PCH Options History — April 2016 In April 2016, PCH traded between $31.65 and $35.59. ATM implied volatility averaged 33.6%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.3% (HV 20d: 24.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.02.
Notable Days 2016-04-29 : Highest Volume — 331 contracts2016-04-07 : Largest IV spike — 112.5% change2016-04-12 : Highest IV Rank — 48.8%2016-04-27 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $33.45 $31.65 $35.59 $32.01 $35.28 Max Pain $30.71 $30.00 $35.00 $30.00 $35.00 ATM IV 33.6% 16.1% 95.4% 31.1% 29.2% Expected Move 7.3% 4.6% 12.2% 8.9% 8.4% HV 20d 24.3% 16.7% 33.3% 33.0% 18.7% HV 60d 32.4% 27.0% 36.8% 36.8% 27.0% IV Rank 10.7% 0.0% 48.8% 9.1% 8.1% IV Percentile 37.3% 0.0% 96.4% 40.1% 37.3% Term Structure 1.3% -21.9% 29.9% -21.9% 4.5% VWIV 22.5% 14.3% 39.5% 24.7% 32.7% Skew 25d 6.8% -6.1% 32.8% 5.0% 7.4% Skew 10d 11.5% -1.1% 48.4% 8.6% 11.9% Call IV 25d 22.0% 15.7% 46.4% 26.9% 25.0% Put IV 25d 28.8% 18.5% 52.2% 31.8% 32.4% Bid-Ask Spread % 119.59 109.61 132.82 132.82 114.55 Gamma HHI 0.70 0.47 0.92 0.48 0.90 Net GEX 64.1K 18.4K 147.8K 19.8K 88.6K Net DEX -728.1K -1.4M -298.2K -309.3K -1.2M Net VEX -2.3K -4.4K -1.3K -1.5K -4.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.28 2.43 1.47 1.25 Total Volume 160.381 89 331 89 331 Total OI 564.19 343 910 343 910
Daily Data (21 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 2016-04-01 $32.01 $30.00 31.1% 8.9% 33.0% 9.1% 24.7% 5.0% -21.9% 19.8K -309.3K -1.5K 1.47 132.82 N/A N/A 36 53 263 80 2016-04-04 $32.14 $30.00 29.4% 6.2% 32.6% 8.0% 22.3% 4.0% 7.0% 22.0K -365.2K -1.3K 1.47 120.12 N/A N/A 36 53 264 80 2016-04-05 $31.65 $30.00 60.5% 7.5% 33.3% 27.3% 20.0% 8.9% -3.1% 18.4K -298.2K -1.4K 1.47 109.61 N/A N/A 36 53 264 80 2016-04-06 $31.86 $30.00 26.2% 7.4% 33.0% 6.1% 19.2% 11.8% -0.2% 19.1K -320.6K -1.5K 1.43 121.13 N/A N/A 37 53 264 80 2016-04-07 $31.71 $30.00 55.6% 6.9% 31.1% 24.2% 27.1% 2.0% 2.3% 18.9K -306.0K -1.5K 0.88 112.73 N/A N/A 72 63 267 80 2016-04-08 $32.17 $30.00 35.7% 7.2% 31.2% 11.9% 16.3% 11.9% 1.7% 22.9K -326.5K -1.6K 0.88 116.52 N/A N/A 72 63 317 90 2016-04-11 $32.47 $30.00 48.1% 6.9% 29.9% 19.6% 15.1% 13.4% 4.0% 25.4K -345.1K -1.6K 0.88 123.29 N/A N/A 72 63 317 90 2016-04-12 $32.77 $30.00 95.4% 9.1% 24.7% 48.8% 20.8% 9.3% -1.2% 28.6K -400.0K -1.7K 0.90 124.33 N/A N/A 70 63 317 90 2016-04-13 $33.13 $30.00 31.4% 9.0% 24.4% 9.3% 20.4% 4.3% -1.0% 29.9K -419.0K -1.7K 0.90 125.24 N/A N/A 70 63 321 90 2016-04-14 $33.40 $30.00 24.2% 6.9% 24.2% 4.9% 18.4% 6.1% 3.8% 37.3K -484.1K -1.7K 0.28 120.07 N/A N/A 225 63 321 90 2016-04-15 $33.71 $30.00 35.4% 10.1% 23.6% 11.7% 25.6% -6.1% -6.0% 60.9K -675.8K -2.5K 0.48 118.68 N/A N/A 131 63 521 90 2016-04-18 $33.92 $30.00 20.4% 5.9% 20.9% 2.5% 22.2% 28.0% 29.9% 91.3K -858.3K -2.9K 0.44 115.81 N/A N/A 131 58 634 85 2016-04-19 $34.16 $30.00 16.1% 4.6% 20.6% 0.0% 14.3% 3.6% 2.1% 147.8K -1.0M -2.7K 0.41 128.13 N/A N/A 140 58 634 85 2016-04-20 $33.91 $30.00 17.7% 5.1% 20.9% 1.0% 20.0% -1.8% -0.7% 105.8K -981.9K -3.0K 0.41 113.19 N/A N/A 140 58 643 85 2016-04-21 $33.99 $30.00 19.6% 5.6% 17.9% 2.2% 21.4% -1.1% -0.8% 101.2K -967.6K -3.1K 0.57 117.41 N/A N/A 101 58 643 85 2016-04-22 $34.20 $30.00 21.9% 6.3% 16.7% 3.6% 21.7% -0.1% -0.6% 102.1K -1.0M -3.1K 0.57 116.22 N/A N/A 101 58 643 85 2016-04-25 $33.80 $30.00 19.9% 5.7% 17.9% 2.3% 22.1% -1.7% -3.2% 105.2K -1.0M -2.7K 0.57 118.86 N/A N/A 101 58 643 85 2016-04-26 $35.19 $30.00 20.3% 5.8% 18.1% 2.6% 23.8% 32.8% 6.5% 146.6K -1.3M -3.0K 2.43 121.13 N/A N/A 30 73 643 85 2016-04-27 $35.59 $35.00 42.7% 12.2% 18.1% 16.4% 39.5% 1.8% 8.3% 46.5K -1.3M -3.2K 2.15 128.22 N/A N/A 34 73 641 100 2016-04-28 $35.32 $35.00 24.5% 7.0% 18.7% 5.2% 25.4% 3.1% -4.6% 107.5K -1.4M -2.9K 1.63 113.38 N/A N/A 97 158 643 100 2016-04-29 $35.28 $35.00 29.2% 8.4% 18.7% 8.1% 32.7% 7.4% 4.5% 88.6K -1.2M -4.4K 1.25 114.55 N/A N/A 147 184 700 210
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