PCH Options History — July 2017

In July 2017, PCH traded between $45.05 and $48.70. ATM implied volatility averaged 23.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.3% (HV 20d: 25.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2017-07-14: Highest Volume — 281 contracts
  • 2017-07-10: Largest IV spike — 49.8% change
  • 2017-07-10: Highest IV Rank — 9.4%
  • 2017-07-12: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.84$45.05$48.70$45.95$47.90
Max Pain$44.50$40.00$45.00$40.00$45.00
ATM IV23.3%18.6%30.2%24.1%22.9%
Expected Move6.7%5.3%7.8%6.9%6.6%
HV 20d25.7%19.0%28.5%26.7%21.5%
HV 60d24.9%23.1%26.2%26.2%23.6%
IV Rank4.9%1.8%9.4%5.4%4.6%
IV Percentile21.3%3.2%54.8%21.8%16.7%
Term Structure0.4%-3.8%10.9%2.3%-2.8%
VWIV23.8%18.9%30.6%24.1%25.2%
Skew 25d2.4%-0.9%6.5%6.5%2.3%
Skew 10d5.0%-6.0%35.1%9.8%35.1%
Call IV 25d23.3%18.4%29.7%18.4%23.6%
Put IV 25d25.7%19.7%30.3%24.9%26.0%
Bid-Ask Spread %82.1048.89105.9097.2766.17
Gamma HHI0.620.450.740.650.65
Net GEX19.6K6.2K36.7K16.1K26.2K
Net DEX-482.3K-745.0K-329.6K-419.2K-528.3K
Net VEX-2.1K-2.4K-1.9K-2.2K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.350.990.380.99
Total Volume224.15137281244137
Total OI445.15418474420454

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$45.95$40.0024.1%6.9%26.7%5.4%24.1%6.5%2.3%16.1K-419.2K-2.2K0.3897.27N/AN/A17767278142
2017-07-05$45.70$40.0026.2%7.5%26.8%6.8%25.9%-0.4%1.9%16.0K-419.1K-2.2K0.38105.90N/AN/A17767278142
2017-07-06$45.05$45.0025.3%7.2%27.2%6.2%25.1%1.9%-0.3%10.7K-330.2K-2.0K0.3793.50N/AN/A17765278142
2017-07-07$45.65$45.0020.2%7.1%27.4%2.8%23.2%4.2%0.7%12.7K-354.7K-2.1K0.3790.19N/AN/A17465278143
2017-07-10$45.48$45.0030.2%7.6%25.7%9.4%30.6%0.7%-0.9%13.7K-381.9K-2.1K0.3793.04N/AN/A17465275143
2017-07-11$45.73$45.0026.4%7.6%25.8%6.9%23.9%5.3%-0.8%13.5K-362.2K-1.9K0.3581.60N/AN/A18565275143
2017-07-12$46.75$45.0027.2%7.8%26.4%7.4%22.4%3.0%-1.4%21.4K-467.3K-2.0K0.3887.18N/AN/A18370286143
2017-07-13$45.88$45.0026.2%7.5%27.1%6.8%22.4%2.9%-1.0%15.4K-395.9K-2.1K0.3899.63N/AN/A18370289149
2017-07-14$46.13$45.0025.8%7.4%27.2%6.5%18.9%6.3%0.5%14.0K-401.8K-2.0K0.5499.77N/AN/A18398289149
2017-07-17$46.05$45.0024.6%7.1%27.2%5.8%25.0%-0.9%0.9%6.2K-329.6K-2.2K0.42100.18N/AN/A18376289183
2017-07-18$46.40$45.0025.2%7.2%26.5%6.1%22.8%0.1%-1.6%7.8K-367.0K-2.2K0.4257.25N/AN/A18376289185
2017-07-19$47.48$45.0020.6%5.9%27.3%3.1%23.3%2.1%7.8%18.8K-501.4K-2.3K0.4253.08N/AN/A18176289185
2017-07-20$47.73$45.0018.6%5.3%27.4%1.8%23.6%4.4%0.3%23.3K-559.0K-2.4K0.4256.24N/AN/A18176288185
2017-07-21$48.25$45.0022.4%6.4%27.6%4.3%22.7%2.9%-2.3%25.3K-650.3K-2.2K0.4053.98N/AN/A19276288185
2017-07-24$47.60$45.0020.7%5.9%27.3%3.2%24.8%2.2%-3.8%22.4K-506.6K-2.2K0.3880.38N/AN/A18168276175
2017-07-25$48.70$45.0021.7%6.2%28.5%3.8%25.2%5.3%-1.5%33.5K-709.8K-2.1K0.93100.73N/AN/A7368276175
2017-07-26$48.38$45.0020.0%5.7%19.0%2.7%24.3%0.2%-2.8%34.3K-745.0K-2.0K0.9988.40N/AN/A6968278175
2017-07-27$48.60$45.0019.3%5.5%19.0%2.3%20.0%-0.8%2.5%36.7K-712.1K-1.9K0.9988.73N/AN/A6968278175
2017-07-28$47.40$45.0019.3%5.5%21.4%2.3%22.4%-0.0%10.9%23.5K-504.6K-2.1K0.9948.89N/AN/A6968278175
2017-07-31$47.90$45.0022.9%6.6%21.5%4.6%25.2%2.3%-2.8%26.2K-528.3K-2.0K0.9966.17N/AN/A6968279175