PCH Options History — May 2017

In May 2017, PCH traded between $43.48 and $45.75. ATM implied volatility averaged 26.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 1.6% (HV 20d: 27.6%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-05-19: Highest Volume — 179 contracts
  • 2017-05-03: Largest IV spike — 45.4% change
  • 2017-05-03: Highest IV Rank — 12.2%
  • 2017-05-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.94$43.48$45.75$45.75$45.65
Max Pain$45.45$40.00$50.00$40.00$45.00
ATM IV26.0%18.9%34.5%25.5%23.3%
Expected Move7.5%5.4%9.9%7.3%6.7%
HV 20d27.6%20.6%30.8%30.6%21.6%
HV 60d21.9%20.8%22.7%22.7%22.4%
IV Rank6.6%2.0%12.2%6.3%4.9%
IV Percentile32.0%3.2%65.9%32.5%17.1%
Term Structure0.5%-6.6%6.5%4.1%1.9%
VWIV25.9%18.6%36.7%29.2%23.3%
Skew 25d4.5%-5.9%27.8%1.0%-0.1%
Skew 10d9.4%-5.7%37.0%1.7%-1.0%
Call IV 25d24.0%17.9%29.9%29.2%20.3%
Put IV 25d28.5%17.2%50.8%30.1%20.2%
Bid-Ask Spread %93.9564.98117.62107.0989.54
Gamma HHI0.540.280.790.710.35
Net GEX56.6K3.9K222.4K152.5K9.6K
Net DEX-783.7K-1.5M-227.7K-1.2M-301.4K
Net VEX-1.5K-3.9K-940-2.3K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.250.640.340.33
Total Volume135.4557417917488
Total OI2,592.51493,7413,697186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$45.75$40.0025.5%7.3%30.6%6.3%29.2%1.0%4.1%152.5K-1.2M-2.3K0.34107.09N/AN/A130443,532165
2017-05-02$45.60$40.0023.7%6.8%30.7%5.2%27.0%-4.7%1.5%104.2K-1.2M-2.0K0.36101.41N/AN/A122443,558165
2017-05-03$45.15$40.0034.5%9.9%30.8%12.2%36.7%5.9%6.5%222.4K-1.5M-3.9K0.36117.62N/AN/A122443,557165
2017-05-04$44.73$50.0020.3%7.3%30.6%2.9%23.2%5.8%1.2%144.8K-1.2M-2.4K0.3798.37N/AN/A119443,557165
2017-05-05$45.33$50.0022.4%6.9%29.7%4.3%21.6%4.8%0.6%113.9K-1.1M-1.9K0.3797.69N/AN/A119443,557165
2017-05-08$45.38$50.0026.6%7.3%27.8%7.0%23.7%4.3%0.6%63.4K-1.1M-1.5K0.3770.74N/AN/A119443,557165
2017-05-09$44.95$50.0027.3%7.2%27.9%7.5%23.6%3.6%0.6%54.0K-962.7K-1.4K0.3764.98N/AN/A119443,557165
2017-05-10$45.23$50.0024.7%7.1%27.0%5.8%26.5%7.7%1.3%47.2K-1.0M-1.3K0.3994.48N/AN/A119463,557165
2017-05-11$44.55$45.0024.5%7.0%27.1%5.7%25.8%2.1%1.4%44.5K-930.8K-1.2K0.3988.09N/AN/A119463,557167
2017-05-12$44.50$45.0024.9%7.1%26.2%5.9%25.2%9.7%0.4%44.3K-895.6K-1.2K0.4898.91N/AN/A93453,557167
2017-05-15$45.28$45.0031.8%9.1%27.1%10.5%29.5%19.3%-2.7%65.6K-1.0M-1.1K0.51109.09N/AN/A93473,567169
2017-05-16$45.55$45.0034.2%9.8%27.3%12.0%28.0%-1.3%-5.3%50.5K-1.1M-9750.5199.29N/AN/A93473,563171
2017-05-17$43.85$45.0021.6%6.2%29.8%3.8%24.4%3.3%3.7%47.9K-833.5K-1.0K0.64105.48N/AN/A84543,563171
2017-05-18$43.48$45.0027.7%7.9%29.4%7.8%26.9%1.1%-0.3%35.1K-661.5K-1.1K0.6485.24N/AN/A84543,562179
2017-05-19$44.35$45.0031.8%9.1%30.5%10.5%27.3%-5.9%-6.6%3.9K-805.4K-9400.4680.27N/AN/A123563,562154
2017-05-22$44.58$45.0023.3%6.7%30.7%4.9%24.8%6.1%1.0%4.7K-227.7K-1.0K0.3089.10N/AN/A571710940
2017-05-23$44.65$45.0027.9%8.0%28.1%7.9%28.5%9.3%-3.3%5.0K-230.0K-1.0K0.3492.66N/AN/A582010940
2017-05-24$45.13$45.0030.1%8.6%26.4%9.3%29.7%27.8%-1.2%6.1K-233.9K-1.1K0.32114.58N/AN/A622011545
2017-05-25$45.25$45.0023.1%6.6%26.0%4.8%22.5%1.1%1.2%6.4K-256.4K-1.1K0.2598.22N/AN/A792011945
2017-05-26$44.85$45.0018.9%5.4%21.3%2.0%18.6%-0.7%4.5%10.1K-304.8K-1.3K0.2673.81N/AN/A782013845
2017-05-30$44.85$45.0023.6%6.8%20.6%5.1%22.8%-0.9%0.1%8.8K-280.8K-1.2K0.2890.25N/AN/A782213845
2017-05-31$45.65$45.0023.3%6.7%21.6%4.9%23.3%-0.1%1.9%9.6K-301.4K-1.3K0.3389.54N/AN/A662213947