PCH Options History — December 2016

In December 2016, PCH traded between $40.55 and $43.25. ATM implied volatility averaged 36.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.0% (HV 20d: 24.7%). 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 12 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-12-28: Highest Volume — 468 contracts
  • 2016-12-02: Largest IV spike — 93.7% change
  • 2016-12-13: Highest IV Rank — 39.4%
  • 2016-12-02: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.90$40.55$43.25$40.55$41.45
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV36.7%21.5%75.8%29.5%29.2%
Expected Move8.5%6.2%16.4%8.5%8.4%
HV 20d24.7%21.7%27.5%23.9%26.3%
HV 60d25.0%24.0%25.7%25.5%24.7%
IV Rank13.7%3.7%39.4%8.9%8.7%
IV Percentile55.0%12.3%94.8%46.0%41.7%
Term Structure-3.6%-42.3%16.2%-3.9%-9.6%
VWIV28.9%21.6%66.5%31.4%25.1%
Skew 25d4.3%-4.1%19.2%0.9%8.7%
Skew 10d14.9%-5.4%65.1%5.4%22.5%
Call IV 25d25.6%16.0%52.3%29.5%20.4%
Put IV 25d29.9%23.5%71.5%30.4%29.2%
Bid-Ask Spread %119.64103.89129.16119.99119.91
Gamma HHI0.490.430.550.430.55
Net GEX77.0K59.9K85.7K70.9K74.7K
Net DEX-1.5M-2.1M-1.3M-1.3M-1.4M
Net VEX-5.8K-6.4K-5.1K-5.1K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.190.830.190.83
Total Volume403.143320468320468
Total OI913.381815978815973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$40.55$40.0029.5%8.5%23.9%8.9%31.4%0.9%-3.9%70.9K-1.3M-5.1K0.19119.99N/AN/A2705076253
2016-12-02$41.28$40.0057.1%16.4%24.0%27.1%66.5%19.2%-42.3%82.8K-1.8M-5.9K0.46129.16N/AN/A27012584054
2016-12-05$41.50$40.0035.9%7.5%23.8%13.1%26.2%6.9%0.8%83.3K-1.5M-6.1K0.46106.96N/AN/A270125840129
2016-12-06$41.40$40.0034.0%6.6%23.9%11.9%23.6%-0.9%4.4%83.4K-1.5M-6.0K0.43110.69N/AN/A289125840129
2016-12-07$42.83$40.0038.5%6.8%26.1%14.8%23.7%0.3%1.1%81.7K-2.0M-6.4K0.47110.41N/AN/A270127840129
2016-12-08$43.23$40.0031.4%6.9%22.3%10.2%25.2%3.0%1.0%83.6K-2.1M-6.4K0.47103.89N/AN/A270127844134
2016-12-09$43.25$40.0046.7%6.5%21.9%20.3%26.2%4.7%6.0%71.1K-1.7M-6.4K0.56122.56N/AN/A255142753134
2016-12-12$42.90$40.0057.1%7.7%21.9%27.1%22.5%4.0%4.6%78.5K-1.6M-6.1K0.55121.12N/AN/A258142745154
2016-12-13$43.20$40.0075.8%7.9%21.7%39.4%23.5%5.4%2.9%76.8K-1.6M-6.2K0.55124.06N/AN/A258142745154
2016-12-14$42.03$40.0030.5%8.7%24.1%9.6%26.6%1.6%-23.2%59.9K-1.7M-6.2K0.55125.56N/AN/A258142745154
2016-12-15$40.75$40.0033.7%9.7%26.5%11.7%26.2%0.5%-15.6%76.8K-1.3M-5.6K0.55122.49N/AN/A258142745154
2016-12-16$41.75$40.0024.4%7.0%27.5%5.6%26.0%3.2%8.7%72.1K-1.3M-5.8K0.55111.03N/AN/A258142745154
2016-12-19$41.65$40.0047.1%13.5%26.0%20.5%54.6%-2.2%-4.6%81.0K-1.5M-5.5K0.55122.53N/AN/A253140739152
2016-12-20$41.85$40.0025.2%7.2%25.6%6.1%21.6%6.3%-7.2%81.7K-1.5M-5.5K0.55123.82N/AN/A253140739152
2016-12-21$41.75$40.0041.5%11.9%25.5%16.9%37.6%-4.1%-11.5%71.5K-1.3M-5.6K0.55128.82N/AN/A256140739152
2016-12-22$41.58$40.0025.1%7.2%25.1%6.1%23.5%7.9%4.6%78.7K-1.3M-5.4K0.55123.85N/AN/A256140744152
2016-12-23$41.80$40.0034.1%9.8%25.2%11.9%22.1%5.1%-16.8%80.1K-1.4M-5.4K0.55125.09N/AN/A256140744152
2016-12-27$42.10$40.0025.4%7.3%24.9%6.2%24.5%2.0%4.0%85.7K-1.5M-5.2K0.46116.31N/AN/A256117744152
2016-12-28$41.08$40.0027.5%7.9%26.3%7.6%25.7%5.6%3.8%74.7K-1.3M-5.1K0.83123.72N/AN/A256212744154
2016-12-29$41.90$40.0021.5%6.2%26.5%3.7%25.3%11.9%16.2%67.9K-1.3M-5.6K0.83120.54N/AN/A256212744229
2016-12-30$41.45$40.0029.2%8.4%26.3%8.7%25.1%8.7%-9.6%74.7K-1.4M-5.4K0.83119.91N/AN/A256212744229