PCH Options History — May 2016

In May 2016, PCH traded between $33.69 and $34.94. ATM implied volatility averaged 26.8%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.6% (HV 20d: 19.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-05-18: Highest Volume — 485 contracts
  • 2016-05-05: Largest IV spike — 109.4% change
  • 2016-05-05: Highest IV Rank — 24.8%
  • 2016-05-03: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.36$33.69$34.94$34.94$34.23
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.8%17.6%56.3%24.9%25.6%
Expected Move6.7%5.0%9.4%7.1%7.3%
HV 20d19.2%16.5%21.6%19.4%16.5%
HV 60d24.7%23.6%27.1%27.1%24.0%
IV Rank7.4%1.2%24.8%5.4%7.9%
IV Percentile27.9%2.8%81.7%25.8%32.1%
Term Structure-0.5%-5.5%4.9%-2.2%-4.4%
VWIV23.9%17.7%34.8%27.6%25.3%
Skew 25d5.8%-20.4%40.6%5.3%1.2%
Skew 10d5.7%-53.6%52.1%13.8%-7.7%
Call IV 25d25.0%19.8%44.2%24.5%25.4%
Put IV 25d30.8%15.7%63.6%29.8%26.5%
Bid-Ask Spread %111.3890.79124.23112.44124.23
Gamma HHI0.710.410.920.840.41
Net GEX80.1K11.3K178.5K103.5K29.3K
Net DEX-627.6K-1.2M-124.3K-1.2M-327.4K
Net VEX-4.5K-5.2K-3.4K-4.9K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.471.871.420.47
Total Volume388.048305485355356
Total OI1,024.7147291,2401,010806

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$34.94$35.0024.9%7.1%19.4%5.4%27.6%5.3%-2.2%103.5K-1.2M-4.9K1.42112.44N/AN/A147208750260
2016-05-03$34.27$35.0032.8%9.4%20.0%10.3%34.8%-2.8%-5.5%80.4K-814.7K-4.8K1.53108.65N/AN/A150230750260
2016-05-04$34.42$35.0026.9%7.7%19.9%6.6%29.3%-3.8%-4.5%98.5K-720.5K-4.9K1.87119.42N/AN/A122228753282
2016-05-05$34.30$35.0056.3%7.0%19.9%24.8%24.6%-20.4%-0.6%68.7K-652.4K-5.1K1.73109.62N/AN/A139240775316
2016-05-06$34.20$35.0024.9%7.0%19.6%5.4%26.3%5.6%-0.1%108.0K-719.0K-5.2K1.8790.79N/AN/A139260800316
2016-05-09$34.33$35.0030.5%6.6%19.5%8.9%24.1%2.9%-0.8%119.4K-818.4K-5.1K1.87107.15N/AN/A139260800336
2016-05-10$34.68$35.0055.3%6.7%19.5%24.1%25.9%5.0%0.4%112.1K-737.2K-4.9K1.87110.47N/AN/A139260800336
2016-05-11$34.37$35.0021.1%6.1%19.7%3.1%24.0%6.8%2.1%127.1K-936.9K-4.9K1.87112.06N/AN/A139260800336
2016-05-12$34.50$35.0023.8%6.8%19.6%6.4%20.5%-4.9%-0.3%121.3K-874.5K-4.8K1.86110.19N/AN/A140260800336
2016-05-13$34.49$35.0023.7%6.8%19.4%6.2%19.9%-9.4%-0.4%110.0K-632.0K-4.6K1.86111.58N/AN/A140260801336
2016-05-16$34.93$35.0022.1%6.3%19.7%5.0%21.6%35.8%3.6%161.8K-924.8K-4.5K1.86119.76N/AN/A140260801336
2016-05-17$34.52$35.0021.4%6.1%20.2%4.4%19.7%-1.0%-0.9%178.5K-1.1M-4.4K1.86112.87N/AN/A140260801336
2016-05-18$34.42$35.0022.9%6.6%20.0%5.6%23.4%3.4%0.5%142.4K-817.3K-4.7K1.24106.34N/AN/A217268876339
2016-05-19$33.69$35.0023.9%6.8%21.5%6.4%25.9%6.6%0.3%11.4K-124.3K-4.3K1.24109.33N/AN/A217268901339
2016-05-20$34.00$35.0024.5%7.0%21.6%7.0%25.9%4.0%0.4%11.3K-179.4K-4.3K1.24109.86N/AN/A217268901339
2016-05-23$33.74$35.0019.7%5.7%21.4%3.0%20.7%9.9%1.3%12.2K-258.6K-3.8K0.60107.86N/AN/A191114480249
2016-05-24$34.29$35.0017.6%5.0%16.5%1.2%17.7%39.9%1.5%12.2K-231.3K-4.0K0.60114.24N/AN/A191114480250
2016-05-25$34.68$35.0025.4%7.3%16.5%7.7%23.7%40.6%-3.3%13.4K-354.0K-3.6K0.47119.63N/AN/A242114480250
2016-05-26$34.29$35.0019.3%5.5%16.7%2.6%20.1%-1.3%-2.2%31.0K-470.8K-4.1K0.47110.34N/AN/A242114556250
2016-05-27$34.17$35.0020.3%5.8%16.7%3.5%20.4%-0.9%4.9%29.4K-344.3K-4.0K0.47112.19N/AN/A242114556250
2016-05-31$34.23$35.0025.6%7.3%16.5%7.9%25.3%1.2%-4.4%29.3K-327.4K-3.4K0.47124.23N/AN/A242114556250