PCH Options History — July 2018

In July 2018, PCH traded between $45.53 and $50.95. ATM implied volatility averaged 21.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.5% (HV 20d: 25.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-07-11: Highest Volume — 538 contracts
  • 2018-07-23: Largest IV spike — 21.5% change
  • 2018-07-30: Highest IV Rank — 44.8%
  • 2018-07-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.67$45.53$50.95$49.55$47.00
Max Pain$49.29$45.00$50.00$50.00$50.00
ATM IV21.3%17.0%27.1%18.9%24.2%
Expected Move6.2%5.2%7.8%5.4%6.9%
HV 20d25.8%23.8%27.4%25.4%25.7%
HV 60d23.6%22.4%25.2%22.4%23.7%
IV Rank24.3%9.3%44.8%15.8%34.5%
IV Percentile44.3%8.3%88.5%21.4%73.4%
Term Structure85.7%-4.0%172.3%1.2%-1.3%
VWIV22.6%17.7%31.3%18.5%23.1%
Skew 25d3.8%1.6%9.5%7.6%1.6%
Skew 10d7.6%2.0%15.8%11.8%11.6%
Call IV 25d21.0%16.2%29.2%17.4%22.7%
Put IV 25d24.9%22.2%31.5%25.0%24.3%
Bid-Ask Spread %38.7917.4975.4520.6828.18
Gamma HHI0.430.310.520.390.48
Net GEX38.1K10.5K82.7K24.1K59.8K
Net DEX-272.4K-1.3M362.7K-413.7K-73.2K
Net VEX-6.5K-7.6K-5.1K-5.1K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.341.631.240.97
Total Volume413291538495461
Total OI1,517.2861,2301,7421,2301,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$49.55$50.0018.9%5.4%25.4%15.8%18.5%7.6%1.2%24.1K-413.7K-5.1K1.2420.68N/AN/A221274654576
2018-07-03$50.05$50.0018.1%5.2%25.7%13.3%17.7%9.5%1.5%38.9K-736.8K-5.7K1.1975.45N/AN/A230274708576
2018-07-05$50.65$45.0019.2%6.0%26.1%16.9%22.2%4.4%160.7%49.9K-1.0M-5.7K1.3663.09N/AN/A209285715576
2018-07-06$50.95$45.0017.1%5.6%26.1%9.4%20.7%4.2%172.3%54.2K-1.3M-5.7K1.3572.56N/AN/A200271735603
2018-07-09$50.85$45.0017.7%5.6%26.0%11.7%20.8%3.4%169.3%48.9K-1.2M-5.5K1.4163.55N/AN/A197278735605
2018-07-10$49.98$50.0017.0%5.5%26.6%9.3%21.4%3.6%168.8%33.1K-664.8K-5.8K1.6353.18N/AN/A203330757647
2018-07-11$49.63$50.0019.2%5.5%26.5%17.0%20.7%2.5%168.1%16.2K-313.7K-6.3K1.5961.91N/AN/A208330746699
2018-07-12$49.15$50.0018.8%5.4%26.2%15.6%22.2%2.9%165.1%15.0K57.7K-5.9K0.7439.49N/AN/A179133755699
2018-07-13$48.70$50.0018.6%5.3%25.2%14.9%21.9%2.6%161.7%17.7K253.2K-6.0K0.8524.07N/AN/A158135820734
2018-07-16$49.23$50.0020.1%5.8%25.6%20.1%21.8%3.8%168.8%16.7K24.4K-6.2K0.4822.66N/AN/A232112833737
2018-07-17$49.30$50.0019.6%5.6%25.3%18.5%21.4%3.0%170.2%25.6K-216.6K-7.4K0.4728.59N/AN/A238112917742
2018-07-18$48.15$50.0020.6%5.9%26.6%21.8%25.7%3.6%158.2%27.2K301.9K-6.8K0.4830.01N/AN/A231112922742
2018-07-19$49.63$50.0020.8%6.0%26.7%22.6%21.0%3.9%155.2%10.5K-206.0K-7.2K0.5323.25N/AN/A211112931745
2018-07-20$49.05$50.0021.4%6.1%25.3%24.7%21.5%2.3%-2.0%69.3K106.5K-7.2K0.3417.49N/AN/A372125991745
2018-07-23$47.50$50.0026.0%7.5%27.4%40.9%23.8%3.8%-2.5%82.7K-505.1K-7.2K0.6622.06N/AN/A175116938580
2018-07-24$47.30$50.0025.8%7.4%27.1%40.2%24.1%4.0%-2.3%71.9K-337.2K-6.9K1.0424.91N/AN/A175182940588
2018-07-25$47.23$50.0026.3%7.5%24.5%41.8%24.5%3.9%-4.0%61.9K-166.0K-7.4K1.2224.48N/AN/A174212940654
2018-07-26$46.80$50.0025.4%7.3%24.5%38.7%25.7%2.1%-2.6%46.1K391-7.2K1.1629.52N/AN/A174201930676
2018-07-27$45.88$50.0024.9%7.1%25.0%37.0%25.4%5.4%-2.8%18.8K295.9K-6.5K1.1062.59N/AN/A183201930676
2018-07-30$45.53$50.0027.1%7.8%23.8%44.8%31.3%2.3%-3.8%12.0K362.7K-6.4K1.0526.95N/AN/A218229949675
2018-07-31$47.00$50.0024.2%6.9%25.7%34.5%23.1%1.6%-1.3%59.8K-73.2K-7.6K0.9728.18N/AN/A2342271,022720