PCH Options History — January 2016

In January 2016, PCH traded between $24.58 and $29.70. ATM implied volatility averaged 44.5%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 14.3% (HV 20d: 30.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.80.

Notable Days

2016-01-25: Highest Volume — 133 contracts
2016-01-12: Largest IV spike — 124.3% change
2016-01-12: Highest IV Rank — 74.6%
2016-01-27: Largest Expected Move — 17.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.88	$24.58	$29.70	$29.42	$28.84
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	44.5%	21.5%	137.1%	48.9%	32.6%
Expected Move	10.2%	6.6%	17.3%	8.5%	9.3%
HV 20d	30.2%	23.1%	48.9%	23.1%	48.9%
HV 60d	28.2%	24.9%	33.0%	24.9%	33.0%
IV Rank	17.4%	3.2%	74.6%	20.1%	10.0%
IV Percentile	60.3%	17.1%	99.6%	75.8%	48.0%
Term Structure	-4.8%	-30.6%	32.8%	-5.0%	-0.1%
VWIV	33.1%	23.1%	48.2%	29.3%	38.4%
Skew 25d	7.6%	-15.6%	40.9%	5.1%	27.0%
Skew 10d	11.0%	-9.0%	80.2%	8.1%	17.4%
Call IV 25d	27.6%	18.0%	40.5%	25.6%	18.0%
Put IV 25d	35.1%	20.6%	72.2%	30.7%	45.0%
Bid-Ask Spread %	117.55	102.88	134.82	121.10	127.70
Gamma HHI	0.60	0.27	0.96	0.96	0.63
Net GEX	-178	-3.2K	4.1K	4.1K	-2.8K
Net DEX	36.0K	-31.5K	96.2K	-31.5K	-20.7K
Net VEX	-372	-582	-175	-554	-338
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.00	1.46	0.37	0.00
Total Volume	100.684	81	133	81	90
Total OI	172.158	140	211	149	211

Daily Data (19 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
2016-01-04	$29.42	$30.00	48.9%	8.5%	23.1%	20.1%	29.3%	5.1%	-5.0%	4.1K	-31.5K	-554	0.37	121.10	N/A	N/A	59	22	125	24
2016-01-05	$29.70	$30.00	21.5%	6.6%	23.1%	3.2%	23.1%	2.1%	-1.4%	2.8K	-13.7K	-476	0.37	111.20	N/A	N/A	59	22	125	24
2016-01-06	$29.09	$30.00	27.0%	8.0%	23.5%	6.6%	27.7%	-1.1%	-7.3%	2.4K	-3.9K	-430	0.37	118.50	N/A	N/A	59	22	125	24
2016-01-07	$27.88	$30.00	34.5%	7.0%	27.0%	11.2%	24.5%	-6.6%	-5.6%	1.4K	21.2K	-335	0.37	106.88	N/A	N/A	59	22	125	24
2016-01-08	$27.18	$30.00	48.9%	9.0%	27.8%	20.1%	25.8%	6.5%	-2.0%	1.5K	18.9K	-348	0.37	117.82	N/A	N/A	59	22	125	24
2016-01-11	$26.87	$30.00	61.1%	7.6%	27.7%	27.7%	29.1%	1.7%	1.0%	664	39.6K	-198	0.37	111.32	N/A	N/A	59	22	125	24
2016-01-12	$26.48	$30.00	137.1%	13.6%	27.5%	74.6%	35.2%	16.0%	-30.6%	308	40.0K	-175	0.56	124.81	N/A	N/A	59	33	125	24
2016-01-13	$26.00	$30.00	31.9%	9.1%	27.8%	9.6%	29.8%	7.2%	-10.4%	-559	58.6K	-203	0.56	114.74	N/A	N/A	59	33	125	35
2016-01-14	$26.24	$30.00	29.1%	8.4%	27.8%	7.9%	27.2%	5.3%	-2.4%	-13	54.7K	-242	0.67	108.58	N/A	N/A	49	33	125	35
2016-01-15	$25.70	$30.00	37.7%	10.8%	26.9%	13.2%	40.7%	40.9%	-2.7%	1.0K	37.6K	-356	0.67	133.32	N/A	N/A	49	33	119	35
2016-01-19	$25.35	$30.00	37.4%	10.7%	26.4%	13.0%	38.0%	11.7%	32.8%	-76	50.8K	-237	1.26	125.33	N/A	N/A	39	49	105	35
2016-01-20	$25.19	$30.00	55.9%	16.0%	26.0%	24.4%	26.8%	-15.6%	-14.3%	-1.8K	96.2K	-336	1.46	128.54	N/A	N/A	50	73	105	62
2016-01-21	$25.51	$30.00	34.4%	9.9%	27.1%	11.1%	39.6%	9.0%	-3.9%	-3.0K	78.1K	-451	1.46	102.88	N/A	N/A	50	73	116	85
2016-01-22	$25.86	$30.00	31.8%	9.1%	27.1%	9.5%	43.0%	7.0%	-0.1%	-3.2K	78.6K	-432	1.46	107.69	N/A	N/A	50	73	116	85
2016-01-25	$24.58	$30.00	37.5%	10.8%	29.5%	13.1%	33.2%	-5.0%	-8.3%	-2.6K	78.7K	-493	1.22	104.76	N/A	N/A	60	73	116	85
2016-01-26	$26.23	$30.00	39.8%	11.4%	39.5%	14.5%	36.2%	10.5%	0.6%	-456	45.5K	-475	1.22	115.45	N/A	N/A	60	73	126	85
2016-01-27	$27.38	$30.00	60.2%	17.3%	43.6%	27.1%	48.2%	27.3%	-12.1%	-1.1K	15.8K	-582	1.22	134.82	N/A	N/A	60	73	126	85
2016-01-28	$27.21	$30.00	38.7%	11.1%	43.2%	13.8%	38.4%	-5.1%	-18.8%	-2.0K	39.0K	-412	1.22	118.05	N/A	N/A	60	73	126	85
2016-01-29	$28.84	$30.00	32.6%	9.3%	48.9%	10.0%	0.0%	27.0%	-0.1%	-2.8K	-20.7K	-338	0.00	127.70	N/A	N/A	90	0	126	85