PCH Options History — December 2017

In December 2017, PCH traded between $48.78 and $51.65. ATM implied volatility averaged 20.3%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.7% (HV 20d: 14.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-12-07: Highest Volume — 195 contracts
  • 2017-12-12: Largest IV spike — 41.7% change
  • 2017-12-12: Highest IV Rank — 23.2%
  • 2017-12-20: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.58$48.78$51.65$51.65$50.00
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV20.3%15.8%31.8%18.2%18.4%
Expected Move5.7%4.5%6.4%5.2%5.3%
HV 20d14.6%13.3%16.4%13.8%15.6%
HV 60d16.7%16.0%17.3%17.1%16.3%
IV Rank6.6%0.0%23.2%3.4%3.8%
IV Percentile19.3%0.0%84.1%5.6%7.5%
Term Structure3.0%0.3%5.9%5.7%3.3%
VWIV19.8%15.2%21.6%19.5%18.2%
Skew 25d3.8%-3.1%7.6%6.8%7.6%
Skew 10d7.0%-6.0%16.7%16.7%12.4%
Call IV 25d17.9%13.4%22.1%13.4%15.3%
Put IV 25d21.7%16.5%25.0%20.1%22.9%
Bid-Ask Spread %98.3789.26105.74104.9095.77
Gamma HHI0.300.280.360.280.30
Net GEX2.0K-23.2K25.1K96912.7K
Net DEX-643.5K-803.3K-444.0K-670.1K-582.8K
Net VEX-3.0K-3.7K-2.6K-3.7K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.130.540.440.18
Total Volume159.05128195168145
Total OI576.35528624600554

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$51.65$50.0018.2%5.2%13.8%3.4%19.5%6.8%5.7%969-670.1K-3.7K0.44104.90N/AN/A11751353247
2017-12-04$50.83$50.0018.1%5.9%14.9%3.2%20.2%2.8%3.5%-17.5K-606.1K-3.6K0.4496.38N/AN/A11751360247
2017-12-05$51.25$50.0016.9%6.1%14.8%1.5%20.7%4.6%3.0%-11.5K-628.4K-3.6K0.4498.27N/AN/A11751360247
2017-12-06$51.15$50.0021.8%6.2%13.9%8.6%21.1%4.2%0.6%-14.1K-597.7K-3.4K0.4499.33N/AN/A11751360247
2017-12-07$51.25$50.0022.9%6.1%13.9%10.2%20.8%5.2%3.6%-3.6K-669.8K-3.2K0.35101.33N/AN/A14451348247
2017-12-08$50.58$50.0018.1%5.2%14.5%3.3%17.9%2.3%5.9%-19.5K-630.1K-3.4K0.4396.51N/AN/A12052360247
2017-12-11$50.90$50.0022.4%6.3%14.1%9.5%21.4%4.5%1.6%-10.1K-726.8K-3.0K0.4399.50N/AN/A12052359248
2017-12-12$51.55$50.0031.8%5.9%15.0%23.2%20.1%3.6%3.9%253-758.5K-3.1K0.4395.72N/AN/A12052359248
2017-12-13$50.90$50.0021.0%6.0%14.6%7.4%20.9%0.5%3.5%-21.8K-679.7K-3.1K0.4699.33N/AN/A12055359248
2017-12-14$50.90$50.0019.1%5.5%14.5%4.6%19.0%5.4%3.8%-23.2K-686.1K-3.1K0.5498.09N/AN/A11763359256
2017-12-15$51.20$50.0020.4%5.8%14.3%6.6%20.3%5.8%3.4%22.0K-785.7K-3.0K0.5399.95N/AN/A12063360264
2017-12-18$51.15$50.0020.3%5.8%14.2%6.5%20.6%-3.1%3.7%23.2K-778.7K-3.0K0.2597.03N/AN/A10927348192
2017-12-19$50.75$50.0019.7%5.7%13.3%5.6%19.3%6.7%3.1%25.1K-803.3K-2.8K0.2397.96N/AN/A11727346192
2017-12-20$50.55$50.0022.2%6.4%13.3%9.3%21.6%3.7%0.3%22.0K-714.5K-2.8K0.23100.73N/AN/A11727336192
2017-12-21$49.65$50.0018.6%5.3%14.4%3.9%18.3%0.9%3.3%16.7K-584.6K-2.8K0.1999.17N/AN/A12123336192
2017-12-22$48.78$50.0015.8%4.5%15.2%0.0%15.2%1.8%3.1%8.4K-444.0K-2.7K0.15105.74N/AN/A12118327204
2017-12-26$49.48$50.0019.5%5.6%16.4%5.5%19.4%5.0%2.5%10.1K-507.6K-2.6K0.1399.81N/AN/A11315327207
2017-12-27$49.50$50.0020.7%5.9%16.2%7.3%20.5%6.7%1.0%8.5K-498.2K-2.6K0.1789.26N/AN/A11920327212
2017-12-28$49.65$50.0021.0%6.0%15.4%7.6%20.6%1.5%1.2%11.3K-516.4K-2.6K0.1892.58N/AN/A11922335217
2017-12-29$50.00$50.0018.4%5.3%15.6%3.8%18.2%7.6%3.3%12.7K-582.8K-2.6K0.1895.77N/AN/A12322335219