PCH Options History — August 2015

In August 2015, PCH traded between $32.86 and $36.00. ATM implied volatility averaged 43.2%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 29.3% (HV 20d: 13.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-08-21: Highest Volume — 128 contracts
  • 2015-08-10: Largest IV spike — 282.4% change
  • 2015-08-11: Highest IV Rank — 43.8%
  • 2015-08-31: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.72$32.86$36.00$35.07$33.11
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV43.2%16.4%85.5%16.4%81.2%
Expected Move11.9%4.7%23.3%4.7%23.3%
HV 20d13.9%10.5%17.5%14.2%17.2%
HV 60d13.1%12.0%14.8%13.6%14.7%
IV Rank18.2%1.9%43.8%1.9%41.2%
IV Percentile48.0%0.8%95.6%0.8%94.8%
Term Structure-18.5%-52.6%22.1%6.9%-25.8%
VWIV34.9%18.4%50.8%19.4%36.4%
Skew 25d20.7%-29.6%91.4%52.0%91.4%
Skew 10d22.1%-58.3%112.7%82.2%45.4%
Call IV 25d41.1%15.9%77.8%18.3%32.8%
Put IV 25d61.8%18.5%124.3%70.3%124.3%
Bid-Ask Spread %125.16108.08135.49124.64131.39
Gamma HHI0.750.500.930.900.53
Net GEX-19.9K-62.7K732-29.9K732
Net DEX155.1K12.3K434.8K220.6K12.3K
Net VEX-428-544-160-530-307
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.362.770.550.62
Total Volume49.7620128021
Total OI200.4296427424264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$35.07$40.0016.4%4.7%14.2%1.9%0.0%52.0%6.9%-29.9K220.6K-5300.00124.64N/AN/A00118124
2015-08-04$35.01$40.0019.0%5.4%14.0%3.5%19.4%23.6%0.9%-33.1K235.1K-5320.55115.81N/AN/A3821118126
2015-08-05$35.10$40.0018.1%5.2%14.0%3.0%18.4%22.0%1.5%-37.2K233.5K-5150.55118.72N/AN/A3821118126
2015-08-06$35.02$0.0017.0%5.3%13.8%2.3%0.0%-7.4%-1.4%-44.4K249.2K-4950.40126.82N/AN/A5321118126
2015-08-07$35.02$0.0020.9%16.5%13.0%4.7%0.0%6.2%-44.0%-31.1K219.1K-4880.40128.74N/AN/A5321119126
2015-08-10$35.14$0.0079.9%10.7%13.0%40.4%0.0%-28.8%-14.2%-9.1K181.5K-5180.40128.67N/AN/A5321119126
2015-08-11$35.13$0.0085.5%15.6%12.5%43.8%0.0%6.1%-37.2%-7.1K181.8K-5280.00132.97N/AN/A00119124
2015-08-12$35.27$0.0020.6%5.9%12.5%4.5%0.0%-2.6%-3.5%-43.2K197.0K-4460.40108.08N/AN/A5321119126
2015-08-13$35.61$0.0023.8%6.8%12.9%6.4%0.0%-29.6%-6.3%-31.6K156.6K-4510.40115.71N/AN/A5321119126
2015-08-14$35.80$0.0063.9%18.3%11.4%30.7%48.1%7.4%-46.5%-12.9K168.1K-4570.48126.00N/AN/A4421119126
2015-08-17$35.92$40.0038.5%11.0%11.3%15.3%32.3%-3.0%-33.8%-23.1K70.6K-3380.36120.25N/AN/A4416121133
2015-08-18$36.00$40.0019.1%5.5%10.5%3.6%24.1%9.7%3.9%-26.7K91.5K-3880.36124.12N/AN/A4416121143
2015-08-19$35.80$40.0037.7%10.8%10.8%14.8%0.0%-13.6%-35.6%-20.2K197.4K-5440.00127.86N/AN/A02121151
2015-08-20$35.32$40.0039.8%11.4%11.0%16.1%50.8%14.7%-27.4%-62.7K175.6K-4820.36128.06N/AN/A4416121153
2015-08-21$34.54$40.0064.8%18.6%14.1%31.3%37.4%53.2%-26.0%-2.4K434.8K-4241.51127.53N/AN/A5177121153
2015-08-24$33.68$40.0021.6%6.2%16.9%5.1%49.8%49.8%22.1%-2.2K75.9K-4062.77125.20N/AN/A13364046
2015-08-25$32.86$40.0075.7%21.7%16.8%37.8%30.0%78.1%-29.6%-2.0K66.2K-4012.77130.34N/AN/A13364146
2015-08-26$32.98$40.0069.1%19.8%16.9%33.9%37.4%49.1%-39.2%64014.5K-3100.62135.49N/AN/A1384123
2015-08-27$33.36$40.0020.8%6.0%17.5%4.6%32.6%-4.2%0.3%-1.6K50.9K-1600.62117.97N/AN/A1384123
2015-08-28$33.47$40.0073.2%21.0%17.1%36.3%37.6%61.5%-52.6%28124.9K-2750.62133.94N/AN/A1384123
2015-08-31$33.11$40.0081.2%23.3%17.2%41.2%36.4%91.4%-25.8%73212.3K-3070.62131.39N/AN/A1384123