PCH Options History — August 2018

In August 2018, PCH traded between $45.35 and $48.35. ATM implied volatility averaged 20.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.3% (HV 20d: 22.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.60.

Notable Days

  • 2018-08-01: Highest Volume — 451 contracts
  • 2018-08-23: Largest IV spike — 51.1% change
  • 2018-08-14: Highest IV Rank — 38.1%
  • 2018-08-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.69$45.35$48.35$46.65$48.35
Max Pain$45.65$45.00$50.00$50.00$45.00
ATM IV20.7%12.8%25.2%23.5%16.2%
Expected Move5.7%3.7%6.8%6.7%4.6%
HV 20d22.0%16.5%25.3%25.3%20.9%
HV 60d23.0%22.1%24.0%23.7%24.0%
IV Rank24.2%0.0%38.1%32.1%11.2%
IV Percentile44.8%0.0%79.4%69.0%5.6%
Term Structure0.0%-1.6%2.9%-1.0%0.3%
VWIV20.8%15.5%38.2%17.8%38.2%
Skew 25d5.5%1.4%9.3%7.8%1.4%
Skew 10d9.0%3.3%20.9%20.9%4.8%
Call IV 25d17.1%11.5%20.9%15.8%20.4%
Put IV 25d22.6%19.4%25.3%23.6%21.8%
Bid-Ask Spread %88.7919.32114.0319.32113.03
Gamma HHI0.380.340.460.450.37
Net GEX10.2K-38.1K53.2K46.6K37.6K
Net DEX66.4K-443.7K545.7K45.3K-416.9K
Net VEX-6.4K-7.5K-5.6K-7.4K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.432.520.930.43
Total Volume278.609139451451227
Total OI1,477.0871,0031,8651,7791,067

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$46.65$50.0023.5%6.7%25.3%32.1%17.8%7.8%-1.0%46.6K45.3K-7.4K0.9319.32N/AN/A2342171,054725
2018-08-02$46.85$50.0023.8%6.8%24.9%33.0%15.5%8.6%-0.9%53.2K-19.7K-7.5K0.9522.40N/AN/A2282171,054726
2018-08-03$46.35$50.0022.9%6.6%24.7%30.0%16.8%6.8%-0.9%27.5K170.4K-6.9K0.9721.62N/AN/A2232171,054726
2018-08-06$45.78$45.0023.5%6.2%24.8%31.9%22.0%4.3%0.2%-3.6K371.8K-6.4K2.1288.84N/AN/A952011,054733
2018-08-07$45.75$45.0023.4%6.1%24.5%31.6%21.7%5.8%0.8%-2.5K312.7K-6.5K2.1686.88N/AN/A952051,074740
2018-08-08$45.80$45.0022.5%6.0%24.5%28.6%21.4%6.0%0.3%-8.8K340.5K-6.5K2.1789.16N/AN/A942041,074751
2018-08-09$45.95$45.0022.8%6.0%24.5%29.8%21.1%5.4%0.6%-11.6K412.9K-6.0K2.1789.13N/AN/A942041,074758
2018-08-10$45.60$45.0023.6%6.0%24.5%32.4%21.4%5.4%0.5%-23.0K469.8K-5.9K2.3488.60N/AN/A872041,074750
2018-08-13$45.35$45.0024.4%6.1%23.9%35.3%21.8%5.1%0.4%-38.1K545.7K-5.6K2.5288.23N/AN/A832091,074750
2018-08-14$45.60$45.0025.2%6.2%24.1%38.1%21.5%4.0%-0.1%-33.2K417.6K-5.9K1.6089.57N/AN/A1312091,071755
2018-08-15$45.75$45.0021.6%6.2%23.0%25.5%22.1%4.0%0.3%-31.6K413.0K-5.6K1.57105.20N/AN/A1312061,077752
2018-08-16$46.63$45.0021.5%6.2%21.2%25.1%21.7%4.9%0.4%-484153.9K-6.0K1.28105.44N/AN/A1582031,077762
2018-08-17$47.65$45.0013.7%3.9%22.7%0.0%21.3%4.1%2.9%27.3K-248.8K-6.9K1.01106.78N/AN/A1471491,097768
2018-08-20$48.20$45.0012.8%3.7%20.0%0.0%19.7%3.5%0.8%36.1K-414.5K-6.8K1.63107.83N/AN/A80130573430
2018-08-21$48.30$45.0015.4%4.4%19.9%8.5%17.8%3.6%1.2%39.4K-443.7K-6.9K1.89107.31N/AN/A71134581442
2018-08-22$47.70$45.0013.8%4.0%20.4%3.2%19.7%4.3%0.8%29.8K-281.7K-6.8K1.8199.52N/AN/A74134585452
2018-08-23$46.75$45.0020.9%6.0%21.5%26.8%20.6%2.3%-0.3%14.2K-42.0K-6.2K1.7494.48N/AN/A76132580452
2018-08-24$47.10$45.0020.5%5.9%20.3%25.4%18.7%9.3%-0.5%16.8K-66.8K-6.3K1.7496.28N/AN/A76132574458
2018-08-27$46.95$45.0021.0%6.0%20.1%27.3%19.1%8.7%-0.9%15.1K-55.8K-6.1K1.7493.31N/AN/A76132574458
2018-08-28$47.15$45.0021.3%6.1%16.7%28.1%19.4%8.9%-1.1%18.8K-104.2K-6.1K1.67107.55N/AN/A79132580458
2018-08-29$47.00$45.0020.8%6.0%16.5%26.6%19.2%7.4%-1.6%17.3K-92.3K-6.1K1.17107.69N/AN/A6475580458
2018-08-30$46.58$45.0020.4%5.9%16.7%25.2%19.8%4.1%-1.1%7.4K60.4K-5.9K1.17114.03N/AN/A6475589478
2018-08-31$48.35$45.0016.2%4.6%20.9%11.2%38.2%1.4%0.3%37.6K-416.9K-6.7K0.43113.03N/AN/A15968589478