PCH Options History — September 2017

In September 2017, PCH traded between $47.15 and $51.35. ATM implied volatility averaged 22.2%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.5% (HV 20d: 21.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-09-14: Highest Volume — 333 contracts
  • 2017-09-11: Largest IV spike — 26.8% change
  • 2017-09-19: Highest IV Rank — 11.6%
  • 2017-09-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.98$47.15$51.35$47.15$51.08
Max Pain$45.75$45.00$50.00$45.00$50.00
ATM IV22.2%17.4%28.0%26.0%20.7%
Expected Move6.4%5.9%7.5%7.5%5.9%
HV 20d21.8%16.9%25.3%25.2%16.9%
HV 60d23.4%21.2%24.7%24.7%21.5%
IV Rank6.9%1.0%11.6%6.7%6.9%
IV Percentile20.1%2.0%55.6%42.9%11.1%
Term Structure1.3%-3.4%3.8%-3.4%2.5%
VWIV22.8%20.4%26.7%26.0%20.7%
Skew 25d5.6%0.8%21.1%7.1%5.7%
Skew 10d12.0%-0.6%49.9%10.7%6.8%
Call IV 25d20.0%14.1%23.5%17.1%14.6%
Put IV 25d25.6%20.3%36.7%24.2%20.3%
Bid-Ask Spread %74.8636.70100.5476.9086.21
Gamma HHI0.450.390.520.390.52
Net GEX16.9K-4.9K44.3K-2.8K44.3K
Net DEX-573.8K-1.1M-182.5K-182.5K-1.1M
Net VEX-4.1K-4.7K-3.0K-3.0K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.210.870.870.24
Total Volume253.9202333252236
Total OI571.95375707375707

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$47.15$45.0026.0%7.5%25.2%6.7%26.0%7.1%-3.4%-2.8K-182.5K-3.0K0.8776.90N/AN/A135117173202
2017-09-05$47.60$45.0022.7%6.6%25.3%4.5%26.7%4.0%0.4%-4.9K-198.0K-3.3K0.8781.33N/AN/A135117187234
2017-09-06$48.05$45.0017.8%6.4%24.8%1.2%23.7%3.1%0.5%-3.8K-256.5K-3.3K0.8771.65N/AN/A138120187234
2017-09-07$47.80$45.0017.4%6.7%24.5%1.0%23.6%2.4%1.5%-3.7K-245.6K-3.3K0.6681.72N/AN/A181120190237
2017-09-08$48.75$45.0020.4%6.2%25.3%3.0%21.0%5.9%3.5%7.7K-396.5K-3.5K0.6065.87N/AN/A16398251237
2017-09-11$48.55$45.0025.8%6.4%25.2%6.5%22.6%5.1%1.5%8.7K-420.3K-3.4K0.4061.66N/AN/A17872254237
2017-09-12$48.58$45.0028.0%6.4%24.6%7.9%22.5%4.3%0.8%6.1K-427.7K-4.1K0.4069.67N/AN/A17872283276
2017-09-13$48.20$45.0022.8%6.5%24.5%4.6%23.2%3.4%0.8%6.0K-391.7K-4.1K0.4568.59N/AN/A16775283276
2017-09-14$48.00$45.0021.7%6.2%24.0%8.2%21.6%5.4%2.1%6.5K-340.2K-4.1K0.2960.44N/AN/A25875280279
2017-09-15$47.78$45.0022.5%6.4%17.8%9.4%22.6%1.6%1.1%13.9K-415.4K-4.5K0.3853.25N/AN/A20075336279
2017-09-18$47.78$45.0022.5%6.5%17.8%9.4%23.4%1.5%0.0%15.9K-399.5K-4.4K0.3936.70N/AN/A18070331273
2017-09-19$49.00$45.0024.1%6.9%19.4%11.6%24.0%4.0%-0.2%22.3K-572.8K-4.4K0.3970.37N/AN/A17870337273
2017-09-20$48.63$45.0022.3%6.4%19.3%9.1%23.4%2.7%2.3%21.8K-535.3K-4.5K0.39100.54N/AN/A18071335273
2017-09-21$48.93$45.0022.7%6.5%19.3%9.7%22.8%0.8%0.2%23.7K-575.4K-4.3K0.2487.37N/AN/A18043339274
2017-09-22$50.00$45.0020.8%6.0%20.2%7.0%20.9%6.9%2.7%28.8K-758.1K-4.4K0.2181.93N/AN/A20943339298
2017-09-25$50.65$45.0023.5%6.7%20.2%10.8%23.8%2.9%1.4%30.3K-944.9K-4.3K0.2782.11N/AN/A15943359298
2017-09-26$50.75$45.0020.5%5.9%20.2%6.6%20.6%8.5%2.9%35.8K-1.0M-4.5K0.2188.54N/AN/A21645378298
2017-09-27$51.35$50.0020.5%5.9%20.2%6.6%20.4%16.3%3.8%40.8K-1.1M-4.7K0.2395.09N/AN/A20045406300
2017-09-28$51.05$50.0021.7%6.2%20.5%8.2%21.7%21.1%1.8%40.8K-1.1M-4.6K0.2477.33N/AN/A19145406300
2017-09-29$51.08$50.0020.7%5.9%16.9%6.9%20.7%5.7%2.5%44.3K-1.1M-4.5K0.2486.21N/AN/A19145407300