PCH Options History — June 2015

In June 2015, PCH traded between $35.33 and $36.72. ATM implied volatility averaged 44.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 31.8% (HV 20d: 12.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-06-15: Highest Volume — 160 contracts
  • 2015-06-29: Largest IV spike — 241.1% change
  • 2015-06-01: Highest IV Rank — 39.6%
  • 2015-06-01: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.11$35.33$36.72$36.22$35.33
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV44.3%16.6%78.4%78.4%19.9%
Expected Move11.9%4.8%22.5%22.5%5.7%
HV 20d12.5%10.0%16.0%16.0%13.5%
HV 60d15.1%14.7%15.7%15.7%15.4%
IV Rank19.0%2.3%39.6%39.6%4.2%
IV Percentile59.1%2.4%96.0%96.0%8.7%
Term Structure-12.2%-56.8%21.6%-56.8%-1.3%
VWIV32.9%14.5%56.2%56.0%21.0%
Skew 25d13.8%-32.3%71.0%71.0%-14.9%
Skew 10d18.7%-44.3%61.8%23.4%12.3%
Call IV 25d47.5%18.7%105.8%38.4%68.6%
Put IV 25d61.2%20.8%126.5%109.4%53.8%
Bid-Ask Spread %128.03119.73135.88129.71122.62
Gamma HHI0.670.470.960.700.67
Net GEX-1.1K-15.1K7.4K7.1K-12.1K
Net DEX53.6K-27.2K146.2K-20.4K146.2K
Net VEX-806-1.1K-482-742-962
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.331.960.330.44
Total Volume77.45501607269
Total OI221.045177278177260

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$36.22$35.0078.4%22.5%16.0%39.6%56.0%71.0%-56.8%7.1K-20.4K-7420.33129.71N/AN/A541814136
2015-06-02$36.51$35.0046.3%13.3%15.8%20.2%0.0%-15.3%-49.5%7.4K-12.8K-6560.00128.30N/AN/A0014136
2015-06-03$36.65$35.0057.2%16.4%13.6%26.8%39.1%43.7%-19.3%5.4K-9.9K-6040.44119.73N/AN/A542414136
2015-06-04$36.13$35.0059.7%10.1%14.6%28.3%25.6%22.6%-5.4%6.4K-15.3K-6440.44126.64N/AN/A542414136
2015-06-05$36.09$35.0069.1%16.3%14.5%34.0%55.8%54.7%-28.8%6.2K-27.2K-8170.44130.88N/AN/A542414136
2015-06-08$35.97$35.0030.4%6.4%14.0%10.6%22.3%-32.3%-2.6%6.3K12-6240.44124.32N/AN/A542414136
2015-06-09$35.81$35.0056.5%12.4%13.1%26.4%35.8%-6.6%-14.8%6.4K7.2K-5980.44128.41N/AN/A542414136
2015-06-10$35.74$35.0043.5%12.5%12.2%18.5%38.0%20.7%-16.0%4.8K4.6K-5270.44129.29N/AN/A542414136
2015-06-11$35.70$35.0022.1%6.3%11.1%5.6%22.5%-8.8%-3.7%5.2K9.8K-5460.44130.10N/AN/A542414136
2015-06-12$35.81$35.0016.6%4.8%10.0%2.3%15.0%-31.4%3.7%4.9K18.5K-4820.63121.84N/AN/A543414136
2015-06-15$35.45$35.0038.7%11.1%10.6%15.6%27.3%-2.8%3.5%5.9K26.3K-6101.96129.24N/AN/A5410614143
2015-06-16$35.91$35.0021.6%6.2%11.5%5.3%14.5%-5.4%21.6%-1.9K122.5K-1.1K0.74126.90N/AN/A5440141120
2015-06-17$36.23$35.0063.0%18.1%10.5%30.3%51.8%19.8%-31.7%-15.1K130.0K-9660.43133.28N/AN/A6126141131
2015-06-18$36.72$35.0037.0%10.6%11.5%14.6%31.5%14.9%-11.2%-5.1K80.6K-1.0K0.43125.42N/AN/A6126148130
2015-06-19$36.63$35.0031.8%9.1%11.6%11.5%31.0%6.2%-0.3%-4.6K66.0K-1.0K0.43129.00N/AN/A6126148130
2015-06-22$36.58$35.0050.3%14.4%11.6%22.6%31.8%11.5%-8.6%-5.4K47.3K-9640.44129.25N/AN/A4821133127
2015-06-23$36.43$35.0069.1%19.8%11.7%34.0%56.2%32.3%-23.7%-5.8K99.9K-1.1K0.44135.88N/AN/A4821133127
2015-06-24$36.26$35.0047.0%13.5%11.3%20.6%18.1%37.2%4.8%-8.1K115.8K-1.0K0.44129.37N/AN/A4821133127
2015-06-25$36.08$35.0029.5%8.5%11.4%10.1%29.6%17.6%-7.8%-9.4K133.3K-9650.44127.27N/AN/A4821133127
2015-06-26$36.42$35.0019.8%5.7%11.6%4.2%19.6%-0.3%4.4%-14.8K124.5K-8490.44124.80N/AN/A4821133127
2015-06-29$35.80$35.0067.5%19.4%13.2%33.0%48.6%68.4%-24.4%-7.8K133.0K-9790.44134.38N/AN/A4821133127
2015-06-30$35.33$35.0019.9%5.7%13.5%4.2%21.0%-14.9%-1.3%-12.1K146.2K-9620.44122.62N/AN/A4821133127