PCH Options History — September 2016

In September 2016, PCH traded between $36.06 and $39.23. ATM implied volatility averaged 47.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 25.0% (HV 20d: 22.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2016-09-01: Highest Volume — 435 contracts
  • 2016-09-13: Largest IV spike — 109.4% change
  • 2016-09-13: Highest IV Rank — 100.0%
  • 2016-09-19: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.93$36.06$39.23$38.56$39.23
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV47.7%17.3%168.0%44.2%37.9%
Expected Move10.1%5.0%17.3%12.7%10.9%
HV 20d22.7%17.8%25.6%18.2%25.6%
HV 60d24.8%22.5%26.9%25.4%22.5%
IV Rank22.7%1.2%100.0%23.3%14.4%
IV Percentile68.7%2.0%100.0%79.8%68.7%
Term Structure-5.0%-26.8%8.3%-5.0%-2.2%
VWIV27.8%16.4%48.2%25.0%32.6%
Skew 25d14.2%-21.1%62.2%4.1%22.9%
Skew 10d8.6%-39.7%56.8%7.7%9.0%
Call IV 25d34.2%15.9%64.1%30.0%57.1%
Put IV 25d48.5%22.9%83.0%34.1%80.0%
Bid-Ask Spread %125.8897.24134.31130.38132.57
Gamma HHI0.440.360.560.420.53
Net GEX78.8K53.4K116.0K58.6K108.5K
Net DEX-1.2M-1.9M-712.5K-871.2K-1.9M
Net VEX-5.9K-8.5K-4.4K-4.9K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.080.290.080.16
Total Volume219.952139435435255
Total OI1,0188151,2478151,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$38.56$40.0044.2%12.7%18.2%23.3%25.0%4.1%-5.0%58.6K-871.2K-4.9K0.08130.38N/AN/A4043172689
2016-09-02$38.92$40.0017.3%5.0%18.3%1.2%16.4%3.7%5.0%76.3K-1.2M-5.9K0.29109.28N/AN/A1083182389
2016-09-06$39.09$0.0028.7%6.1%18.2%10.5%21.2%4.7%2.3%78.1K-1.3M-5.7K0.2697.24N/AN/A1183182789
2016-09-07$39.13$40.0044.2%5.4%17.8%23.3%20.1%45.1%1.0%87.0K-1.3M-5.4K0.27121.83N/AN/A1153184889
2016-09-08$38.86$40.0058.1%5.5%18.0%34.8%21.8%-12.4%3.8%76.8K-1.3M-5.7K0.27116.12N/AN/A1153185089
2016-09-09$38.12$40.0057.4%13.4%19.4%34.3%48.2%62.2%-5.7%53.4K-1.4M-5.9K0.27130.84N/AN/A1153185089
2016-09-12$37.94$40.0080.2%9.0%19.5%53.0%24.6%1.8%0.7%70.6K-1.0M-5.2K0.27121.48N/AN/A1153185089
2016-09-13$36.29$40.00168.0%10.0%24.2%100.0%25.0%-4.5%-16.1%57.0K-712.5K-4.4K0.20127.14N/AN/A1563185089
2016-09-14$36.06$40.0026.5%7.6%24.2%7.0%17.9%5.9%2.5%57.9K-726.3K-4.8K0.20122.64N/AN/A1563189389
2016-09-15$36.68$40.0029.2%8.4%25.0%8.7%29.0%17.6%7.9%56.1K-762.2K-5.0K0.20129.49N/AN/A1563189389
2016-09-16$36.15$40.0035.4%10.2%25.4%12.8%28.0%3.0%-11.3%60.5K-782.8K-5.0K0.20132.18N/AN/A1563189389
2016-09-19$36.48$40.0060.5%17.3%25.4%29.3%31.7%50.6%-26.8%63.4K-784.3K-4.4K0.20133.93N/AN/A1533188889
2016-09-20$36.53$40.0049.2%14.1%25.4%21.9%26.6%-2.6%-16.1%64.7K-838.3K-4.7K0.20134.04N/AN/A1533188889
2016-09-21$37.11$40.0042.1%12.1%24.2%17.2%19.9%7.3%-21.5%72.2K-965.9K-5.3K0.20134.31N/AN/A1533188889
2016-09-22$37.93$40.0035.0%10.0%24.8%12.6%27.9%46.6%-2.7%86.6K-1.0M-4.8K0.13131.74N/AN/A2433188889
2016-09-23$38.44$40.0028.1%8.0%25.2%8.0%18.0%5.5%8.3%106.5K-1.4M-6.5K0.11120.21N/AN/A295311,02889
2016-09-26$38.60$40.0036.4%10.4%24.2%13.5%36.6%35.2%-5.2%96.6K-1.6M-7.4K0.11132.20N/AN/A295311,10589
2016-09-27$38.86$40.0038.0%10.9%24.2%14.5%38.4%-21.1%-5.2%95.6K-1.8M-8.2K0.11127.61N/AN/A295311,10589
2016-09-28$39.10$40.0041.9%12.0%24.2%17.1%38.8%6.8%-11.1%113.2K-1.8M-7.7K0.14126.19N/AN/A219311,10589
2016-09-29$38.39$40.0044.0%12.6%25.2%18.5%35.2%16.0%-7.4%116.0K-1.7M-8.3K0.16132.04N/AN/A219361,15389
2016-09-30$39.23$40.0037.9%10.9%25.6%14.4%32.6%22.9%-2.2%108.5K-1.9M-8.5K0.16132.57N/AN/A219361,15394