PCH Options History — September 2018

In September 2018, PCH traded between $40.92 and $48.55. ATM implied volatility averaged 23.4%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 2.4% (HV 20d: 25.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.83.

Notable Days

  • 2018-09-06: Highest Volume — 463 contracts
  • 2018-09-26: Largest IV spike — 213.8% change
  • 2018-09-26: Highest IV Rank — 100.0%
  • 2018-09-26: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$40.92$48.55$47.05$40.92
Max Pain$47.37$45.00$50.00$45.00$50.00
ATM IV23.4%16.4%62.9%24.0%23.3%
Expected Move6.5%4.7%18.0%6.9%6.7%
HV 20d25.8%22.5%37.9%22.9%37.9%
HV 60d24.4%22.9%27.7%24.6%27.7%
IV Rank30.1%11.9%100.0%37.2%21.0%
IV Percentile49.1%6.3%100.0%73.8%67.1%
Term Structure-0.8%-31.9%3.2%-2.4%-0.2%
VWIV21.3%14.8%38.4%22.3%38.4%
Skew 25d2.2%-12.5%8.8%2.3%-2.0%
Skew 10d6.4%-3.5%16.8%-0.2%-3.5%
Call IV 25d19.4%13.7%34.1%22.4%24.8%
Put IV 25d21.7%19.0%24.7%24.7%22.8%
Bid-Ask Spread %37.8519.65107.84107.8449.19
Gamma HHI0.490.300.710.350.43
Net GEX38.2K-60.3K173.1K17.5K-58.3K
Net DEX41.6K-1.1M2.1M-109.0K2.1M
Net VEX-7.3K-9.5K-3.7K-6.1K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.201.840.270.82
Total Volume306.895168463346350
Total OI1,610.1051,0192,0051,0191,698

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$47.05$45.0024.0%6.9%22.9%37.2%22.3%2.3%-2.4%17.5K-109.0K-6.1K0.27107.84N/AN/A27373583436
2018-09-05$47.60$45.0024.2%6.9%23.1%37.8%20.2%3.5%-0.9%63.4K-632.2K-7.4K0.2795.64N/AN/A27374807500
2018-09-06$47.85$45.0021.2%5.2%23.2%27.7%18.3%3.3%1.7%69.2K-710.3K-7.4K0.2125.26N/AN/A38479807501
2018-09-07$47.30$50.0021.5%6.2%23.7%28.9%18.3%3.4%1.0%71.6K-566.9K-7.6K0.2026.25N/AN/A38277924506
2018-09-10$47.50$50.0024.7%6.3%23.4%39.4%20.0%3.4%0.5%64.1K-344.9K-6.8K0.4524.70N/AN/A19085844503
2018-09-11$47.40$45.0026.9%6.1%23.3%46.7%20.7%3.0%0.9%55.1K-264.6K-6.8K1.0222.86N/AN/A8385888525
2018-09-12$48.25$45.0017.4%5.0%23.9%15.2%18.2%3.4%1.5%107.1K-730.4K-7.3K0.5224.90N/AN/A16385898525
2018-09-13$48.55$45.0016.4%4.7%24.0%11.9%16.6%2.6%3.2%173.1K-1.1M-8.1K0.5124.10N/AN/A15679983525
2018-09-14$48.00$45.0016.5%4.7%23.7%12.2%16.7%3.6%2.3%152.0K-919.1K-8.2K0.4421.10N/AN/A171761,073558
2018-09-17$47.38$45.0021.1%6.0%23.0%27.5%18.1%2.6%2.4%98.7K-533.6K-7.4K1.8440.84N/AN/A1152121,064559
2018-09-18$47.35$45.0020.8%6.0%22.5%26.5%20.5%3.2%1.8%65.1K-301.1K-8.0K1.4425.73N/AN/A1171691,065709
2018-09-19$46.00$45.0020.0%5.7%24.6%23.7%17.4%3.6%1.4%-31.6K367.3K-7.8K1.4830.70N/AN/A1071581,075814
2018-09-20$46.75$50.0020.3%5.8%25.1%24.9%27.9%2.8%1.3%13.0K281.1K-8.2K1.5141.41N/AN/A1011531,080882
2018-09-21$46.23$50.0019.1%5.5%24.4%20.8%24.9%0.3%1.7%-25.3K547.3K-7.5K1.4426.85N/AN/A1061531,075887
2018-09-24$45.95$50.0019.0%5.4%24.3%20.5%18.9%5.3%1.6%-34.9K655.2K-7.3K0.9921.93N/AN/A138136937827
2018-09-25$45.95$50.0020.0%5.7%24.3%24.0%19.7%8.8%0.6%-11.7K518.0K-7.5K0.7319.65N/AN/A1951421,001803
2018-09-26$42.50$50.0062.9%18.0%36.4%100.0%32.4%-12.5%-31.9%-1.9K848.8K-9.5K0.7344.96N/AN/A1971441,124881
2018-09-27$42.35$50.0025.6%7.3%36.4%25.4%14.8%2.0%-0.9%-60.3K1.7M-5.0K0.8245.29N/AN/A192158970755
2018-09-28$40.92$50.0023.3%6.7%37.9%21.0%38.4%-2.0%-0.2%-58.3K2.1M-3.7K0.8249.19N/AN/A192158936762