PCH Options History — November 2015

In November 2015, PCH traded between $32.03 and $34.08. ATM implied volatility averaged 29.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.0% (HV 20d: 29.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2015-11-02: Highest Volume — 118 contracts
2015-11-20: Largest IV spike — 59.6% change
2015-11-09: Highest IV Rank — 19.3%
2015-11-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.89	$32.03	$34.08	$32.57	$33.42
Max Pain	$30.75	$30.00	$35.00	$35.00	$30.00
ATM IV	29.1%	18.1%	47.5%	24.7%	39.2%
Expected Move	7.8%	5.2%	11.2%	7.1%	11.2%
HV 20d	29.2%	24.4%	31.9%	27.6%	25.8%
HV 60d	24.5%	23.8%	25.6%	23.8%	24.7%
IV Rank	8.3%	1.1%	19.3%	7.0%	14.1%
IV Percentile	32.6%	3.2%	71.8%	25.8%	56.3%
Term Structure	2.3%	-10.5%	27.5%	-5.7%	-1.6%
VWIV	23.4%	14.6%	34.4%	33.4%	22.4%
Skew 25d	7.2%	-4.4%	30.5%	12.9%	10.1%
Skew 10d	9.7%	0.2%	18.7%	18.7%	8.5%
Call IV 25d	18.6%	14.8%	25.6%	21.1%	15.5%
Put IV 25d	25.7%	15.1%	45.4%	34.0%	25.5%
Bid-Ask Spread %	122.58	108.50	136.38	108.50	126.81
Gamma HHI	0.82	0.70	0.95	0.70	0.93
Net GEX	-3.8K	-12.0K	10.0K	-8.7K	9.4K
Net DEX	-9.2K	-131.8K	78.3K	32.3K	-127.9K
Net VEX	-633	-826	-465	-775	-597
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.00	1.28	0.74	0.00
Total Volume	65.7	0	118	118	3
Total OI	220.75	80	267	267	119

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$32.57	$35.00	24.7%	7.1%	27.6%	7.0%	33.4%	12.9%	-5.7%	-8.7K	32.3K	-775	0.74	108.50	N/A	N/A	68	50	104	163
2015-11-03	$32.91	$35.00	28.1%	8.1%	27.2%	9.0%	27.1%	4.4%	2.5%	-8.2K	9.7K	-824	0.74	114.31	N/A	N/A	68	50	104	163
2015-11-04	$32.39	$35.00	33.2%	9.5%	27.6%	12.1%	26.0%	-2.1%	-0.4%	-9.7K	36.6K	-805	1.28	123.31	N/A	N/A	39	50	104	163
2015-11-05	$33.20	$30.00	43.4%	9.2%	28.5%	18.3%	33.6%	13.9%	1.6%	-8.0K	38.5K	-826	1.28	132.94	N/A	N/A	39	50	93	163
2015-11-06	$32.69	$30.00	33.0%	7.3%	29.3%	12.0%	0.0%	7.5%	2.8%	-9.8K	41.0K	-687	0.00	129.32	N/A	N/A	0	0	93	163
2015-11-09	$33.08	$30.00	47.5%	7.9%	29.4%	19.3%	0.0%	30.5%	27.5%	-8.5K	39.7K	-785	0.00	134.25	N/A	N/A	0	0	93	163
2015-11-10	$33.06	$30.00	26.1%	8.1%	29.2%	6.0%	16.4%	4.0%	4.9%	-7.2K	-2.3K	-609	1.28	118.07	N/A	N/A	39	50	93	163
2015-11-11	$33.08	$30.00	28.3%	8.1%	28.9%	7.4%	18.3%	3.7%	2.3%	-8.6K	16.0K	-674	1.28	129.11	N/A	N/A	39	50	93	163
2015-11-12	$32.03	$30.00	23.2%	6.7%	31.9%	4.2%	14.6%	-3.2%	-10.5%	-8.9K	15.0K	-593	1.28	117.05	N/A	N/A	39	50	93	163
2015-11-13	$32.08	$30.00	27.2%	7.8%	31.7%	6.7%	15.8%	-4.4%	-7.5%	-12.0K	78.3K	-587	1.28	128.86	N/A	N/A	39	50	93	163
2015-11-16	$32.40	$30.00	38.0%	10.9%	31.7%	13.4%	0.0%	18.4%	-7.6%	-10.9K	45.6K	-602	0.00	135.89	N/A	N/A	0	0	93	163
2015-11-17	$32.60	$30.00	32.4%	9.3%	31.6%	9.9%	34.4%	16.2%	6.6%	-10.1K	57.3K	-534	1.28	136.38	N/A	N/A	39	50	93	163
2015-11-18	$32.69	$30.00	25.6%	7.3%	31.1%	5.7%	26.2%	8.6%	4.5%	-7.5K	16.6K	-489	1.28	122.19	N/A	N/A	39	50	93	163
2015-11-19	$32.52	$30.00	18.8%	5.4%	31.0%	1.5%	14.7%	-4.3%	4.8%	2.4K	-12.1K	-470	1.28	110.45	N/A	N/A	39	50	93	163
2015-11-20	$32.94	$30.00	30.0%	8.6%	30.9%	8.4%	26.4%	11.1%	3.2%	2.8K	-27.5K	-476	1.10	121.25	N/A	N/A	39	43	93	163
2015-11-23	$33.04	$30.00	18.1%	5.2%	30.6%	1.1%	0.0%	-3.0%	2.3%	2.6K	-76.3K	-465	0.00	118.36	N/A	N/A	26	0	55	25
2015-11-24	$33.44	$30.00	18.2%	5.2%	30.2%	1.2%	0.0%	3.1%	-0.9%	5.6K	-109.0K	-585	0.00	112.13	N/A	N/A	20	0	77	25
2015-11-25	$33.66	$30.00	20.8%	6.0%	25.0%	2.8%	18.5%	5.8%	5.4%	8.7K	-122.8K	-624	0.28	116.60	N/A	N/A	57	16	97	25
2015-11-27	$34.08	$30.00	26.8%	7.7%	24.4%	6.4%	22.4%	10.1%	11.7%	10.0K	-131.8K	-645	0.28	115.91	N/A	N/A	57	16	94	25
2015-11-30	$33.42	$30.00	39.2%	11.2%	25.8%	14.1%	0.0%	10.1%	-1.6%	9.4K	-127.9K	-597	0.00	126.81	N/A	N/A	3	0	94	25