PCH Options History — May 2018

In May 2018, PCH traded between $46.30 and $51.93. ATM implied volatility averaged 19.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.5% (HV 20d: 22.8%). Max pain ranged from $50.00 to $80.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-05-31: Highest Volume — 638 contracts
  • 2018-05-14: Largest IV spike — 61.1% change
  • 2018-05-02: Highest IV Rank — 44.9%
  • 2018-05-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.08$46.30$51.93$51.73$50.28
Max Pain$52.73$50.00$80.00$50.00$50.00
ATM IV19.4%14.4%27.9%27.6%15.6%
Expected Move5.5%4.1%8.0%7.9%4.5%
HV 20d22.8%9.5%27.7%16.0%27.7%
HV 60d27.8%24.7%30.8%29.2%24.7%
IV Rank16.2%0.0%44.9%43.7%4.4%
IV Percentile24.3%0.0%89.3%86.9%0.4%
Term Structure-0.3%-4.3%1.9%-4.0%0.2%
VWIV19.7%15.8%25.3%25.3%15.8%
Skew 25d4.2%-0.3%7.1%4.8%0.8%
Skew 10d9.4%-0.3%16.0%16.0%1.3%
Call IV 25d18.4%14.8%24.2%24.2%15.7%
Put IV 25d22.7%16.0%29.0%29.0%16.5%
Bid-Ask Spread %84.7521.03117.6321.0388.23
Gamma HHI0.620.370.920.900.68
Net GEX25.4K-11.8K79.9K71.7K75.8K
Net DEX-241.2K-795.5K111.6K-459.9K-795.5K
Net VEX-1.9K-4.2K-1.1K-2.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.493.030.591.03
Total Volume345.182202638230638
Total OI789.773507933825889

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$51.73$50.0027.6%7.9%16.0%43.7%25.3%4.8%-4.0%71.7K-459.9K-2.5K0.5921.03N/AN/A14585662163
2018-05-02$51.93$50.0027.9%8.0%9.5%44.9%24.8%4.1%-4.3%79.9K-504.5K-2.6K0.5923.78N/AN/A14585665163
2018-05-03$51.65$80.0027.7%6.5%9.6%44.2%24.2%5.4%-1.5%71.5K-467.0K-2.4K0.6481.62N/AN/A12379665163
2018-05-04$48.88$80.0019.0%5.4%21.4%12.0%17.9%5.4%1.9%2.1K-47.9K-1.5K0.8282.73N/AN/A11292692167
2018-05-07$49.13$50.0019.3%5.4%21.7%12.9%19.4%3.4%0.4%4.6K-63.8K-1.5K0.6083.41N/AN/A16096700171
2018-05-08$48.25$50.0017.1%5.4%22.0%5.1%20.8%7.1%1.7%1.6K19.9K-1.3K0.6381.37N/AN/A15396663176
2018-05-09$48.20$50.0018.1%5.2%22.1%8.6%20.8%5.1%1.5%1.6K22.9K-1.2K0.7298.71N/AN/A155111663176
2018-05-10$48.45$50.0017.4%5.0%22.3%6.1%19.9%5.4%1.6%23212.9K-1.3K0.7283.31N/AN/A155112665196
2018-05-11$47.68$50.0014.4%4.1%22.3%0.0%20.8%4.0%1.5%-2.8K65.6K-1.2K0.6483.28N/AN/A174112665198
2018-05-14$46.95$50.0023.2%6.6%22.6%30.9%21.0%4.9%-2.0%-4.0K111.6K-1.1K0.7483.58N/AN/A180133689198
2018-05-15$46.30$50.0022.7%6.5%22.1%29.3%21.5%6.2%-1.6%-11.8K41.3K-1.1K0.6194.95N/AN/A176107719213
2018-05-16$46.70$50.0022.4%6.4%22.5%28.3%20.9%5.0%-1.4%-8.3K19.4K-1.1K0.6785.58N/AN/A13289719214
2018-05-17$47.08$50.0022.6%6.5%23.1%28.8%19.9%4.8%-1.2%-569-39.4K-1.2K0.4986.29N/AN/A18189721209
2018-05-18$48.43$50.0016.0%4.6%26.1%5.7%18.5%2.9%1.7%10.1K-150.5K-1.4K1.5586.26N/AN/A174269717209
2018-05-21$48.93$50.0016.1%4.6%26.5%6.1%18.0%5.3%-0.1%16.1K-200.5K-1.5K2.87102.41N/AN/A94270191316
2018-05-22$49.68$50.0015.8%4.5%27.3%5.1%16.6%5.7%-0.2%21.1K-276.0K-1.6K3.0397.50N/AN/A89270200321
2018-05-23$49.88$50.0015.8%4.5%27.3%4.9%16.5%1.9%0.1%21.6K-289.9K-1.6K2.5595.96N/AN/A110281199322
2018-05-24$49.35$50.0018.9%5.4%27.5%15.8%21.0%4.3%-0.6%23.2K-253.1K-1.6K1.17117.63N/AN/A241283234332
2018-05-25$50.03$50.0015.7%4.5%27.7%4.5%16.2%6.8%0.9%53.9K-626.8K-3.2K1.2788.03N/AN/A223283357335
2018-05-29$49.95$50.0016.7%4.8%27.5%8.1%17.0%-0.3%-0.2%66.2K-678.9K-3.4K1.3787.36N/AN/A210287393335
2018-05-30$50.40$50.0016.6%4.8%27.7%7.8%16.8%0.4%0.2%64.2K-745.4K-3.4K1.19111.54N/AN/A272323385345
2018-05-31$50.28$50.0015.6%4.5%27.7%4.4%15.8%0.8%0.2%75.8K-795.5K-4.2K1.0388.23N/AN/A315323482407