PCH Options History — August 2017

In August 2017, PCH traded between $44.20 and $48.70. ATM implied volatility averaged 22.9%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.1% (HV 20d: 22.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-08-31: Highest Volume — 223 contracts
  • 2017-08-02: Largest IV spike — 31.9% change
  • 2017-08-17: Highest IV Rank — 8.4%
  • 2017-08-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.39$44.20$48.70$48.70$47.70
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV22.9%16.2%28.7%19.0%16.2%
Expected Move6.4%4.7%8.2%5.5%4.7%
HV 20d22.8%21.1%25.6%22.1%24.9%
HV 60d23.8%22.6%24.7%23.7%24.7%
IV Rank4.6%0.2%8.4%2.1%0.2%
IV Percentile21.9%0.4%55.2%4.4%0.4%
Term Structure0.8%-6.4%9.1%1.3%9.1%
VWIV23.3%18.8%30.8%21.1%30.8%
Skew 25d9.2%-3.8%46.9%46.9%5.5%
Skew 10d16.9%-2.6%60.7%60.7%12.6%
Call IV 25d21.8%17.8%28.2%21.6%18.0%
Put IV 25d31.0%20.1%68.5%68.5%23.6%
Bid-Ask Spread %92.2548.66105.2279.8691.55
Gamma HHI0.480.270.800.800.46
Net GEX10.4K-17.8K44.1K40.9K9.0K
Net DEX-384.7K-742.6K27.5K-707.7K-399.8K
Net VEX-1.7K-2.0K-1.3K-1.8K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.361.140.861.14
Total Volume141.261123223128223
Total OI382.304235497454262

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$48.70$45.0019.0%5.5%22.1%2.1%21.1%46.9%1.3%40.9K-707.7K-1.8K0.8679.86N/AN/A6959279175
2017-08-02$47.75$45.0025.1%7.2%23.3%6.0%26.9%-3.6%-6.4%24.9K-526.7K-1.9K0.8687.65N/AN/A6959279175
2017-08-03$48.10$0.0021.6%6.6%22.5%3.7%0.0%-0.9%0.3%32.1K-565.7K-2.0K0.8699.40N/AN/A6959279175
2017-08-04$48.25$0.0022.3%6.1%22.2%4.2%0.0%3.7%-1.3%44.1K-742.6K-1.8K0.8694.63N/AN/A6959279175
2017-08-07$48.58$0.0025.2%6.7%22.1%6.1%0.0%3.2%0.0%34.7K-660.0K-1.8K0.8678.23N/AN/A6959279175
2017-08-08$47.75$0.0028.2%5.5%23.3%8.1%0.0%1.4%0.8%37.2K-629.7K-1.8K0.86100.20N/AN/A6959279175
2017-08-09$47.20$0.0024.9%7.1%22.5%5.9%0.0%1.6%-0.4%3.2K-465.1K-1.6K0.8698.27N/AN/A6959279175
2017-08-10$46.90$0.0025.2%7.2%21.5%6.1%0.0%3.4%-0.8%3.6K-431.0K-1.6K0.8687.30N/AN/A6959279175
2017-08-11$46.63$0.0022.4%6.4%21.6%4.3%0.0%-2.6%-0.1%-124-409.1K-1.6K0.86101.59N/AN/A6959279175
2017-08-14$47.40$45.0019.0%5.5%22.3%2.1%20.2%-1.4%5.9%318-509.3K-1.3K0.56105.22N/AN/A10861279177
2017-08-15$46.95$45.0022.1%6.3%22.5%4.1%21.3%0.4%1.0%-275-574.0K-1.7K0.56102.17N/AN/A10861319177
2017-08-16$46.35$45.0021.9%6.3%21.3%4.0%24.2%2.8%4.8%-4.6K-523.3K-1.7K0.5699.60N/AN/A10861319177
2017-08-17$44.43$45.0028.7%8.2%25.6%8.4%24.9%-3.8%-4.4%-17.8K-213.3K-1.8K0.56101.53N/AN/A10861319177
2017-08-18$44.40$45.0022.6%6.5%25.1%4.4%23.1%26.7%2.1%75427.5K-1.6K0.47102.55N/AN/A10851319178
2017-08-21$44.55$45.0020.3%5.8%25.0%2.9%18.8%27.1%3.6%-126-117.7K-1.7K0.44104.48N/AN/A904013897
2017-08-22$44.20$45.0022.8%6.5%23.0%4.5%22.4%-2.1%1.7%-329-121.9K-1.7K0.36102.25N/AN/A1104014097
2017-08-23$44.35$45.0021.9%6.3%23.2%4.0%21.9%30.9%1.7%2.1K-133.6K-1.8K0.43104.64N/AN/A924014897
2017-08-24$44.75$45.0022.5%6.4%23.5%4.3%22.5%30.3%1.1%2.9K-176.7K-1.7K0.48100.32N/AN/A834015197
2017-08-25$45.30$45.0026.1%7.5%22.8%6.7%25.8%-1.2%-2.2%4.3K-221.4K-1.8K0.4794.95N/AN/A864015697
2017-08-28$45.33$45.0022.8%6.5%22.3%4.6%22.8%24.8%-0.1%7.2K-232.1K-1.8K0.4763.34N/AN/A864016597
2017-08-29$45.40$45.0023.9%6.8%21.2%5.3%23.9%-0.8%-1.0%7.3K-234.2K-1.8K0.4773.39N/AN/A864016597
2017-08-30$46.00$45.0023.2%6.7%21.1%4.8%22.7%18.9%1.2%8.0K-279.6K-1.8K0.4748.66N/AN/A864016597
2017-08-31$47.70$45.0016.2%4.7%24.9%0.2%30.8%5.5%9.1%9.0K-399.8K-1.7K1.1491.55N/AN/A10411916597