0%56.9%20.6%27.4%
Skew 25d26.8%-11.3%87.1%8.3%83.2%
Skew 10d42.0%-45.3%109.8%27.9%109.8%
Call IV 25d27.4%10.3%102.2%102.2%26.4%
Put IV 25d54.2%17.0%110.5%110.5%109.6%
Bid-Ask Spread %125.28111.90134.02126.84131.39
Gamma HHI0.580.480.740.550.65
Net GEX16.6K9.9K23.6K19.6K11.2K
Net DEX-23.8K-208.5K174.1K-208.5K113.0K
Net VEX-1.4K-1.9K-736-1.8K-892
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.460.850.460.58
Total Volume91.85701157998
Total OI390.714357416357416

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$39.67$0.0078.1%22.4%14.7%74.2%0.0%8.3%-25.0%19.6K-208.5K-1.8K0.46126.84N/AN/A542529661
2015-04-02$39.66$40.0017.7%5.1%14.6%5.6%20.6%7.6%1.2%23.6K-110.3K-1.5K0.46123.43N/AN/A542531162
2015-04-06$39.53$40.0022.5%13.1%13.3%11.0%33.3%44.8%-25.1%22.4K-181.9K-1.9K0.46129.42N/AN/A542531162
2015-04-07$39.07$40.0021.2%7.1%14.1%9.5%24.0%0.0%-6.4%20.4K-68.6K-1.4K0.46118.87N/AN/A542531162
2015-04-08$39.23$40.0018.1%5.2%13.8%5.9%0.0%24.0%0.4%19.8K-11.9K-1.3K0.00123.60N/AN/A0031162
2015-04-09$38.73$40.0037.8%10.8%14.1%28.4%29.1%-1.7%-36.9%21.7K-193.1K-1.7K0.46119.28N/AN/A542531162
2015-04-10$39.12$40.0033.0%9.5%14.1%22.9%34.2%1.0%-11.7%21.6K-181.9K-1.8K0.46130.34N/AN/A542531162
2015-04-13$39.40$40.0024.9%7.1%14.0%13.7%26.0%-0.4%-6.1%20.2K-56.6K-1.3K0.46125.13N/AN/A542531162
2015-04-14$39.07$40.0029.4%8.4%13.3%18.9%28.4%39.0%-8.5%18.4K-9.9K-1.2K0.46122.78N/AN/A542531162
2015-04-15$39.08$40.0025.5%7.3%13.3%14.4%26.2%41.1%8.9%16.5K-54.8K-1.4K0.46126.95N/AN/A542531162
2015-04-16$38.84$40.0021.0%6.0%12.7%9.3%21.4%-1.0%-0.8%18.1K-1.0K-1.2K0.85115.20N/AN/A595031162
2015-04-17$38.16$40.0018.5%5.3%13.9%6.4%17.0%-2.2%-1.1%13.7K76.4K-1.2K0.85111.90N/AN/A595032878
2015-04-20$38.30$40.0032.6%9.3%13.4%22.5%38.8%-2.6%13.8%12.0K30.5K-1.4K0.85132.19N/AN/A595032878
2015-04-21$38.15$40.0027.0%7.7%13.4%16.1%27.8%-11.3%0.3%13.3K93.0K-1.1K0.81123.69N/AN/A625032878
2015-04-22$37.46$40.0065.7%18.8%13.8%60.1%43.6%52.2%-34.5%12.0K81.1K-1.2K0.81126.61N/AN/A625033578
2015-04-23$37.13$40.0067.1%19.2%12.9%61.7%48.4%73.4%-35.0%12.3K-16.6K-1.5K0.81134.02N/AN/A625033578
2015-04-24$37.63$40.0051.0%14.6%14.2%43.4%30.1%35.5%-30.3%14.5K-16.3K-1.4K0.81132.88N/AN/A625033578
2015-04-27$37.38$40.0031.6%9.1%14.1%21.4%20.4%-2.0%-11.0%9.9K174.1K-7360.85118.38N/AN/A625333578
2015-04-28$38.04$40.0032.8%9.4%15.5%22.7%56.9%87.1%5.3%13.3K48.7K-1.2K0.85124.31N/AN/A625333581
2015-04-29$37.56$40.0035.5%10.2%15.9%25.8%52.3%86.2%12.0%13.8K-5.8K-1.4K0.85133.68N/AN/A625333581
2015-04-30$36.98$40.0084.3%24.2%16.4%81.3%27.4%83.2%-34.2%11.2K113.0K-8920.58131.39N/AN/A623633581