PCH Options History — March 2016

In March 2016, PCH traded between $26.56 and $31.60. ATM implied volatility averaged 37.9%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.2% (HV 20d: 28.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-03-29: Highest Volume — 88 contracts
  • 2016-03-08: Largest IV spike — 235.7% change
  • 2016-03-08: Highest IV Rank — 52.0%
  • 2016-03-29: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.49$26.56$31.60$26.56$31.60
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV37.9%21.6%100.6%35.8%26.8%
Expected Move10.0%6.2%27.8%10.3%7.7%
HV 20d28.6%23.2%33.4%25.0%32.9%
HV 60d35.6%33.4%37.6%33.4%36.8%
IV Rank13.3%3.3%52.0%12.0%6.5%
IV Percentile45.3%16.7%97.6%54.0%29.4%
Term Structure-5.2%-52.5%23.7%-9.6%-16.3%
VWIV33.4%18.9%106.7%21.9%18.9%
Skew 25d11.6%-2.9%75.0%10.8%-2.9%
Skew 10d18.4%-19.2%84.6%9.0%9.4%
Call IV 25d32.3%21.6%121.2%30.6%27.3%
Put IV 25d43.9%24.4%133.3%41.4%24.4%
Bid-Ask Spread %126.38110.07136.31126.93128.43
Gamma HHI0.420.340.500.340.47
Net GEX10.8K1.6K17.6K1.6K17.6K
Net DEX-164.4K-289.5K-31.1K-31.2K-289.5K
Net VEX-1.4K-1.8K-994-1.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.571.451.711.581.51
Total Volume83.81879888088
Total OI337.727331343339343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$26.56$0.0035.8%10.3%25.0%12.0%0.0%10.8%-9.6%1.6K-31.2K-1.1K1.58126.93N/AN/A314926574
2016-03-02$27.21$0.0066.8%19.1%26.8%31.1%0.0%12.2%-52.5%4.6K-31.1K-9941.55134.28N/AN/A314826674
2016-03-03$27.39$0.0055.1%12.1%25.9%23.9%0.0%6.7%-5.7%5.8K-46.1K-1.2K1.55136.26N/AN/A314825675
2016-03-04$27.99$0.0030.7%6.8%27.2%8.8%0.0%5.6%-1.2%6.3K-58.9K-1.2K1.55115.89N/AN/A314825675
2016-03-07$28.45$0.0030.0%7.0%27.0%8.4%0.0%6.0%-1.3%7.8K-99.6K-1.4K1.55123.97N/AN/A314825775
2016-03-08$28.25$0.00100.6%17.1%26.5%52.0%0.0%7.6%-0.5%7.8K-162.9K-1.8K1.55136.31N/AN/A314825775
2016-03-09$29.31$0.0025.7%7.4%25.9%5.8%0.0%75.0%-2.4%9.7K-145.0K-1.5K1.55119.62N/AN/A314825775
2016-03-10$29.59$0.0028.7%8.2%25.3%7.7%0.0%0.0%-1.7%10.6K-151.4K-1.5K1.45121.03N/AN/A334825875
2016-03-11$30.46$0.0021.6%6.2%23.2%3.3%21.9%21.6%2.6%14.5K-216.6K-1.5K1.61110.07N/AN/A335326075
2016-03-14$29.20$30.0022.7%6.5%29.2%3.9%21.8%1.0%1.9%11.5K-167.9K-1.5K1.61125.86N/AN/A335325980
2016-03-15$29.06$30.0022.9%6.6%28.4%4.0%22.8%0.9%3.0%10.0K-121.2K-1.4K1.61126.03N/AN/A335326080
2016-03-16$29.03$30.0033.1%9.5%28.4%10.3%39.5%15.9%11.7%11.2K-158.7K-1.6K1.61134.95N/AN/A335326080
2016-03-17$29.67$30.0024.1%6.9%29.0%4.8%22.5%29.1%-0.1%10.3K-137.8K-1.4K1.61122.57N/AN/A335326080
2016-03-18$30.75$30.0028.1%8.0%29.6%7.2%33.4%27.9%23.7%10.8K-226.5K-1.7K1.61127.69N/AN/A335326080
2016-03-21$30.58$30.0027.7%7.9%29.9%7.0%27.4%0.6%-4.2%14.8K-235.9K-1.5K1.71124.77N/AN/A315325880
2016-03-22$30.92$30.0023.3%6.7%28.6%4.3%23.5%12.9%0.6%15.1K-240.9K-1.4K1.71126.79N/AN/A315325880
2016-03-23$30.16$30.0041.7%12.0%31.0%15.6%42.7%3.0%-5.5%13.8K-208.2K-1.5K1.56126.00N/AN/A345325880
2016-03-24$29.82$30.0025.6%7.3%31.6%5.7%21.8%-0.3%-0.9%12.5K-178.7K-1.4K1.56126.88N/AN/A345326280
2016-03-28$30.01$30.0034.3%9.8%31.5%11.1%34.3%4.0%-10.5%12.2K-191.4K-1.4K1.56132.34N/AN/A345326280
2016-03-29$31.22$30.0096.9%27.8%33.4%49.7%106.7%12.1%-37.4%11.6K-239.6K-1.6K1.51134.74N/AN/A355326280
2016-03-30$31.54$30.0030.9%8.9%33.4%9.0%30.9%5.8%-8.1%17.1K-277.5K-1.4K1.51118.90N/AN/A355326380
2016-03-31$31.60$30.0026.8%7.7%32.9%6.5%18.9%-2.9%-16.3%17.6K-289.5K-1.4K1.51128.43N/AN/A355326380