PCH Options History — January 2017

In January 2017, PCH traded between $39.75 and $42.40. ATM implied volatility averaged 31.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.9% (HV 20d: 23.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-01-03: Highest Volume — 468 contracts
  • 2017-01-31: Largest IV spike — 170.3% change
  • 2017-01-18: Highest IV Rank — 30.2%
  • 2017-01-18: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.03$39.75$42.40$41.85$41.15
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV31.7%19.9%61.9%29.2%53.7%
Expected Move9.5%5.7%17.7%8.4%15.4%
HV 20d23.8%21.0%26.5%25.8%25.3%
HV 60d24.6%24.0%25.0%24.7%25.0%
IV Rank10.4%2.6%30.2%8.8%24.8%
IV Percentile45.4%6.3%92.9%42.5%87.3%
Term Structure-1.7%-30.7%29.5%2.7%0.2%
VWIV37.0%22.7%62.8%28.0%58.8%
Skew 25d7.1%-37.8%49.1%0.4%29.2%
Skew 10d13.1%-54.6%78.6%4.4%32.5%
Call IV 25d30.2%21.7%63.0%28.0%34.7%
Put IV 25d37.3%25.2%81.2%28.4%63.9%
Bid-Ask Spread %106.7984.20121.31113.68121.31
Gamma HHI0.550.490.850.530.74
Net GEX63.1K13.0K80.1K74.5K75.2K
Net DEX-1.0M-1.4M-642.8K-1.3M-936.0K
Net VEX-4.3K-5.4K-2.9K-5.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.531.060.831.04
Total Volume384.9233468468235
Total OI974.85967977973977

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$41.85$40.0029.2%8.4%25.8%8.8%28.0%0.4%2.7%74.5K-1.3M-5.3K0.83113.68N/AN/A256212744229
2017-01-04$42.40$40.0041.1%11.8%26.1%16.6%27.0%-4.4%-25.1%80.1K-1.4M-5.2K0.84120.40N/AN/A253212744229
2017-01-05$41.88$40.0024.8%8.6%26.5%5.8%32.6%5.4%-2.0%72.9K-1.3M-5.3K0.8484.20N/AN/A253212745229
2017-01-06$41.58$40.0025.5%8.5%23.5%6.3%32.2%8.6%-2.5%73.9K-1.3M-5.1K0.8397.29N/AN/A255212745229
2017-01-09$41.05$40.0027.0%12.6%23.5%7.3%43.1%22.2%0.9%58.2K-1.2M-5.4K0.83105.99N/AN/A255212747229
2017-01-10$41.65$40.0027.3%8.2%24.2%7.5%30.1%2.9%-0.8%69.2K-1.1M-4.6K0.8399.07N/AN/A255212747229
2017-01-11$42.30$40.0023.3%6.7%24.9%4.9%22.9%10.3%9.3%78.7K-1.3M-4.6K0.8398.29N/AN/A255212747229
2017-01-12$41.13$40.0030.5%8.7%26.5%9.6%32.5%4.7%-2.8%69.5K-1.1M-4.6K0.90103.79N/AN/A236212747229
2017-01-13$41.48$40.0030.9%8.9%25.0%9.9%34.5%7.0%-3.2%66.5K-1.1M-4.7K0.90110.65N/AN/A236212748229
2017-01-17$41.05$40.0032.6%9.3%22.7%11.0%34.7%3.8%-6.9%72.3K-1.2M-4.2K0.9099.67N/AN/A236212748229
2017-01-18$40.70$40.0061.9%17.7%21.0%30.2%62.8%49.1%-30.7%48.9K-1.1M-5.0K0.90117.08N/AN/A236212748229
2017-01-19$39.98$40.0029.4%8.4%21.8%8.9%32.1%0.4%-6.0%58.5K-791.9K-4.2K0.9199.50N/AN/A233212748229
2017-01-20$39.95$40.0027.4%7.9%21.7%7.6%32.1%-22.8%-1.7%13.0K-666.6K-4.0K0.9199.49N/AN/A233212748229
2017-01-23$40.00$40.0028.6%8.2%21.7%8.4%31.6%13.3%29.5%52.7K-652.7K-3.7K0.53102.77N/AN/A228120746221
2017-01-24$40.95$40.0030.9%8.9%23.5%9.8%39.3%6.3%-5.1%60.5K-912.1K-3.7K1.06108.53N/AN/A113120747227
2017-01-25$41.20$40.0031.1%8.9%23.5%10.0%40.3%7.8%-4.3%63.3K-1.0M-3.7K1.06115.63N/AN/A113120747227
2017-01-26$40.70$40.0027.1%7.8%23.7%7.4%48.1%-37.8%1.9%62.2K-900.7K-3.7K1.06105.33N/AN/A113120747227
2017-01-27$39.85$40.0031.7%9.1%23.3%10.4%53.6%0.6%4.9%52.0K-713.8K-3.6K1.06119.35N/AN/A113120747227
2017-01-30$39.75$40.0019.9%5.7%21.9%2.6%22.7%34.8%7.6%60.5K-642.8K-3.2K1.04113.84N/AN/A115120747227
2017-01-31$41.15$40.0053.7%15.4%25.3%24.8%58.8%29.2%0.2%75.2K-936.0K-2.9K1.04121.31N/AN/A115120750227