PCH Options History — October 2017

In October 2017, PCH traded between $50.63 and $53.25. ATM implied volatility averaged 22.4%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.2% (HV 20d: 17.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-10-23: Highest Volume — 335 contracts
  • 2017-10-10: Largest IV spike — 33.1% change
  • 2017-10-10: Highest IV Rank — 17.7%
  • 2017-10-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.82$50.63$53.25$51.75$51.80
Max Pain$47.05$45.00$50.00$50.00$50.00
ATM IV22.4%18.7%28.0%21.5%19.9%
Expected Move6.5%5.4%7.6%6.2%5.7%
HV 20d17.2%14.4%20.0%16.2%19.3%
HV 60d20.9%19.9%21.8%21.5%20.7%
IV Rank9.5%4.0%17.7%8.0%5.9%
IV Percentile25.4%4.0%63.1%13.5%8.3%
Term Structure1.9%-2.9%8.5%2.1%7.9%
VWIV23.0%15.4%27.5%21.2%18.1%
Skew 25d4.6%0.8%11.0%7.3%9.9%
Skew 10d13.1%2.6%69.5%7.2%69.5%
Call IV 25d20.8%10.6%23.9%14.3%20.5%
Put IV 25d25.4%21.1%30.4%21.7%30.4%
Bid-Ask Spread %90.4267.94102.1794.0297.87
Gamma HHI0.440.330.550.490.34
Net GEX46.1K36.5K55.9K45.9K43.5K
Net DEX-1.3M-1.6M-962.9K-1.3M-1.2M
Net VEX-4.0K-4.7K-3.3K-4.1K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.220.600.250.50
Total Volume225.091164335239167
Total OI780.227705948712948

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$51.75$50.0021.5%6.2%16.2%8.0%21.2%7.3%2.1%45.9K-1.3M-4.1K0.2594.02N/AN/A19148412300
2017-10-03$52.35$50.0018.7%5.4%16.3%4.0%15.4%11.0%8.5%43.8K-1.4M-4.1K0.2688.94N/AN/A19150411294
2017-10-04$51.60$50.0021.0%6.0%17.6%7.2%20.3%8.5%2.9%46.9K-1.3M-4.2K0.2689.13N/AN/A19550411297
2017-10-05$50.93$45.0022.9%7.0%18.3%9.9%25.3%3.9%-0.7%45.6K-1.1M-4.3K0.2884.08N/AN/A18251416300
2017-10-06$50.75$45.0019.4%6.6%17.4%5.1%23.9%3.6%-0.0%50.7K-1.1M-4.3K0.2767.94N/AN/A18550420301
2017-10-09$50.70$45.0021.0%6.6%17.3%7.5%24.0%3.7%0.1%53.2K-1.1M-4.4K0.2381.60N/AN/A18443420302
2017-10-10$51.15$45.0028.0%7.3%17.4%17.7%27.5%6.1%-2.3%47.9K-1.2M-4.3K0.2493.28N/AN/A17843422300
2017-10-11$51.63$45.0022.1%6.3%17.1%9.1%24.0%2.9%3.0%52.3K-1.3M-3.8K0.2683.35N/AN/A17946424303
2017-10-12$51.55$45.0025.6%7.3%17.0%14.1%27.2%4.7%-0.8%48.6K-1.3M-4.1K0.2691.83N/AN/A17846424306
2017-10-13$52.28$45.0023.4%6.7%17.1%10.9%24.8%2.4%-0.2%45.3K-1.4M-3.7K0.2492.20N/AN/A18846424306
2017-10-16$52.48$45.0023.3%6.7%17.0%10.8%23.3%0.8%1.4%50.3K-1.5M-3.5K0.2592.18N/AN/A18246423306
2017-10-17$52.18$45.0025.2%7.2%15.5%13.6%25.4%4.4%-0.3%46.4K-1.4M-3.7K0.2686.92N/AN/A17946423306
2017-10-18$53.03$45.0023.3%6.7%15.6%10.8%24.7%2.3%-0.6%41.6K-1.5M-3.5K0.2288.90N/AN/A20546413306
2017-10-19$53.25$45.0022.3%6.4%15.6%9.4%24.6%3.2%-0.5%36.5K-1.5M-3.7K0.2490.00N/AN/A19546422306
2017-10-20$53.05$45.0021.1%6.1%14.4%7.7%22.4%3.5%0.7%41.2K-1.6M-3.3K0.2684.58N/AN/A20753421306
2017-10-23$52.50$45.0024.6%7.1%14.7%12.8%24.9%5.3%6.1%39.4K-1.3M-3.6K0.6090.66N/AN/A209126414309
2017-10-24$51.20$50.0026.3%7.6%17.5%15.3%25.6%5.8%-2.9%43.3K-1.0M-4.4K0.5495.53N/AN/A11864528391
2017-10-25$50.63$50.0022.9%6.6%17.4%10.3%25.4%2.7%0.2%43.2K-962.9K-4.7K0.5196.80N/AN/A11157542393
2017-10-26$52.03$50.0019.2%5.5%19.9%4.9%17.1%1.2%6.5%55.9K-1.4M-4.4K0.53102.17N/AN/A10757541393
2017-10-27$51.78$50.0022.3%6.4%20.0%9.4%21.1%1.3%2.2%53.3K-1.3M-4.3K0.3898.61N/AN/A14756540394
2017-10-30$51.48$50.0019.5%5.6%19.6%5.3%19.2%7.0%8.3%39.6K-1.1M-4.3K0.3898.67N/AN/A14856552395
2017-10-31$51.80$50.0019.9%5.7%19.3%5.9%18.1%9.9%7.9%43.5K-1.2M-4.1K0.5097.87N/AN/A11156553395