PCH Options History — July 2016

In July 2016, PCH traded between $33.83 and $38.33. ATM implied volatility averaged 39.4%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.7% (HV 20d: 32.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-07-01: Highest Volume — 350 contracts
  • 2016-07-05: Largest IV spike — 529.1% change
  • 2016-07-05: Highest IV Rank — 76.9%
  • 2016-07-21: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.38$33.83$38.33$34.37$38.33
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV39.4%17.4%109.2%17.4%20.3%
Expected Move7.5%5.0%11.1%5.0%5.8%
HV 20d32.7%25.6%36.7%31.1%25.6%
HV 60d24.6%22.8%25.6%22.8%24.8%
IV Rank19.2%1.0%76.9%1.0%3.4%
IV Percentile52.0%2.4%99.6%2.4%10.7%
Term Structure1.7%-27.4%22.3%15.3%0.3%
VWIV25.9%18.1%35.5%18.1%21.2%
Skew 25d11.3%0.3%53.7%53.7%0.3%
Skew 10d10.4%-35.5%48.9%27.5%-35.5%
Call IV 25d22.6%16.6%40.4%40.4%20.5%
Put IV 25d33.9%20.8%94.1%94.1%20.8%
Bid-Ask Spread %113.8395.19133.28133.28115.24
Gamma HHI0.470.420.560.440.56
Net GEX28.5K20.5K39.0K20.5K28.1K
Net DEX-623.0K-1.2M-87.1K-298.9K-1.2M
Net VEX-2.9K-3.3K-2.1K-3.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.252.030.252.03
Total Volume236.4118350350118
Total OI641.15624646624645

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$34.37$35.0017.4%5.0%31.1%1.0%18.1%53.7%15.3%20.5K-298.9K-3.3K0.25133.28N/AN/A28070425199
2016-07-05$33.83$35.00109.2%6.5%31.3%76.9%23.0%5.6%2.4%21.0K-87.1K-3.0K0.25112.32N/AN/A28070425214
2016-07-06$34.59$35.0064.8%6.2%32.1%40.2%20.2%22.5%3.3%25.8K-171.9K-2.9K0.25117.04N/AN/A28070425214
2016-07-07$33.95$35.0078.9%6.4%32.7%51.9%21.7%7.7%3.4%22.4K-95.7K-3.0K0.25113.36N/AN/A28070425214
2016-07-08$35.21$35.0039.8%7.8%35.3%19.5%35.5%17.6%0.5%20.9K-328.9K-3.0K0.45119.37N/AN/A15770425214
2016-07-11$36.20$35.0040.5%6.3%36.3%20.1%20.8%18.3%5.5%34.7K-564.8K-2.9K0.45112.46N/AN/A15770428214
2016-07-12$37.08$35.0076.3%8.1%36.7%49.7%30.5%8.3%8.1%24.9K-654.8K-3.1K0.44116.99N/AN/A15870428214
2016-07-13$37.08$35.0025.0%7.2%35.3%7.3%25.8%11.0%3.6%29.9K-757.8K-3.1K0.44111.25N/AN/A15870432214
2016-07-14$36.71$35.0034.6%9.9%35.3%15.3%30.5%17.1%-13.1%28.3K-666.7K-3.2K0.44128.41N/AN/A15870432214
2016-07-15$36.82$35.0026.9%7.7%35.3%8.9%25.8%8.4%-1.6%29.5K-717.9K-3.1K0.44103.53N/AN/A15870432214
2016-07-18$36.67$35.0024.1%6.9%35.1%6.6%24.3%10.4%22.3%28.7K-730.9K-3.0K0.45115.11N/AN/A15570428214
2016-07-19$36.57$35.0026.6%7.6%35.2%8.7%26.6%8.1%-1.5%29.8K-668.2K-3.0K0.45114.79N/AN/A15670428214
2016-07-20$36.65$35.0027.7%7.9%35.1%9.6%25.7%7.6%-2.0%30.0K-670.4K-2.9K0.45100.36N/AN/A15670429214
2016-07-21$36.84$35.0038.7%11.1%34.8%18.7%32.1%7.7%-27.4%29.2K-723.2K-2.8K0.45122.68N/AN/A15670429214
2016-07-22$37.43$35.0025.7%7.4%34.8%7.9%31.1%9.7%19.2%29.8K-762.3K-2.8K0.51121.98N/AN/A15679429214
2016-07-25$36.99$35.0020.4%5.8%30.7%3.5%23.7%2.1%10.8%31.8K-811.2K-2.6K0.6897.08N/AN/A11679429204
2016-07-26$37.39$35.0028.5%8.2%26.8%10.2%28.6%2.9%-6.9%32.6K-855.4K-2.6K0.68107.02N/AN/A11679439204
2016-07-27$36.92$35.0027.3%7.8%26.3%9.3%27.3%1.0%-4.4%33.5K-800.7K-2.7K0.6895.19N/AN/A11679439204
2016-07-28$38.05$35.0035.5%10.2%27.5%16.0%25.3%5.8%-4.3%39.0K-931.0K-2.3K1.88119.20N/AN/A4279440204
2016-07-29$38.33$35.0020.3%5.8%25.6%3.4%21.2%0.3%0.3%28.1K-1.2M-2.1K2.03115.24N/AN/A3979441204