PCH Options History — October 2016

In October 2016, PCH traded between $37.11 and $40.00. ATM implied volatility averaged 35.5%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.6% (HV 20d: 25.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2016-10-03: Highest Volume — 255 contracts
  • 2016-10-05: Largest IV spike — 161.8% change
  • 2016-10-05: Highest IV Rank — 46.4%
  • 2016-10-05: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.75$37.11$40.00$38.73$38.55
Max Pain$35.71$35.00$40.00$40.00$35.00
ATM IV35.5%18.3%86.4%36.0%23.6%
Expected Move8.6%5.2%24.8%10.3%6.8%
HV 20d25.9%24.3%29.2%25.8%25.5%
HV 60d22.3%21.4%23.1%21.5%23.1%
IV Rank12.9%1.5%46.4%13.2%5.1%
IV Percentile47.0%4.8%97.6%62.3%23.0%
Term Structure-1.1%-40.5%10.1%-3.7%8.3%
VWIV31.3%18.8%99.1%29.4%24.8%
Skew 25d1.3%-20.1%42.2%42.2%12.8%
Skew 10d-0.7%-47.2%38.3%24.5%3.9%
Call IV 25d39.6%23.4%109.0%46.6%28.0%
Put IV 25d40.9%29.3%118.9%88.7%40.8%
Bid-Ask Spread %114.5595.29133.62126.29125.36
Gamma HHI0.590.490.730.560.69
Net GEX136.3K94.1K184.3K118.6K172.5K
Net DEX-1.9M-2.3M-1.4M-1.9M-1.9M
Net VEX-7.4K-8.2K-6.4K-8.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.120.270.160.27
Total Volume192.048145255255145
Total OI1,250.0951,2411,2551,2471,247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$38.73$40.0036.0%10.3%25.8%13.2%29.4%42.2%-3.7%118.6K-1.9M-8.0K0.16126.29N/AN/A219361,15394
2016-10-04$37.66$40.0033.0%9.5%27.6%11.3%34.5%15.8%-10.2%127.1K-1.8M-8.2K0.16127.80N/AN/A219361,15394
2016-10-05$37.11$40.0086.4%24.8%27.9%46.4%99.1%10.0%-40.5%94.1K-1.5M-7.9K0.12133.62N/AN/A219271,15394
2016-10-06$37.51$35.0065.2%9.5%28.3%32.4%32.9%2.9%2.3%99.1K-1.4M-7.7K0.16103.30N/AN/A168271,15395
2016-10-07$37.99$35.0048.2%9.7%27.9%21.2%33.3%4.0%-1.1%112.9K-1.5M-7.5K0.16102.31N/AN/A168271,15695
2016-10-10$38.95$35.0058.7%5.6%29.2%28.2%18.8%7.6%9.3%164.7K-2.2M-7.7K0.16121.85N/AN/A168271,15695
2016-10-11$38.30$35.0064.3%9.8%24.8%31.8%35.0%-0.7%-3.8%116.7K-1.7M-7.9K0.18122.09N/AN/A168311,15695
2016-10-12$38.93$35.0022.9%6.6%25.0%4.6%27.3%-15.0%-5.5%137.2K-2.0M-8.1K0.18109.39N/AN/A168311,15699
2016-10-13$38.54$35.0028.1%8.1%25.0%8.0%30.4%2.5%-2.9%126.4K-1.8M-8.1K0.18119.13N/AN/A168311,15699
2016-10-14$39.39$35.0028.1%8.1%25.0%8.1%29.3%7.1%-1.3%126.8K-2.0M-7.8K0.1895.29N/AN/A169311,15699
2016-10-17$39.00$35.0034.4%9.9%25.4%12.1%36.4%1.1%-6.5%112.2K-1.7M-7.2K0.19114.34N/AN/A165311,15699
2016-10-18$38.90$35.0020.9%6.0%25.5%3.3%23.0%-18.5%5.3%138.5K-2.1M-7.2K0.19117.00N/AN/A165311,15699
2016-10-19$39.40$35.0028.1%8.1%25.3%8.1%29.2%9.1%-1.8%131.6K-2.0M-7.4K0.19106.97N/AN/A165311,15699
2016-10-20$39.05$35.0018.3%5.2%24.6%1.5%19.3%-8.3%8.1%169.4K-2.0M-7.4K0.19120.25N/AN/A165311,15699
2016-10-21$39.00$35.0029.7%8.5%24.3%9.1%29.7%7.2%3.0%129.0K-1.7M-7.0K0.19119.83N/AN/A165311,15699
2016-10-24$39.20$35.0022.5%6.4%24.3%4.3%22.6%-6.1%10.1%153.1K-2.0M-6.7K0.20105.81N/AN/A155311,14299
2016-10-25$40.00$35.0025.6%7.3%25.2%6.4%26.1%-13.6%2.1%150.7K-2.3M-7.2K0.26100.26N/AN/A118311,14299
2016-10-26$39.35$35.0025.4%7.3%25.9%6.2%26.8%-5.1%1.4%149.4K-2.0M-7.0K0.2799.36N/AN/A114311,14899
2016-10-27$38.80$35.0020.5%5.9%25.5%3.0%21.0%-7.6%2.3%184.3K-2.0M-6.4K0.27117.43N/AN/A114311,14899
2016-10-28$39.35$35.0025.0%7.2%24.8%6.0%27.5%-20.1%1.3%147.2K-1.9M-6.9K0.27117.91N/AN/A114311,14899
2016-10-31$38.55$35.0023.6%6.8%25.5%5.1%24.8%12.8%8.3%172.5K-1.9M-6.4K0.27125.36N/AN/A114311,14899