PCH Options History — December 2015

In December 2015, PCH traded between $30.08 and $33.73. ATM implied volatility averaged 28.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 7.4% (HV 20d: 21.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2015-12-03: Highest Volume — 85 contracts
2015-12-03: Largest IV spike — 122.8% change
2015-12-08: Highest IV Rank — 26.0%
2015-12-16: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.37	$30.08	$33.73	$33.73	$30.40
Max Pain	$34.55	$30.00	$35.00	$30.00	$35.00
ATM IV	28.9%	16.6%	58.5%	16.6%	21.8%
Expected Move	7.3%	4.8%	10.1%	4.8%	6.2%
HV 20d	21.5%	19.8%	23.1%	21.5%	21.6%
HV 60d	25.0%	24.1%	25.3%	24.5%	24.4%
IV Rank	7.8%	0.1%	26.0%	0.1%	3.4%
IV Percentile	33.4%	0.8%	83.3%	0.8%	18.7%
Term Structure	-5.1%	-26.2%	6.6%	-2.1%	0.1%
VWIV	21.1%	13.0%	32.1%	19.6%	28.4%
Skew 25d	3.7%	-16.0%	46.2%	3.2%	-0.2%
Skew 10d	9.6%	-36.7%	50.7%	7.1%	5.6%
Call IV 25d	23.4%	17.1%	33.1%	18.0%	26.4%
Put IV 25d	27.1%	13.6%	64.0%	21.2%	26.2%
Bid-Ask Spread %	125.30	109.23	139.37	109.23	127.56
Gamma HHI	0.80	0.57	1.00	1.00	0.93
Net GEX	5.2K	1.7K	9.6K	9.6K	4.0K
Net DEX	-67.1K	-134.7K	-27.0K	-123.7K	-39.0K
Net VEX	-535	-789	-354	-588	-577
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.20	0.37	0.27	0.37
Total Volume	64.727	0	85	0	81
Total OI	137.318	119	149	119	149

Daily Data (22 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
2015-12-01	$33.73	$30.00	16.6%	4.8%	21.5%	0.1%	0.0%	3.2%	-2.1%	9.6K	-123.7K	-588	0.00	109.23	N/A	N/A	0	0	94	25
2015-12-02	$33.06	$30.00	21.7%	6.2%	22.6%	3.3%	19.6%	-8.3%	3.3%	7.7K	-116.6K	-601	0.27	125.33	N/A	N/A	59	16	94	25
2015-12-03	$32.37	$35.00	48.4%	9.1%	23.1%	19.8%	19.8%	-5.6%	-25.6%	7.9K	-124.9K	-765	0.23	136.34	N/A	N/A	69	16	109	25
2015-12-04	$32.69	$35.00	43.6%	7.9%	21.6%	16.8%	13.0%	46.2%	5.4%	6.8K	-134.7K	-789	0.23	139.37	N/A	N/A	69	16	119	25
2015-12-07	$32.18	$35.00	30.2%	5.5%	21.6%	8.5%	0.0%	0.0%	-4.5%	5.4K	-81.4K	-603	0.00	126.74	N/A	N/A	0	0	119	25
2015-12-08	$32.01	$35.00	58.5%	6.7%	21.1%	26.0%	15.3%	3.0%	6.6%	6.2K	-64.9K	-552	0.23	132.16	N/A	N/A	69	16	119	25
2015-12-09	$31.68	$35.00	34.0%	9.7%	21.3%	10.9%	20.7%	-9.5%	-26.2%	5.2K	-69.9K	-599	0.23	131.90	N/A	N/A	69	16	119	25
2015-12-10	$31.19	$35.00	24.4%	7.0%	21.8%	5.0%	16.6%	2.3%	-5.6%	3.3K	-61.1K	-593	0.27	130.50	N/A	N/A	60	16	119	25
2015-12-11	$30.62	$35.00	25.1%	7.2%	19.8%	5.4%	21.1%	3.3%	-0.3%	2.2K	-38.8K	-483	0.36	109.94	N/A	N/A	45	16	120	21
2015-12-14	$30.33	$35.00	23.2%	6.7%	19.9%	4.2%	27.9%	20.0%	0.6%	1.7K	-28.7K	-417	0.36	119.58	N/A	N/A	45	16	120	21
2015-12-15	$30.58	$35.00	23.1%	6.6%	19.8%	4.2%	18.9%	3.6%	2.5%	3.3K	-38.4K	-445	0.36	126.38	N/A	N/A	45	16	120	21
2015-12-16	$31.02	$35.00	35.3%	10.1%	20.5%	11.7%	19.0%	3.7%	-2.3%	4.7K	-64.1K	-501	0.36	135.70	N/A	N/A	45	16	120	21
2015-12-17	$31.19	$35.00	34.2%	9.8%	20.6%	11.0%	16.0%	4.2%	-18.7%	4.8K	-56.0K	-464	0.36	128.50	N/A	N/A	45	16	120	21
2015-12-18	$30.49	$35.00	22.3%	6.4%	21.8%	3.7%	20.4%	3.1%	0.6%	4.6K	-48.3K	-461	0.36	116.70	N/A	N/A	45	16	120	21
2015-12-21	$30.08	$35.00	32.6%	9.3%	21.3%	10.0%	23.6%	3.5%	-4.7%	3.5K	-27.0K	-354	0.27	127.61	N/A	N/A	44	12	109	14
2015-12-22	$30.50	$35.00	33.8%	9.7%	22.1%	10.8%	32.1%	27.6%	-11.9%	4.6K	-45.8K	-405	0.27	132.78	N/A	N/A	44	12	109	14
2015-12-23	$30.98	$35.00	17.2%	4.9%	22.5%	0.5%	21.4%	7.2%	3.8%	4.3K	-47.0K	-406	0.21	120.16	N/A	N/A	58	12	109	14
2015-12-24	$31.29	$35.00	18.5%	5.3%	22.7%	1.3%	19.8%	4.5%	5.4%	6.4K	-70.2K	-531	0.20	115.92	N/A	N/A	59	12	124	14
2015-12-28	$31.28	$35.00	17.2%	4.9%	22.0%	0.5%	22.0%	-3.3%	2.7%	5.8K	-66.4K	-511	0.20	112.04	N/A	N/A	59	12	125	14
2015-12-29	$31.53	$35.00	28.7%	8.2%	21.6%	7.6%	21.4%	-10.9%	-23.1%	6.9K	-68.9K	-488	0.37	121.70	N/A	N/A	59	22	125	14
2015-12-30	$31.01	$35.00	25.9%	7.4%	21.6%	5.9%	24.6%	-16.0%	-18.3%	5.4K	-60.7K	-634	0.37	130.47	N/A	N/A	59	22	125	24
2015-12-31	$30.40	$35.00	21.8%	6.2%	21.6%	3.4%	28.4%	-0.2%	0.1%	4.0K	-39.0K	-577	0.37	127.56	N/A	N/A	59	22	125	24