PCH Options History — January 2018

In January 2018, PCH traded between $50.13 and $55.50. ATM implied volatility averaged 22.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.3% (HV 20d: 24.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2018-01-17: Highest Volume — 380 contracts
  • 2018-01-24: Largest IV spike — 28.3% change
  • 2018-01-29: Highest IV Rank — 20.2%
  • 2018-01-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.30$50.13$55.50$50.55$52.88
Max Pain$49.05$45.00$50.00$50.00$50.00
ATM IV22.0%18.3%29.6%21.7%21.2%
Expected Move6.4%5.3%8.5%6.2%6.1%
HV 20d24.3%16.2%29.3%16.2%29.3%
HV 60d19.3%16.3%20.7%16.3%20.7%
IV Rank9.1%3.7%20.2%8.7%8.0%
IV Percentile36.0%7.5%82.5%29.4%28.6%
Term Structure0.4%-4.1%4.4%0.7%-0.3%
VWIV22.6%19.2%29.4%21.3%22.4%
Skew 25d5.2%-3.1%24.8%24.8%8.0%
Skew 10d11.4%0.3%45.9%45.9%15.0%
Call IV 25d21.1%16.8%29.1%16.8%21.9%
Put IV 25d26.3%19.6%41.6%41.6%29.9%
Bid-Ask Spread %90.2636.20103.9895.7071.35
Gamma HHI0.490.280.740.280.67
Net GEX50.4K-17.6K156.1K15.7K110.0K
Net DEX-1.2M-2.5M-504.4K-656.9K-1.5M
Net VEX-3.2K-4.9K-2.1K-2.4K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.111.280.180.28
Total Volume256.714125380141287
Total OI831.7145441,2385481,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$50.55$50.0021.7%6.2%16.2%8.7%21.3%24.8%0.7%15.7K-656.9K-2.4K0.1895.70N/AN/A11922329219
2018-01-03$51.80$50.0019.5%5.6%17.5%5.5%19.2%2.3%4.4%22.0K-865.9K-2.1K0.20102.65N/AN/A11022329219
2018-01-04$50.13$45.0019.4%6.2%21.0%5.3%23.1%2.0%0.6%12.1K-598.9K-2.4K0.2197.64N/AN/A10422330219
2018-01-05$50.25$45.0019.9%5.7%21.0%6.0%22.6%1.9%1.9%19.3K-665.6K-2.1K0.36103.98N/AN/A10437329215
2018-01-08$51.55$45.0018.9%6.6%23.0%4.6%24.5%6.2%0.5%21.8K-790.4K-2.1K0.34102.62N/AN/A10937329230
2018-01-09$50.38$45.0022.8%6.8%24.0%10.3%24.0%4.2%-1.5%13.6K-645.4K-2.5K1.28101.37N/AN/A109139336230
2018-01-10$50.80$50.0022.2%6.4%24.1%9.4%22.3%10.7%0.1%-17.6K-504.4K-2.9K0.52102.58N/AN/A15581336333
2018-01-11$51.80$50.0021.6%6.2%24.7%8.5%22.9%2.5%1.7%-9.1K-705.0K-2.8K0.4294.79N/AN/A8837336378
2018-01-12$51.53$50.0021.3%6.1%24.3%8.0%20.4%3.9%3.4%-13.4K-679.8K-2.8K0.3498.66N/AN/A12643336379
2018-01-16$51.40$50.0019.3%5.5%24.3%5.2%21.0%-3.1%1.5%-13.1K-714.3K-2.6K0.34103.67N/AN/A12643345379
2018-01-17$52.45$50.0023.1%6.6%25.3%10.8%19.9%3.1%-1.2%1.4K-883.0K-2.4K0.1399.89N/AN/A33743345379
2018-01-18$51.83$50.0021.5%6.2%25.7%8.3%20.8%2.6%3.4%45.8K-1.1M-3.7K0.1388.65N/AN/A33743575379
2018-01-19$52.00$50.0023.1%6.6%25.5%10.7%22.8%2.1%0.1%50.9K-1.0M-3.6K0.1489.08N/AN/A31643575379
2018-01-22$51.90$50.0024.3%7.0%25.5%12.5%20.8%4.4%-0.0%50.0K-1.0M-3.6K0.1290.63N/AN/A31138559341
2018-01-23$52.55$50.0018.3%5.3%24.7%3.7%21.6%1.5%2.2%64.0K-1.3M-3.5K0.1193.63N/AN/A33438559341
2018-01-24$54.60$50.0023.5%6.7%26.4%11.3%23.7%6.5%-2.1%117.0K-2.0M-4.0K0.1297.01N/AN/A33641702341
2018-01-25$55.28$50.0023.8%6.8%26.4%11.7%24.0%10.3%-1.2%139.7K-2.3M-4.3K0.12101.49N/AN/A33441752350
2018-01-26$55.50$50.0023.7%6.8%26.3%11.5%24.7%4.5%-1.7%147.1K-2.5M-4.2K0.3436.20N/AN/A19968760350
2018-01-29$55.00$50.0029.6%8.5%26.8%20.2%29.4%5.3%-4.1%125.2K-2.3M-4.9K0.2955.21N/AN/A24571791377
2018-01-30$54.03$50.0023.5%6.7%28.0%11.3%23.6%4.9%-0.7%156.1K-2.0M-4.7K0.2168.57N/AN/A24551848390
2018-01-31$52.88$50.0021.2%6.1%29.3%8.0%22.4%8.0%-0.3%110.0K-1.5M-4.5K0.2871.35N/AN/A22562848389