PCH Options History — October 2015

In October 2015, PCH traded between $28.38 and $31.32. ATM implied volatility averaged 35.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 13.4% (HV 20d: 22.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.47.

Notable Days

  • 2015-10-29: Highest Volume — 118 contracts
  • 2015-10-26: Largest IV spike — 185.0% change
  • 2015-10-28: Highest IV Rank — 26.8%
  • 2015-10-28: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.73$28.38$31.32$28.38$31.23
Max Pain$34.55$30.00$35.00$30.00$35.00
ATM IV35.8%18.8%57.5%34.2%27.5%
Expected Move9.1%5.4%16.5%9.8%7.9%
HV 20d22.3%16.1%27.1%16.1%27.0%
HV 60d18.9%16.3%22.0%16.3%22.0%
IV Rank13.7%3.4%26.8%12.7%8.7%
IV Percentile45.8%6.0%82.5%42.1%31.0%
Term Structure3.4%-12.3%27.3%-4.6%27.3%
VWIV35.8%18.1%79.6%35.2%32.5%
Skew 25d7.9%-0.5%26.8%0.8%5.1%
Skew 10d9.9%0.4%41.2%0.4%6.9%
Call IV 25d26.1%20.0%39.4%34.6%26.2%
Put IV 25d34.1%22.4%54.7%35.4%31.4%
Bid-Ask Spread %118.26102.46127.57118.57117.22
Gamma HHI0.960.711.000.980.79
Net GEX-17.5K-31.2K-7.1K-10.8K-13.9K
Net DEX260.1K111.0K322.6K308.0K111.0K
Net VEX-712-812-594-660-812
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.742.241.580.74
Total Volume60.273011867118
Total OI228.364215267225267

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$28.38$30.0034.2%9.8%16.1%12.7%35.2%0.8%-4.6%-10.8K308.0K-6601.58118.57N/AN/A264167158
2015-10-02$28.60$30.0027.2%7.8%17.0%8.5%33.9%11.6%5.6%-13.0K322.6K-6151.50117.36N/AN/A263967158
2015-10-05$29.72$35.0031.2%6.6%23.1%10.9%0.0%9.6%5.7%-19.2K285.2K-7910.00107.21N/AN/A0067168
2015-10-06$29.47$35.0022.0%6.2%23.1%5.3%21.6%1.4%-0.2%-19.6K291.2K-7751.54102.46N/AN/A264067168
2015-10-07$30.09$35.0051.4%8.2%24.1%23.1%29.2%0.9%-7.8%-17.8K274.7K-7911.54126.42N/AN/A264067170
2015-10-08$30.04$35.0022.5%6.4%23.9%5.6%22.2%11.5%0.2%-21.4K261.8K-7991.54103.34N/AN/A264067170
2015-10-09$30.01$35.0046.0%9.2%23.9%19.8%34.2%4.2%6.9%-15.0K254.3K-8031.23127.57N/AN/A263267168
2015-10-12$29.99$35.0048.0%5.8%23.0%21.1%20.7%2.7%8.9%-22.5K231.5K-7571.23117.34N/AN/A263267168
2015-10-13$29.79$35.0039.8%7.1%22.7%16.1%24.8%2.9%3.7%-18.8K249.9K-7531.19114.55N/AN/A263167168
2015-10-14$29.60$35.0034.4%9.9%22.1%12.8%35.4%25.0%-5.4%-13.4K244.3K-7601.19124.66N/AN/A263167168
2015-10-15$29.68$35.0045.5%13.1%22.1%19.6%58.7%25.0%-4.9%-18.0K276.1K-7281.19124.03N/AN/A263167168
2015-10-16$29.49$35.0049.4%14.2%21.8%21.9%58.6%13.2%-4.5%-13.6K275.3K-7261.19124.16N/AN/A263167168
2015-10-19$29.58$35.0037.1%10.6%21.8%14.4%37.9%1.8%18.7%-14.6K279.3K-6911.53122.30N/AN/A192952167
2015-10-20$29.53$35.0018.8%5.4%21.3%3.4%19.1%2.8%2.3%-25.9K287.5K-6831.53126.17N/AN/A192952167
2015-10-21$29.22$35.0025.3%7.3%21.3%7.3%23.0%-0.5%-5.8%-18.0K262.1K-6671.53113.92N/AN/A192952167
2015-10-22$29.72$35.0036.7%10.5%21.5%14.3%37.5%1.9%-12.3%-15.3K272.7K-6762.00120.60N/AN/A193852167
2015-10-23$29.53$35.0019.1%5.5%21.0%3.6%18.1%0.4%7.5%-24.5K282.8K-6542.00107.70N/AN/A193852163
2015-10-26$29.32$35.0054.3%15.6%20.5%24.9%62.6%0.3%14.1%-12.8K282.9K-6142.00119.09N/AN/A193852163
2015-10-27$29.10$35.0020.5%5.9%20.3%4.4%24.5%13.3%20.1%-31.2K293.2K-5972.24125.14N/AN/A173852163
2015-10-28$30.66$35.0057.5%16.5%27.1%26.8%79.6%26.8%10.1%-7.1K197.8K-7161.71121.88N/AN/A172953163
2015-10-29$31.32$35.0038.2%11.0%26.8%15.1%42.3%13.8%-10.9%-19.1K178.9K-5940.74119.96N/AN/A685053163
2015-10-30$31.23$35.0027.5%7.9%27.0%8.7%32.5%5.1%27.3%-13.9K111.0K-8120.74117.22N/AN/A6850104163