PCH Options History — February 2017

In February 2017, PCH traded between $41.60 and $45.18. ATM implied volatility averaged 32.3%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.5% (HV 20d: 26.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2017-02-10: Highest Volume — 1,121 contracts
2017-02-24: Largest IV spike — 147.8% change
2017-02-28: Highest IV Rank — 30.5%
2017-02-28: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.86	$41.60	$45.18	$41.60	$44.25
Max Pain	$44.62	$40.00	$45.00	$40.00	$45.00
ATM IV	32.3%	19.1%	62.3%	19.1%	62.3%
Expected Move	8.6%	5.5%	17.9%	5.5%	17.9%
HV 20d	26.8%	25.0%	29.1%	25.4%	25.2%
HV 60d	25.0%	24.3%	25.7%	24.8%	24.7%
IV Rank	10.8%	2.1%	30.5%	2.1%	30.5%
IV Percentile	44.7%	4.0%	93.7%	4.0%	93.7%
Term Structure	-4.6%	-46.2%	8.9%	8.9%	-26.4%
VWIV	32.9%	20.5%	68.6%	20.5%	63.8%
Skew 25d	8.7%	-1.8%	39.5%	6.3%	4.7%
Skew 10d	22.4%	0.6%	99.5%	51.9%	23.7%
Call IV 25d	32.6%	16.9%	88.0%	18.4%	88.0%
Put IV 25d	41.3%	24.3%	101.9%	24.8%	92.7%
Bid-Ask Spread %	116.49	96.83	132.86	115.28	131.68
Gamma HHI	0.82	0.50	0.97	0.50	0.92
Net GEX	204.9K	70.0K	449.7K	70.0K	174.7K
Net DEX	-2.5M	-4.3M	-1.2M	-1.2M	-3.7M
Net VEX	-5.0K	-7.1K	-3.0K	-3.0K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.02	1.03	1.03	0.03
Total Volume	737.842	237	1,121	237	577
Total OI	1,365.737	974	1,916	974	1,584

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$41.60	$40.00	19.1%	5.5%	25.4%	2.1%	20.5%	6.3%	8.9%	70.0K	-1.2M	-3.0K	1.03	115.28	N/A	N/A	117	120	747	227
2017-02-02	$42.55	$0.00	36.1%	6.7%	26.2%	13.3%	0.0%	7.1%	0.1%	74.7K	-1.4M	-3.6K	0.53	121.39	N/A	N/A	228	120	749	227
2017-02-03	$43.55	$0.00	44.8%	8.7%	27.0%	19.0%	0.0%	-1.8%	-2.4%	122.1K	-1.8M	-3.9K	0.34	117.49	N/A	N/A	238	80	860	227
2017-02-06	$43.03	$0.00	28.6%	5.7%	27.3%	8.3%	0.0%	13.2%	7.5%	156.8K	-1.8M	-3.7K	0.39	117.66	N/A	N/A	240	93	875	250
2017-02-07	$42.95	$0.00	30.3%	6.1%	26.8%	9.4%	0.0%	3.7%	0.9%	124.5K	-1.7M	-3.6K	0.39	109.42	N/A	N/A	236	93	874	250
2017-02-08	$43.55	$0.00	27.7%	7.9%	26.8%	7.7%	0.0%	4.0%	-5.9%	130.6K	-1.9M	-3.7K	0.39	121.34	N/A	N/A	236	93	874	250
2017-02-09	$45.18	$0.00	24.6%	7.1%	29.1%	5.7%	24.6%	8.8%	0.9%	208.8K	-2.8M	-3.0K	0.09	96.83	N/A	N/A	1,025	93	874	250
2017-02-10	$44.80	$45.00	25.4%	7.3%	27.1%	6.2%	25.4%	7.9%	-1.1%	449.7K	-4.3M	-7.1K	0.10	101.63	N/A	N/A	1,016	105	1,635	250
2017-02-13	$44.08	$45.00	22.5%	6.4%	28.0%	4.3%	27.2%	39.5%	-2.5%	361.5K	-3.6M	-6.8K	0.11	111.70	N/A	N/A	997	105	1,636	270
2017-02-14	$44.10	$45.00	27.0%	7.7%	27.5%	7.3%	26.5%	5.1%	-1.5%	304.4K	-3.7M	-6.7K	0.11	114.96	N/A	N/A	997	105	1,635	270
2017-02-15	$44.15	$45.00	25.3%	7.3%	27.2%	6.2%	25.6%	3.2%	-0.3%	332.1K	-3.3M	-6.2K	0.10	109.73	N/A	N/A	997	95	1,635	270
2017-02-16	$43.60	$45.00	23.5%	6.7%	26.7%	5.0%	26.7%	11.8%	-2.5%	298.5K	-3.1M	-6.1K	0.09	114.51	N/A	N/A	976	92	1,635	281
2017-02-17	$43.75	$45.00	34.3%	9.8%	26.6%	12.1%	30.6%	1.8%	-6.2%	176.0K	-2.3M	-5.0K	0.09	121.33	N/A	N/A	976	92	1,635	281
2017-02-21	$44.63	$45.00	22.2%	6.4%	27.1%	4.2%	23.3%	8.3%	-0.5%	233.6K	-1.9M	-5.3K	0.02	117.09	N/A	N/A	806	16	978	89
2017-02-22	$44.30	$45.00	47.9%	13.7%	26.6%	21.1%	45.1%	8.5%	-11.3%	125.9K	-2.3M	-5.4K	0.02	131.91	N/A	N/A	810	16	989	90
2017-02-23	$44.65	$45.00	24.3%	7.0%	26.6%	5.5%	24.2%	8.3%	-0.5%	234.4K	-2.0M	-5.2K	0.02	114.01	N/A	N/A	810	16	994	90
2017-02-24	$44.10	$45.00	60.3%	17.3%	26.7%	29.2%	68.6%	15.7%	-46.2%	90.0K	-2.2M	-5.5K	0.02	132.86	N/A	N/A	810	16	994	90
2017-02-27	$44.55	$45.00	27.6%	7.9%	25.0%	7.7%	27.9%	9.5%	1.7%	225.7K	-2.1M	-5.0K	0.03	112.52	N/A	N/A	561	16	994	90
2017-02-28	$44.25	$45.00	62.3%	17.9%	25.2%	30.5%	63.8%	4.7%	-26.4%	174.7K	-3.7M	-6.9K	0.03	131.68	N/A	N/A	561	16	1,494	90