PCH Options History — November 2017

In November 2017, PCH traded between $51.35 and $53.85. ATM implied volatility averaged 20.7%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.7% (HV 20d: 18.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-11-10: Highest Volume — 272 contracts
  • 2017-11-29: Largest IV drop — 43.9% change
  • 2017-11-28: Highest IV Rank — 22.0%
  • 2017-11-28: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.40$51.35$53.85$52.53$51.58
Max Pain$51.43$50.00$55.00$50.00$50.00
ATM IV20.7%16.8%30.9%18.8%18.4%
Expected Move5.9%4.8%8.9%5.4%5.3%
HV 20d18.0%14.1%19.8%19.2%14.4%
HV 60d18.7%16.9%20.6%20.5%17.1%
IV Rank7.0%1.3%22.0%4.3%3.7%
IV Percentile19.2%0.8%79.0%4.0%5.6%
Term Structure0.6%-22.3%7.6%-3.1%7.5%
VWIV21.8%17.5%24.5%19.9%20.3%
Skew 25d3.4%-3.1%9.6%3.9%4.3%
Skew 10d6.0%-6.0%14.1%3.3%4.4%
Call IV 25d19.5%14.7%24.0%19.7%16.3%
Put IV 25d22.9%17.4%26.5%23.5%20.6%
Bid-Ask Spread %95.1282.50104.9895.92103.65
Gamma HHI0.380.280.610.400.29
Net GEX32.0K-6.9K92.3K58.8K1.4K
Net DEX-1.2M-2.0M-637.8K-1.4M-637.8K
Net VEX-3.7K-4.4K-3.3K-4.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.340.950.710.42
Total Volume210.095156272249171
Total OI842.6675431,030947600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$52.53$50.0018.8%5.4%19.2%4.3%19.9%3.9%-3.1%58.8K-1.4M-4.0K0.7195.92N/AN/A146103552395
2017-11-02$51.90$55.0023.4%6.6%19.1%10.9%22.3%4.2%1.0%37.0K-1.3M-4.4K0.7191.28N/AN/A146104587443
2017-11-03$51.90$55.0018.5%6.7%19.0%3.8%22.3%7.0%0.1%44.0K-1.3M-4.4K0.7193.31N/AN/A146104577443
2017-11-06$51.35$55.0024.9%6.4%19.5%13.2%21.9%6.1%2.0%26.4K-1.1M-4.3K0.7899.10N/AN/A134104577443
2017-11-07$52.05$55.0025.9%6.6%19.8%14.7%22.4%3.3%-0.6%34.1K-1.2M-4.0K0.7682.50N/AN/A134102576443
2017-11-08$52.25$55.0022.1%6.3%19.6%9.1%21.5%1.8%1.0%27.7K-1.3M-3.9K0.9591.69N/AN/A127121565443
2017-11-09$52.05$55.0024.3%7.0%19.6%12.3%23.7%4.7%-0.7%33.3K-1.3M-3.5K0.8789.77N/AN/A139121565423
2017-11-10$52.60$50.0018.2%5.2%19.3%3.3%24.3%2.9%1.6%42.8K-1.4M-3.7K0.8087.88N/AN/A151121547423
2017-11-13$52.53$50.0017.4%5.0%19.3%2.2%24.5%4.7%2.7%38.1K-1.5M-3.5K0.8189.16N/AN/A132107567423
2017-11-14$53.20$50.0021.3%6.1%19.7%8.0%23.5%4.8%1.9%69.2K-1.7M-3.6K0.4792.49N/AN/A12760587424
2017-11-15$53.40$50.0017.5%5.0%18.9%2.3%21.0%6.8%7.6%75.1K-1.8M-3.7K0.44101.02N/AN/A13560591423
2017-11-16$53.85$50.0020.9%6.0%19.0%7.3%22.8%1.7%-0.4%92.3K-2.0M-3.3K0.4296.20N/AN/A14260590423
2017-11-17$53.55$50.0019.7%5.7%19.1%5.6%23.7%2.3%1.3%19.1K-1.8M-3.4K0.3494.56N/AN/A17760590423
2017-11-20$52.63$50.0017.5%5.0%19.8%2.3%22.0%4.2%1.7%17.0K-762.1K-3.7K0.3693.97N/AN/A11541329214
2017-11-21$52.60$50.0016.9%4.8%17.4%1.5%21.2%1.8%2.7%17.7K-831.7K-3.6K0.4493.19N/AN/A11751344217
2017-11-22$52.65$50.0016.8%4.8%16.8%1.3%18.5%-1.3%0.6%11.8K-824.2K-3.8K0.4299.75N/AN/A12151346239
2017-11-24$52.18$50.0018.9%5.4%14.3%4.5%21.0%-3.1%3.8%15.2K-797.4K-3.6K0.42104.49N/AN/A12151350239
2017-11-27$51.98$50.0024.1%6.9%14.2%12.0%24.3%9.6%-1.4%7.6K-744.5K-3.6K0.4192.96N/AN/A12150350239
2017-11-28$52.23$50.0030.9%8.9%14.1%22.0%19.0%-0.0%-22.3%10.9K-743.8K-3.6K0.40104.98N/AN/A12048350241
2017-11-29$51.35$50.0017.3%5.0%15.3%2.1%17.5%2.7%4.7%-6.9K-653.7K-3.6K0.4299.67N/AN/A12051353242
2017-11-30$51.58$50.0018.4%5.3%14.4%3.7%20.3%4.3%7.5%1.4K-637.8K-3.6K0.42103.65N/AN/A12051353247