PCH Options History — August 2016

In August 2016, PCH traded between $37.53 and $39.71. ATM implied volatility averaged 33.4%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 14.6% (HV 20d: 18.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-08-23: Highest Volume — 498 contracts
  • 2016-08-23: Largest IV spike — 102.7% change
  • 2016-08-24: Highest IV Rank — 33.4%
  • 2016-08-24: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.23$37.53$39.71$38.46$37.90
Max Pain$39.35$35.00$40.00$35.00$40.00
ATM IV33.4%15.9%56.4%38.5%38.6%
Expected Move9.1%4.6%16.2%11.0%11.1%
HV 20d18.8%16.3%25.6%25.6%17.1%
HV 60d24.8%24.1%25.4%24.8%25.2%
IV Rank14.4%0.0%33.4%18.5%18.7%
IV Percentile50.9%0.0%89.7%69.4%71.0%
Term Structure-2.3%-38.2%6.9%6.9%1.0%
VWIV24.4%16.4%38.7%28.7%21.5%
Skew 25d9.0%-13.8%73.9%-8.2%73.9%
Skew 10d-0.4%-51.4%49.5%-51.4%40.1%
Call IV 25d28.9%18.5%83.5%35.4%31.6%
Put IV 25d37.9%16.0%105.5%27.2%105.5%
Bid-Ask Spread %122.76109.03133.36123.67130.23
Gamma HHI0.520.440.780.480.46
Net GEX43.2K25.3K74.0K31.8K60.4K
Net DEX-969.7K-1.3M-740.1K-978.9K-744.8K
Net VEX-2.9K-5.7K-1.6K-2.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.002.552.030.09
Total Volume186.3910498118359
Total OI676.696482815647815

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$38.46$35.0038.5%11.0%25.6%18.5%28.7%-8.2%6.9%31.8K-978.9K-2.6K2.03123.67N/AN/A3979443204
2016-08-02$37.88$35.0037.9%10.9%25.5%18.0%29.2%12.8%0.2%35.2K-1.0M-2.4K2.03113.93N/AN/A3979443204
2016-08-03$37.81$35.0036.9%10.6%24.9%17.2%33.4%17.1%3.9%36.3K-1.0M-2.4K2.03123.61N/AN/A3979443204
2016-08-04$37.80$40.0040.2%8.1%23.4%19.9%18.1%10.2%6.0%34.3K-964.6K-2.2K2.55118.19N/AN/A3179443204
2016-08-05$38.04$40.0039.3%8.2%20.4%19.2%21.0%-5.3%-2.0%36.5K-1.1M-2.1K2.55120.91N/AN/A3179443204
2016-08-08$37.84$40.0046.5%8.9%18.5%25.1%24.2%-10.3%-1.9%31.2K-1.1M-2.1K2.55120.56N/AN/A3179443204
2016-08-09$37.53$40.0045.9%12.1%17.0%24.6%38.7%-2.3%-18.8%36.3K-941.8K-2.2K2.55132.41N/AN/A3179443204
2016-08-10$37.78$40.0031.0%8.9%17.1%12.3%22.2%-3.4%-0.8%34.3K-1.0M-2.0K2.47119.29N/AN/A3279443204
2016-08-11$37.90$40.0031.8%9.1%16.6%12.9%20.7%4.8%1.9%33.9K-1.0M-2.0K2.47123.61N/AN/A3279442204
2016-08-12$37.77$40.0031.5%9.0%16.7%12.7%20.0%5.4%1.6%33.1K-1.0M-2.0K2.47121.42N/AN/A3279442204
2016-08-15$38.40$40.0022.4%6.4%17.4%5.2%25.5%2.6%-4.5%32.8K-905.9K-2.2K2.47118.37N/AN/A3279442204
2016-08-16$38.32$40.0032.2%9.2%17.4%13.3%24.6%-10.4%-2.3%34.4K-1.0M-2.0K2.47120.34N/AN/A3279442204
2016-08-17$38.56$40.0032.0%9.2%17.4%13.1%0.0%46.5%0.1%31.8K-902.9K-1.9K0.00123.35N/AN/A00440204
2016-08-18$38.57$40.0021.0%6.0%17.4%4.0%0.0%-0.3%2.6%25.3K-1.2M-1.6K0.00129.73N/AN/A50440204
2016-08-19$38.90$40.0015.9%4.6%16.9%0.0%17.4%29.7%3.9%25.7K-1.3M-1.7K0.28117.00N/AN/A27979447204
2016-08-22$38.70$40.0018.4%5.3%16.3%2.0%20.5%-2.8%6.1%54.9K-740.1K-2.9K0.19109.03N/AN/A1673140478
2016-08-23$39.71$40.0037.2%10.7%18.1%17.6%29.9%3.0%-8.2%52.2K-923.9K-3.0K0.07126.19N/AN/A4673140489
2016-08-24$38.87$40.0056.4%16.2%19.3%33.4%0.0%10.6%-38.2%74.0K-1.1M-5.7K0.00133.36N/AN/A0072689
2016-08-25$38.60$40.0039.7%11.4%16.6%19.6%32.1%-13.8%-10.6%63.1K-1.1M-5.7K0.09126.28N/AN/A3493172689
2016-08-26$37.87$40.0032.0%9.2%17.8%13.3%25.5%57.5%-3.0%69.6K-788.1K-4.8K0.09129.77N/AN/A3493172689
2016-08-29$38.12$40.0019.1%5.5%17.9%2.7%16.4%-6.6%-0.4%62.9K-825.0K-4.6K0.09117.93N/AN/A3493172689
2016-08-30$37.97$40.0024.2%6.9%17.1%6.9%17.6%-4.1%3.9%63.6K-792.8K-4.5K0.09124.20N/AN/A3493172689
2016-08-31$37.90$40.0038.6%11.1%17.1%18.7%21.5%73.9%1.0%60.4K-744.8K-4.4K0.09130.23N/AN/A3283172689