PCH Options History — November 2016

In November 2016, PCH traded between $37.20 and $43.43. ATM implied volatility averaged 33.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 8.6% (HV 20d: 25.3%). 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 0.27.

Notable Days

  • 2016-11-29: Highest Volume — 232 contracts
  • 2016-11-02: Largest IV spike — 68.5% change
  • 2016-11-15: Highest IV Rank — 21.3%
  • 2016-11-15: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.40$37.20$43.43$37.70$41.08
Max Pain$35.24$35.00$40.00$35.00$40.00
ATM IV33.8%22.8%48.3%28.2%31.4%
Expected Move9.5%6.5%13.8%8.1%9.0%
HV 20d25.3%22.1%26.8%24.7%23.9%
HV 60d24.7%23.5%25.5%23.5%25.4%
IV Rank11.8%4.6%21.3%8.1%10.2%
IV Percentile54.0%18.3%83.7%42.5%50.4%
Term Structure0.2%-33.3%26.8%1.9%7.5%
VWIV32.0%19.2%47.1%34.7%29.0%
Skew 25d9.5%-24.1%28.3%13.1%8.6%
Skew 10d18.9%2.4%50.1%15.0%10.6%
Call IV 25d28.2%15.4%68.2%26.1%25.6%
Put IV 25d37.6%28.7%56.4%39.2%34.2%
Bid-Ask Spread %113.4395.47129.29109.67114.84
Gamma HHI0.530.390.770.610.44
Net GEX106.5K51.7K227.3K124.9K73.4K
Net DEX-1.9M-3.6M-1.1M-1.3M-1.5M
Net VEX-5.5K-6.0K-4.6K-5.4K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.230.420.280.27
Total Volume184.286146232146232
Total OI1,106.7627551,3061,247815

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$37.70$35.0028.2%8.1%24.7%8.1%34.7%13.1%1.9%124.9K-1.3M-5.4K0.28109.67N/AN/A114321,14899
2016-11-02$37.20$35.0047.5%13.6%24.6%20.8%47.1%-5.8%-33.3%92.8K-1.1M-4.9K0.28129.29N/AN/A114321,148100
2016-11-03$37.82$35.0028.7%8.4%25.0%8.4%29.4%4.9%-1.5%111.5K-1.2M-5.3K0.2895.47N/AN/A115321,148100
2016-11-04$37.65$35.0027.2%8.4%24.7%7.4%30.9%2.2%-3.5%125.0K-1.3M-5.2K0.2897.58N/AN/A115321,148100
2016-11-07$37.73$35.0030.2%7.0%22.8%9.4%27.4%9.0%0.7%127.0K-1.3M-5.1K0.28103.08N/AN/A115321,148100
2016-11-08$37.85$35.0044.4%9.1%22.1%18.7%23.3%18.9%5.8%89.8K-1.1M-4.6K0.24114.50N/AN/A135321,148100
2016-11-09$39.50$35.0027.2%7.8%26.4%7.4%28.4%12.0%0.3%175.2K-1.8M-5.5K0.24109.87N/AN/A135321,148100
2016-11-10$39.20$35.0030.2%8.7%26.2%9.4%34.1%25.0%-3.6%118.0K-1.8M-5.7K0.24113.38N/AN/A134321,148100
2016-11-11$39.85$35.0026.9%7.7%25.7%7.3%28.1%10.9%1.2%171.1K-2.1M-5.7K0.24118.75N/AN/A133321,152100
2016-11-14$40.35$35.0043.1%12.4%25.8%17.9%41.7%12.3%-4.4%227.3K-2.5M-5.8K0.24116.08N/AN/A133321,151100
2016-11-15$40.75$35.0048.3%13.8%25.9%21.3%42.0%-24.1%-5.5%51.7K-3.2M-5.3K0.23109.55N/AN/A140321,151100
2016-11-16$41.10$35.0048.0%13.8%25.7%21.1%44.7%28.3%-1.5%149.9K-2.8M-6.0K0.25118.91N/AN/A127321,182100
2016-11-17$41.70$35.0045.6%13.1%25.7%19.6%45.1%16.1%-11.4%79.2K-3.3M-5.4K0.42114.72N/AN/A126531,180100
2016-11-18$42.70$35.0024.3%7.0%26.6%5.5%26.0%16.7%11.4%68.3K-3.6M-5.7K0.42109.01N/AN/A127531,181125
2016-11-21$43.28$35.0025.4%7.3%26.8%6.2%19.2%17.5%26.8%72.8K-1.7M-5.5K0.25126.85N/AN/A1834670550
2016-11-22$43.43$35.0032.1%9.2%26.2%10.6%22.7%22.3%9.4%82.8K-1.8M-5.5K0.26121.52N/AN/A1834876150
2016-11-23$42.80$35.0040.1%11.5%26.0%15.9%34.3%0.5%-6.9%70.5K-2.0M-6.0K0.26121.53N/AN/A1834876252
2016-11-25$42.65$35.0022.8%6.5%25.3%4.6%24.6%11.2%5.5%73.3K-1.8M-5.9K0.26113.36N/AN/A1834876252
2016-11-28$42.13$35.0029.5%8.5%25.7%8.9%30.3%-0.4%-0.6%75.0K-1.8M-5.6K0.26113.98N/AN/A1834876252
2016-11-29$41.85$35.0029.5%8.4%24.5%8.9%28.7%-0.0%6.4%76.0K-1.7M-5.6K0.27110.02N/AN/A1834976252
2016-11-30$41.08$40.0031.4%9.0%23.9%10.2%29.0%8.6%7.5%73.4K-1.5M-5.3K0.27114.84N/AN/A1834976253