PCH Options History — June 2017

In June 2017, PCH traded between $44.88 and $48.23. ATM implied volatility averaged 24.2%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.5% (HV 20d: 22.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-06-28: Highest Volume — 244 contracts
  • 2017-06-12: Largest IV spike — 62.0% change
  • 2017-06-12: Highest IV Rank — 16.5%
  • 2017-06-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.44$44.88$48.23$46.35$45.70
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV24.2%16.8%40.9%27.7%26.9%
Expected Move6.6%4.8%8.0%8.0%7.7%
HV 20d22.8%18.6%29.3%21.9%28.2%
HV 60d24.0%22.5%26.8%22.6%26.7%
IV Rank5.5%0.6%16.5%7.8%7.2%
IV Percentile23.8%0.8%79.0%41.3%35.7%
Term Structure1.7%-6.7%11.1%-6.7%-3.0%
VWIV22.9%16.2%31.9%28.9%22.6%
Skew 25d3.1%-1.3%8.7%3.9%3.0%
Skew 10d4.9%-3.3%15.6%3.9%2.2%
Call IV 25d21.6%17.9%25.4%20.6%19.7%
Put IV 25d24.7%21.3%30.9%24.5%22.7%
Bid-Ask Spread %75.2921.01107.32107.3273.43
Gamma HHI0.490.340.690.420.58
Net GEX11.0K5.5K16.5K12.3K13.4K
Net DEX-444.4K-570.8K-339.2K-378.7K-375.6K
Net VEX-1.8K-2.3K-1.2K-1.2K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.321.190.320.38
Total Volume153.57224490244
Total OI306.318198423198420

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$46.35$45.0027.7%8.0%21.9%7.8%28.9%3.9%-6.7%12.3K-378.7K-1.2K0.32107.32N/AN/A682215147
2017-06-02$46.30$45.0024.3%7.0%21.6%5.5%23.7%5.4%0.4%13.7K-399.1K-1.3K0.4495.45N/AN/A502215447
2017-06-05$45.13$40.0023.6%7.1%23.1%5.1%25.5%3.1%0.6%14.1K-339.2K-1.3K0.5586.77N/AN/A713915647
2017-06-06$45.13$40.0024.1%6.5%23.1%5.4%23.6%1.6%2.4%13.3K-415.3K-1.6K0.5558.41N/AN/A713918069
2017-06-07$44.88$40.0026.5%7.1%23.0%7.0%26.6%1.5%-1.0%13.2K-392.0K-1.7K0.6591.17N/AN/A694518069
2017-06-08$45.33$40.0023.3%6.6%23.1%4.9%24.4%1.7%1.8%13.7K-418.6K-1.6K0.5875.51N/AN/A784518177
2017-06-09$46.50$40.0025.3%7.1%24.1%6.2%24.5%2.9%0.8%12.9K-490.7K-1.5K0.5876.99N/AN/A784518177
2017-06-12$46.58$40.0040.9%6.8%24.0%16.5%25.5%2.6%0.9%14.3K-513.8K-1.5K0.9949.57N/AN/A696818177
2017-06-13$47.35$40.0033.2%6.7%24.0%11.4%20.3%2.3%-0.5%9.7K-520.8K-1.6K1.1976.14N/AN/A6274181101
2017-06-14$47.08$40.0023.8%6.8%24.1%5.2%31.9%8.7%3.1%5.5K-450.4K-1.9K1.1987.09N/AN/A6274180130
2017-06-15$47.00$40.0024.6%7.1%19.1%5.8%26.3%4.2%1.7%6.0K-448.5K-1.9K1.1938.46N/AN/A6274180130
2017-06-16$46.83$40.0020.0%5.7%18.7%2.7%18.4%4.1%9.2%6.2K-452.7K-2.0K0.9998.80N/AN/A7574185130
2017-06-19$47.70$40.0016.8%4.8%18.6%0.6%16.5%5.1%3.5%8.4K-506.8K-1.8K1.1072.92N/AN/A7077184126
2017-06-20$47.00$40.0019.6%5.6%19.7%2.4%16.2%5.8%11.1%6.4K-456.3K-2.0K1.1071.20N/AN/A7077187139
2017-06-21$47.00$40.0022.9%6.6%19.7%4.6%22.5%0.9%2.3%6.6K-452.8K-2.0K1.1083.32N/AN/A7077187139
2017-06-22$47.20$40.0018.6%5.3%19.5%1.8%18.1%2.2%8.7%7.1K-471.2K-1.9K1.0079.44N/AN/A7777187139
2017-06-23$48.05$40.0017.3%4.9%20.3%0.9%18.3%1.1%1.8%11.2K-556.3K-1.8K1.0321.01N/AN/A6567197139
2017-06-26$48.23$40.0017.1%4.9%19.8%0.8%17.3%4.8%3.5%10.8K-570.8K-1.8K0.3969.62N/AN/A17267196142
2017-06-27$45.55$40.0023.9%6.8%29.3%5.3%21.9%-1.3%1.1%16.5K-437.2K-2.3K0.3856.25N/AN/A17667281142
2017-06-28$45.50$40.0026.0%7.4%28.6%6.6%23.4%2.4%-1.8%14.7K-386.0K-2.3K0.3884.91N/AN/A17767281142
2017-06-29$45.35$40.0026.9%7.7%28.0%7.3%26.1%1.7%-2.5%12.1K-343.8K-2.3K0.38102.50N/AN/A17767278142
2017-06-30$45.70$40.0026.9%7.7%28.2%7.2%22.6%3.0%-3.0%13.4K-375.6K-2.2K0.3873.43N/AN/A17767278142