PCH Options History — March 2018

In March 2018, PCH traded between $50.20 and $53.50. ATM implied volatility averaged 24.7%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 9.7% (HV 20d: 34.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-03-01: Highest Volume — 300 contracts
  • 2018-03-19: Largest IV spike — 31.1% change
  • 2018-03-13: Highest IV Rank — 19.8%
  • 2018-03-02: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.84$50.20$53.50$50.20$52.08
Max Pain$54.52$50.00$55.00$50.00$55.00
ATM IV24.7%17.5%29.3%27.1%26.9%
Expected Move6.8%5.0%7.9%7.8%7.7%
HV 20d34.4%27.5%38.8%36.4%31.7%
HV 60d29.9%28.2%32.2%28.2%32.2%
IV Rank13.1%2.6%19.8%16.5%16.3%
IV Percentile60.5%5.6%86.1%78.6%80.2%
Term Structure0.2%-7.5%2.4%-1.7%-1.5%
VWIV23.1%19.0%28.0%28.0%22.2%
Skew 25d5.5%3.4%11.6%11.6%4.8%
Skew 10d14.4%11.3%24.1%18.5%16.3%
Call IV 25d20.8%16.1%25.3%23.4%22.0%
Put IV 25d26.4%21.8%35.0%35.0%26.8%
Bid-Ask Spread %81.3824.68108.69105.1924.68
Gamma HHI0.440.240.570.240.39
Net GEX-10.8K-27.2K14.6K5.2K7.7K
Net DEX-194.6K-533.2K116.4K-134.8K-316.1K
Net VEX-3.4K-4.0K-2.7K-2.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.521.401.400.63
Total Volume226.19189300300238
Total OI756.286605858633772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$50.20$50.0027.1%7.8%36.4%16.5%28.0%11.6%-1.7%5.2K-134.8K-2.7K1.40105.19N/AN/A125175461172
2018-03-02$51.95$50.0027.7%7.9%38.7%17.4%26.4%11.3%-7.5%-7.6K-158.9K-3.5K0.77108.69N/AN/A12092459278
2018-03-05$51.15$55.0027.3%7.0%38.8%16.8%24.0%5.2%0.7%-20.1K18.6K-3.6K0.8697.50N/AN/A11296475311
2018-03-06$51.65$55.0027.3%6.9%37.7%16.8%24.0%4.6%0.4%-14.9K-22.1K-3.5K0.8091.13N/AN/A127101462332
2018-03-07$50.90$55.0026.2%7.0%38.1%15.2%27.1%5.5%0.5%-20.6K48.0K-3.6K0.8480.78N/AN/A127107480337
2018-03-08$50.83$55.0025.3%6.7%37.9%13.9%23.0%5.9%0.7%-24.1K48.3K-3.5K0.8091.51N/AN/A127101480339
2018-03-09$50.48$55.0024.7%6.6%37.4%13.0%23.5%5.7%0.8%-27.2K116.4K-3.4K0.8482.88N/AN/A127107480339
2018-03-12$51.53$55.0026.5%6.6%38.0%15.6%22.9%4.4%0.6%-25.7K-73.0K-3.3K0.8286.37N/AN/A129106480349
2018-03-13$51.83$55.0029.3%6.7%37.0%19.8%22.7%4.5%1.2%-23.4K-140.3K-3.5K0.7989.58N/AN/A129102485353
2018-03-14$51.75$55.0023.4%6.7%35.8%11.1%20.3%4.8%0.8%-23.5K-132.8K-3.4K0.7090.25N/AN/A142100495353
2018-03-15$52.48$55.0022.8%6.5%32.7%10.3%21.1%4.0%0.6%-18.2K-326.9K-3.2K0.7093.44N/AN/A143100508349
2018-03-16$53.50$55.0017.5%5.0%33.5%2.6%19.0%5.7%2.4%-8.3K-521.0K-3.2K0.6885.63N/AN/A14599509349
2018-03-19$52.50$55.0023.0%6.6%33.5%10.5%19.2%4.0%1.2%-20.6K-253.2K-3.1K0.5288.42N/AN/A13972305300
2018-03-20$52.00$55.0022.0%6.3%27.5%9.1%20.6%3.4%1.1%-17.3K-207.4K-3.1K0.8994.93N/AN/A10089347295
2018-03-21$52.20$55.0025.1%7.2%27.5%13.6%23.6%3.8%0.5%-10.6K-247.3K-3.5K0.5999.41N/AN/A15491354316
2018-03-22$53.20$55.0020.8%6.0%27.5%7.3%22.7%5.9%1.7%14.6K-533.2K-4.0K0.8099.18N/AN/A12096409311
2018-03-23$50.55$55.0026.8%7.7%32.5%16.1%26.8%6.0%-0.6%-13.9K-30.1K-3.6K0.7186.72N/AN/A12085410312
2018-03-26$52.30$55.0026.6%7.6%34.0%15.8%23.1%4.6%-0.1%1.9K-344.7K-3.5K0.7263.22N/AN/A11079402302
2018-03-27$52.80$55.0021.5%6.2%33.9%8.4%22.8%5.6%1.5%10.4K-440.4K-3.5K0.7224.73N/AN/A11079402302
2018-03-28$52.78$55.0021.5%6.2%32.2%8.4%22.1%5.3%1.7%8.9K-435.9K-3.5K0.5724.78N/AN/A14683402306
2018-03-29$52.08$55.0026.9%7.7%31.7%16.3%22.2%4.8%-1.5%7.7K-316.1K-3.7K0.6324.68N/AN/A14692452320