PCH Options History — February 2016

In February 2016, PCH traded between $25.87 and $29.02. ATM implied volatility averaged 43.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.6% (HV 20d: 43.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2016-02-01: Highest Volume — 270 contracts
  • 2016-02-09: Largest IV spike — 107.7% change
  • 2016-02-09: Highest IV Rank — 38.2%
  • 2016-02-09: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.05$25.87$29.02$28.50$26.47
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV43.1%28.6%78.3%49.2%36.6%
Expected Move12.3%8.2%22.8%14.1%10.5%
HV 20d43.7%25.0%48.6%48.6%25.0%
HV 60d33.3%32.5%33.8%32.9%33.5%
IV Rank16.5%7.6%38.2%20.3%12.5%
IV Percentile63.9%38.1%93.7%77.0%54.4%
Term Structure-5.1%-33.0%24.1%13.1%10.0%
VWIV43.5%34.8%56.0%56.0%34.8%
Skew 25d5.1%-4.5%12.8%12.8%6.2%
Skew 10d6.7%-33.1%39.5%11.8%34.1%
Call IV 25d34.1%24.9%56.1%24.9%34.7%
Put IV 25d39.1%31.3%64.8%37.7%41.0%
Bid-Ask Spread %125.2197.61138.64132.08137.92
Gamma HHI0.360.300.430.300.35
Net GEX5.2K2.0K9.6K3.5K2.0K
Net DEX-82.4K-204.1K-17.1K-65.3K-26.8K
Net VEX-1.3K-2.0K-1.0K-1.0K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.190.440.370.42
Total Volume224.55165270270167
Total OI364.45300388300338

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$28.50$30.0049.2%14.1%48.6%20.3%56.0%12.8%13.1%3.5K-65.3K-1.0K0.37132.08N/AN/A1977321585
2016-02-02$28.33$30.0032.0%9.2%47.4%9.6%39.8%-2.4%-8.9%7.5K-131.9K-1.6K0.37117.41N/AN/A1977328385
2016-02-03$28.86$30.0031.7%9.1%47.8%9.5%34.8%10.2%1.9%7.5K-160.0K-1.6K0.44120.46N/AN/A1677328385
2016-02-04$29.02$0.0028.8%8.2%47.3%7.7%0.0%7.7%-0.8%9.6K-181.1K-1.8K0.44100.54N/AN/A1677330285
2016-02-05$28.44$0.0033.7%9.9%45.2%10.7%0.0%11.4%-11.4%9.2K-176.1K-1.7K0.44127.11N/AN/A1677330285
2016-02-08$27.97$0.0037.7%8.7%44.6%13.2%0.0%0.0%-3.2%7.7K-148.5K-1.7K0.44107.75N/AN/A1677330285
2016-02-09$27.00$0.0078.3%22.8%46.3%38.2%0.0%8.7%-18.2%7.1K-204.1K-2.0K0.44137.56N/AN/A1677430286
2016-02-10$26.70$0.0037.0%10.6%46.2%12.8%0.0%1.0%-1.8%6.6K-62.9K-1.4K0.44118.30N/AN/A1677430286
2016-02-11$25.94$0.0041.4%11.9%46.9%15.5%0.0%9.6%-6.8%5.1K-30.6K-1.2K0.4497.61N/AN/A1677430286
2016-02-12$25.87$0.0070.2%20.1%46.8%33.2%0.0%-4.5%-23.7%4.1K-45.0K-1.4K0.44134.32N/AN/A1677430286
2016-02-16$26.56$0.0036.9%10.6%47.1%12.7%0.0%2.1%-4.7%3.2K-37.7K-1.1K0.44129.07N/AN/A1677430286
2016-02-17$26.67$0.0055.3%15.8%46.7%24.0%0.0%7.2%-33.0%5.1K-17.1K-1.0K0.44129.28N/AN/A1677430286
2016-02-18$26.60$0.0036.7%10.5%46.7%12.6%0.0%9.1%-2.8%5.5K-61.1K-1.3K0.44133.79N/AN/A1677430286
2016-02-19$26.16$0.0038.6%11.1%47.0%13.7%0.0%7.2%-5.5%3.2K-69.9K-1.3K0.44136.60N/AN/A1677430286
2016-02-22$26.54$0.0041.4%11.9%47.0%15.5%0.0%10.4%24.1%4.0K-53.2K-1.2K0.19127.36N/AN/A1452826162
2016-02-23$26.11$0.0052.4%15.0%43.4%22.2%0.0%-1.4%-15.5%4.7K-42.7K-1.1K0.20136.64N/AN/A1372826362
2016-02-24$26.28$0.0044.0%12.6%36.8%17.1%0.0%-3.5%-24.0%2.7K-43.4K-1.0K0.36125.97N/AN/A1374926462
2016-02-25$26.31$0.0028.6%8.2%33.2%7.6%0.0%4.5%7.3%2.7K-22.4K-1.1K0.36115.87N/AN/A1374926474
2016-02-26$26.59$0.0051.8%14.8%33.4%21.9%0.0%5.0%1.3%3.6K-68.2K-1.3K0.36138.64N/AN/A1374926474
2016-02-29$26.47$0.0036.6%10.5%25.0%12.5%0.0%6.2%10.0%2.0K-26.8K-1.1K0.42137.92N/AN/A1184926474