PCH Options History — July 2015

In July 2015, PCH traded between $33.59 and $35.91. ATM implied volatility averaged 38.3%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 25.1% (HV 20d: 13.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-07-17: Highest Volume — 76 contracts
  • 2015-07-07: Largest IV spike — 376.1% change
  • 2015-07-07: Highest IV Rank — 55.6%
  • 2015-07-02: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.80$33.59$35.91$35.51$34.97
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV38.3%19.0%104.8%24.6%19.0%
Expected Move9.3%4.9%25.8%7.1%5.4%
HV 20d13.1%12.2%14.5%13.5%14.2%
HV 60d14.5%13.5%15.3%15.3%13.7%
IV Rank15.3%3.5%55.6%7.1%3.5%
IV Percentile43.2%6.3%98.4%22.2%6.3%
Term Structure-3.6%-56.7%31.8%-1.3%11.4%
VWIV32.8%18.4%68.2%22.0%21.0%
Skew 25d27.5%-3.5%90.7%30.9%90.7%
Skew 10d35.6%-4.5%135.4%56.7%135.4%
Call IV 25d26.6%17.2%69.0%30.2%20.1%
Put IV 25d54.1%20.7%126.8%61.1%110.8%
Bid-Ask Spread %123.50108.46132.36128.08123.73
Gamma HHI0.740.390.930.670.88
Net GEX-14.9K-29.9K1.7K-12.1K-29.9K
Net DEX219.5K122.0K308.9K176.8K228.8K
Net VEX-722-1.1K-483-892-655
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.380.550.440.55
Total Volume64.77359766959
Total OI252.955244260260244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$35.51$35.0024.6%7.1%13.5%7.1%22.0%30.9%-1.3%-12.1K176.8K-8920.44128.08N/AN/A4821133127
2015-07-02$35.66$35.0090.1%25.8%12.8%46.7%65.5%90.2%-56.7%-10.8K175.2K-9120.44132.36N/AN/A4821133127
2015-07-06$35.70$40.0022.0%6.0%12.8%5.5%20.3%12.3%-0.9%-12.8K163.4K-8580.44108.46N/AN/A4821133127
2015-07-07$35.91$40.00104.8%15.3%13.0%55.6%68.2%7.4%-15.3%-1.2K122.0K-1.1K0.44128.80N/AN/A4821133127
2015-07-08$35.79$40.0069.5%6.5%12.9%34.2%27.2%8.8%5.7%-12.0K163.2K-8490.44114.30N/AN/A4821133127
2015-07-09$35.52$40.0022.8%9.9%13.2%6.0%45.9%10.3%-13.8%-4.2K132.0K-7850.44120.65N/AN/A4821133127
2015-07-10$35.05$40.0031.9%6.0%14.0%11.5%24.4%2.9%3.5%-12.5K160.8K-8440.44125.02N/AN/A4821133127
2015-07-13$35.17$40.0039.7%6.7%14.0%16.2%24.1%0.9%-4.6%-13.4K196.8K-7650.44124.25N/AN/A4821133127
2015-07-14$34.83$40.0026.9%4.9%14.0%8.5%18.4%33.5%0.8%-18.9K220.4K-7280.44116.35N/AN/A4821133127
2015-07-15$34.85$40.0061.9%17.8%13.0%29.7%44.0%56.8%-24.7%1.7K144.4K-1.0K0.44126.47N/AN/A4821133127
2015-07-16$35.02$40.0041.9%12.0%12.7%17.6%44.4%32.2%-2.2%-9.3K233.6K-6900.44128.74N/AN/A4821133127
2015-07-17$34.48$40.0040.8%11.7%12.2%16.9%44.3%32.2%-17.7%-13.1K271.9K-6410.38118.71N/AN/A5521133127
2015-07-20$34.41$40.0020.5%5.9%12.2%4.6%21.5%22.8%-0.8%-21.2K272.8K-6330.55123.67N/AN/A3821118127
2015-07-21$34.11$40.0034.8%10.0%12.4%13.3%34.3%17.5%-6.5%-15.9K308.9K-5140.55124.41N/AN/A3821118127
2015-07-22$34.00$40.0043.4%12.4%12.4%18.5%39.7%44.5%-12.6%-11.5K286.7K-5580.55127.38N/AN/A3821118127
2015-07-23$33.59$40.0024.0%6.9%12.7%6.6%23.8%4.2%-3.4%-21.1K248.9K-5850.55124.19N/AN/A3821118127
2015-07-24$33.59$40.0023.7%6.8%12.8%6.4%28.0%50.1%27.1%-23.0K268.1K-5830.55130.66N/AN/A3821118127
2015-07-27$33.76$40.0034.7%10.0%12.3%13.0%35.9%-3.5%-6.8%-15.2K295.7K-4930.55127.00N/AN/A3821118126
2015-07-28$34.53$40.0021.2%6.1%14.5%4.8%22.3%2.4%-1.4%-22.2K225.0K-6650.55113.53N/AN/A3821118126
2015-07-29$34.60$40.0022.7%6.5%13.9%5.8%24.6%28.9%31.8%-22.6K245.1K-6480.55125.84N/AN/A3821118126
2015-07-30$34.62$40.0020.9%6.0%13.7%4.7%21.2%30.0%9.9%-26.6K287.5K-4830.55124.35N/AN/A3821118126
2015-07-31$34.97$40.0019.0%5.4%14.2%3.5%21.0%90.7%11.4%-29.9K228.8K-6550.55123.73N/AN/A3821118126