PCH Options History — March 2017

In March 2017, PCH traded between $43.05 and $45.93. ATM implied volatility averaged 30.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 13.5% (HV 20d: 16.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-03-31: Highest Volume — 1,234 contracts
  • 2017-03-28: Largest IV spike — 107.3% change
  • 2017-03-13: Highest IV Rank — 22.1%
  • 2017-03-28: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.41$43.05$45.93$44.90$45.93
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV30.1%20.9%49.5%30.9%23.7%
Expected Move7.4%6.0%12.9%8.9%6.8%
HV 20d16.6%12.3%23.4%23.1%12.3%
HV 60d22.7%20.9%24.7%24.7%20.9%
IV Rank9.3%3.3%22.1%9.9%5.1%
IV Percentile44.1%9.9%88.1%56.3%21.8%
Term Structure-1.0%-25.1%4.6%-6.2%1.9%
VWIV25.8%20.2%49.4%30.8%23.7%
Skew 25d8.1%-4.7%34.4%-1.1%24.2%
Skew 10d15.2%-6.9%52.6%4.0%52.6%
Call IV 25d24.1%20.4%32.9%29.1%21.1%
Put IV 25d32.2%21.2%56.0%28.0%45.2%
Bid-Ask Spread %113.18104.84125.93118.41111.15
Gamma HHI0.780.520.980.960.66
Net GEX231.7K18.1K726.2K357.9K22.9K
Net DEX-1.8M-3.2M-767.5K-3.2M-990.0K
Net VEX-3.5K-6.6K-1.4K-6.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.030.800.040.03
Total Volume162.043721,2345951,234
Total OI1,078.873821,6321,584391

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$44.90$45.0030.9%8.9%23.1%9.9%30.8%-1.1%-6.2%357.9K-3.2M-6.6K0.04118.41N/AN/A570251,49490
2017-03-02$44.48$45.0032.0%9.2%23.4%10.6%32.1%-1.2%-8.3%338.5K-2.9M-6.3K0.33115.77N/AN/A75251,496100
2017-03-03$44.15$45.0031.3%9.0%22.6%10.1%29.0%1.9%-4.3%376.7K-2.7M-6.1K0.26125.93N/AN/A98251,468100
2017-03-06$44.08$45.0029.6%6.6%21.1%9.0%23.1%4.6%-0.5%401.7K-2.6M-5.7K0.26108.78N/AN/A98251,514100
2017-03-07$44.00$45.0035.3%7.2%20.6%12.7%25.3%1.8%0.7%355.7K-2.7M-5.8K0.34109.91N/AN/A73251,514100
2017-03-08$43.50$45.0033.2%6.8%21.1%11.4%23.6%8.7%0.6%369.2K-2.6M-5.4K0.34110.85N/AN/A73251,515100
2017-03-09$43.25$45.0039.7%7.9%20.6%15.6%25.7%0.3%-0.5%312.9K-2.2M-5.0K0.22107.96N/AN/A73161,515100
2017-03-10$43.05$45.0034.8%6.8%15.2%12.4%24.2%3.1%0.5%348.3K-1.8M-4.5K0.27112.03N/AN/A73201,515101
2017-03-13$43.75$45.0049.5%6.5%16.4%22.1%22.5%4.9%3.2%352.8K-2.5M-4.3K0.44107.61N/AN/A73321,515106
2017-03-14$44.10$45.0046.4%6.5%15.7%20.0%22.8%3.5%2.9%441.4K-2.7M-3.9K0.44104.84N/AN/A72321,515117
2017-03-15$44.55$45.0032.0%9.2%16.1%10.6%32.1%14.8%-6.4%726.2K-2.6M-3.8K0.44118.21N/AN/A72321,514117
2017-03-16$44.70$45.0023.8%6.8%16.1%5.2%23.8%7.9%0.8%714.9K-2.9M-3.1K0.52110.24N/AN/A61321,514117
2017-03-17$44.68$45.0023.3%6.7%15.4%4.9%23.3%0.4%1.4%19.3K-807.6K-2.0K0.52112.23N/AN/A61321,514117
2017-03-20$44.40$45.0024.2%6.9%15.6%5.5%24.2%7.4%0.6%19.6K-826.8K-1.8K0.54105.78N/AN/A5932265117
2017-03-21$44.00$45.0023.1%6.6%14.2%4.8%23.3%7.1%1.1%20.0K-767.5K-2.0K0.80112.31N/AN/A4032265117
2017-03-22$44.20$45.0022.5%6.4%14.1%4.3%24.0%5.1%-0.0%20.8K-797.3K-1.9K0.80110.99N/AN/A4032266117
2017-03-23$44.65$45.0020.9%6.0%14.3%3.3%20.2%31.2%4.3%21.3K-828.0K-1.8K0.80121.12N/AN/A4032266117
2017-03-24$44.83$45.0023.8%6.8%13.5%5.2%23.8%-0.4%0.6%20.4K-852.3K-1.8K0.80107.95N/AN/A4032266117
2017-03-27$44.73$45.0021.8%6.2%13.1%3.9%21.1%34.4%4.6%23.1K-780.2K-1.9K0.80118.79N/AN/A4032266117
2017-03-28$44.75$45.0045.2%12.9%12.9%19.2%49.4%4.0%-25.1%18.1K-871.9K-1.7K0.80121.84N/AN/A4032267117
2017-03-29$45.40$45.0021.5%6.2%12.8%3.7%20.4%28.4%3.6%25.2K-874.0K-1.7K0.73119.19N/AN/A4432267117
2017-03-30$45.45$45.0024.2%6.9%12.3%5.5%24.1%-4.7%1.7%22.4K-928.6K-1.6K0.73111.21N/AN/A4432274117
2017-03-31$45.93$45.0023.7%6.8%12.3%5.1%23.7%24.2%1.9%22.9K-990.0K-1.4K0.03111.15N/AN/A1,20232274117