PCH Options History — June 2016

In June 2016, PCH traded between $31.41 and $34.84. ATM implied volatility averaged 32.3%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 13.7% (HV 20d: 18.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-06-30: Highest Volume — 285 contracts
  • 2016-06-28: Largest IV spike — 165.1% change
  • 2016-06-24: Highest IV Rank — 56.9%
  • 2016-06-24: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.69$31.41$34.84$34.33$34.01
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.3%18.1%85.0%25.3%53.3%
Expected Move9.2%5.2%24.4%7.2%15.3%
HV 20d18.6%15.0%30.9%15.0%30.9%
HV 60d20.7%17.4%23.9%23.9%22.8%
IV Rank13.4%1.6%56.9%7.6%30.8%
IV Percentile39.0%3.6%96.0%30.6%84.9%
Term Structure-1.2%-22.1%22.2%-6.6%-5.2%
VWIV27.1%18.5%94.7%24.5%33.2%
Skew 25d11.2%-37.5%81.6%-2.7%-37.5%
Skew 10d3.6%-54.0%59.7%-9.6%-8.9%
Call IV 25d35.8%18.9%107.8%29.2%82.0%
Put IV 25d47.0%21.3%118.1%26.5%44.5%
Bid-Ask Spread %122.26107.09135.07107.09135.07
Gamma HHI0.420.330.600.390.38
Net GEX17.7K3.7K36.4K30.9K9.6K
Net DEX-47.0K-408.0K261.7K-360.3K25.0K
Net VEX-3.0K-3.6K-2.0K-3.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.240.680.680.24
Total Volume259.773224285282285
Total OI654.545549807806549

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$34.33$35.0025.3%7.2%15.0%7.6%24.5%-2.7%-6.6%30.9K-360.3K-3.3K0.68107.09N/AN/A168114556250
2016-06-02$34.48$35.0023.1%5.3%15.0%5.8%18.8%26.6%2.3%31.2K-380.4K-3.6K0.68120.79N/AN/A168114557250
2016-06-03$34.66$35.0019.6%5.8%15.1%2.9%20.2%23.9%0.3%33.6K-408.0K-3.5K0.68114.99N/AN/A168114557250
2016-06-06$34.22$35.0024.3%6.2%15.8%6.7%21.9%0.9%-0.6%28.5K-151.7K-3.5K0.68113.37N/AN/A168114449250
2016-06-07$34.58$35.0018.6%6.2%16.1%2.1%21.5%25.9%0.9%36.4K-200.6K-3.6K0.67118.97N/AN/A170114449250
2016-06-08$34.70$35.0019.7%5.6%15.8%3.0%19.7%27.1%-0.1%30.2K-209.3K-3.5K0.67114.20N/AN/A170114452250
2016-06-09$34.84$35.0018.1%5.2%15.5%1.6%19.4%3.1%3.2%24.2K-243.2K-3.5K0.67116.98N/AN/A170114452250
2016-06-10$34.42$35.0024.0%6.9%16.1%6.5%23.7%-24.4%-1.3%28.1K-146.1K-3.5K0.67127.67N/AN/A170114452250
2016-06-13$34.09$35.0021.8%6.2%16.4%4.7%23.5%-3.1%2.7%27.0K-107.3K-3.4K0.67123.09N/AN/A170114452250
2016-06-14$33.30$35.0021.5%6.2%17.5%4.4%18.5%-13.7%1.2%19.9K-104.4K-3.2K0.67116.94N/AN/A170114452250
2016-06-15$32.96$35.0036.3%10.4%17.4%16.7%27.7%52.2%22.2%13.7K21.9K-2.8K0.60130.52N/AN/A170102452250
2016-06-16$33.04$35.0037.5%10.8%17.5%17.7%25.6%-2.0%0.6%7.2K261.7K-2.7K0.57132.59N/AN/A17097452260
2016-06-17$33.61$35.0021.2%6.1%17.2%4.2%18.8%3.7%2.5%9.8K124.2K-2.8K0.57116.34N/AN/A17097452265
2016-06-20$33.81$35.0043.7%12.5%17.0%22.8%33.0%-21.7%-14.5%9.8K-8.9K-2.8K0.33128.62N/AN/A16955350199
2016-06-21$33.62$35.0022.9%6.6%16.9%5.6%23.7%-12.8%-2.4%9.8K13.8K-2.8K0.33119.30N/AN/A16955350199
2016-06-22$33.39$35.0023.8%6.8%15.9%6.4%27.4%-3.3%-3.7%9.7K9.0K-3.0K0.33120.31N/AN/A16955350199
2016-06-23$33.91$35.0043.3%12.4%16.4%22.5%31.2%49.7%-11.9%8.1K63.0K-2.6K0.33130.75N/AN/A16955350199
2016-06-24$32.49$35.0085.0%24.4%21.9%56.9%94.7%10.3%-22.1%6.0K135.3K-2.5K0.33133.44N/AN/A16955350199
2016-06-27$31.41$35.0029.3%8.4%24.5%10.9%25.7%-5.0%1.5%3.7K250.3K-2.0K0.33126.49N/AN/A16955350199
2016-06-28$32.43$35.0077.8%22.3%27.6%51.0%23.6%68.3%1.8%4.9K222.8K-2.1K0.33122.64N/AN/A16955350199
2016-06-29$32.87$35.0021.4%6.1%28.2%4.4%19.4%81.6%2.3%6.3K160.1K-2.2K0.33119.64N/AN/A16955350199
2016-06-30$34.01$35.0053.3%15.3%30.9%30.8%33.2%-37.5%-5.2%9.6K25.0K-2.8K0.24135.07N/AN/A23055350199