PCH Options History — September 2015

In September 2015, PCH traded between $28.54 and $33.06. ATM implied volatility averaged 46.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 28.8% (HV 20d: 17.6%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.53.

Notable Days

  • 2015-09-18: Highest Volume — 70 contracts
  • 2015-09-24: Largest IV spike — 282.2% change
  • 2015-09-02: Highest IV Rank — 46.1%
  • 2015-09-02: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.98$28.54$33.06$32.84$28.85
Max Pain$31.54$30.00$40.00$40.00$30.00
ATM IV46.4%23.4%89.3%55.8%35.7%
Expected Move12.5%6.7%25.6%16.0%10.2%
HV 20d17.6%15.2%19.3%17.3%16.5%
HV 60d15.5%14.8%16.1%14.8%16.1%
IV Rank20.1%6.1%46.1%25.8%13.6%
IV Percentile58.3%21.8%95.6%81.0%44.8%
Term Structure-15.3%-64.2%4.7%-15.5%-11.1%
VWIV35.0%23.4%55.3%39.6%34.6%
Skew 25d9.0%-12.1%66.6%44.5%-2.7%
Skew 10d14.5%-38.2%106.4%106.4%-2.1%
Call IV 25d37.6%20.4%74.1%72.7%35.8%
Put IV 25d46.6%27.0%135.4%117.1%33.2%
Bid-Ask Spread %121.93101.79134.80127.20122.44
Gamma HHI0.790.500.990.500.99
Net GEX-6.9K-15.3K205205-14.2K
Net DEX140.5K26.7K308.5K26.7K303.7K
Net VEX-373-707-87-260-617
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.530.0037.000.621.58
Total Volume44.6673702167
Total OI130.6196421664216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$32.84$40.0055.8%16.0%17.3%25.8%39.6%44.5%-15.5%20526.7K-2600.62127.20N/AN/A1384123
2015-09-02$33.06$40.0089.3%25.6%17.6%46.1%44.4%66.6%-51.1%-38943.3K-1890.53133.84N/AN/A1584123
2015-09-03$32.85$0.0086.6%15.3%17.6%44.4%0.0%14.3%-17.2%10234.8K-2340.53134.80N/AN/A1584323
2015-09-04$32.35$0.0052.6%8.9%18.1%23.8%0.0%-0.8%4.3%-1.4K50.8K-1520.50115.60N/AN/A1684323
2015-09-08$32.30$0.0046.4%11.7%17.9%20.1%0.0%11.8%-5.4%-1.4K53.4K-1360.00116.31N/AN/A304423
2015-09-09$31.67$0.0028.0%8.0%18.6%9.0%0.0%0.5%-2.7%-1.4K57.3K-1120.47116.84N/AN/A1784723
2015-09-10$31.86$0.0045.7%13.1%18.8%19.7%0.0%10.3%-17.5%-1.4K59.5K-1030.47134.55N/AN/A1784723
2015-09-11$31.83$0.0025.5%7.3%18.1%7.4%0.0%8.6%4.7%-89061.8K-872.53103.89N/AN/A17434723
2015-09-14$31.20$0.0035.5%10.2%18.3%13.5%0.0%7.3%-14.1%-4.4K92.0K-2642.65122.09N/AN/A17454758
2015-09-15$30.78$0.0044.3%12.7%18.0%18.8%31.3%1.0%-29.2%-4.4K100.5K-27037.00131.62N/AN/A1374760
2015-09-16$31.15$30.0027.5%7.9%19.0%8.6%27.0%7.7%-2.3%-8.8K147.1K-4263.13123.33N/AN/A15474897
2015-09-17$31.23$30.0047.1%13.5%19.3%20.5%38.3%10.1%-16.7%-7.4K133.8K-4523.13132.42N/AN/A15474897
2015-09-18$30.79$30.0031.5%9.0%19.3%11.1%37.6%-1.6%-2.9%-8.5K145.3K-4282.04104.20N/AN/A23474897
2015-09-21$30.90$30.0027.7%7.9%18.8%8.8%30.5%-5.8%-2.8%-8.9K142.6K-4202.86101.79N/AN/A14404896
2015-09-22$30.47$30.0040.0%11.5%17.6%16.3%27.1%3.4%-3.6%-9.6K158.0K-5792.86128.89N/AN/A144055126
2015-09-23$30.18$30.0023.4%6.7%16.1%6.1%23.4%2.7%0.1%-13.6K202.4K-5402.14109.00N/AN/A143055126
2015-09-24$29.66$30.0089.2%25.6%16.5%46.1%38.9%9.2%-64.2%-13.9K246.4K-6422.86121.67N/AN/A144055145
2015-09-25$29.26$30.0072.0%20.7%15.5%35.6%31.7%11.8%-59.8%-15.3K280.3K-7072.86131.41N/AN/A144055157
2015-09-28$28.86$30.0028.4%8.1%15.2%9.2%30.2%2.3%-1.4%-14.9K308.5K-6052.93121.62N/AN/A144155157
2015-09-29$28.54$30.0042.5%12.2%15.2%17.7%55.3%-12.1%-12.5%-14.8K302.8K-6042.41126.97N/AN/A174155158
2015-09-30$28.85$30.0035.7%10.2%16.5%13.6%34.6%-2.7%-11.1%-14.2K303.7K-6171.58122.44N/AN/A264158158