PCH Options History — October 2018

In October 2018, PCH traded between $34.29 and $40.13. ATM implied volatility averaged 30.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.5% (HV 20d: 36.6%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-10-26: Highest Volume — 640 contracts
  • 2018-10-03: Largest IV spike — 32.0% change
  • 2018-10-29: Highest IV Rank — 49.9%
  • 2018-10-29: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$34.29$40.13$40.05$36.33
Max Pain$40.65$35.00$50.00$50.00$35.00
ATM IV30.1%23.7%37.8%23.9%35.1%
Expected Move8.6%6.8%10.8%6.8%10.1%
HV 20d36.6%29.4%44.1%34.4%41.7%
HV 60d30.0%27.9%34.8%27.9%34.8%
IV Rank34.4%21.7%49.9%22.1%44.4%
IV Percentile90.9%71.0%99.2%73.0%98.0%
Term Structure-3.1%-5.5%-0.7%-1.0%-3.5%
VWIV33.6%24.7%62.2%32.7%35.9%
Skew 25d7.2%3.5%19.8%10.3%3.5%
Skew 10d16.0%7.8%27.5%16.9%14.4%
Call IV 25d28.2%20.0%38.6%20.4%34.2%
Put IV 25d35.3%28.8%57.3%30.8%37.7%
Bid-Ask Spread %84.1547.76100.1547.7685.94
Gamma HHI0.460.260.860.450.49
Net GEX-9.5K-51.9K17.7K-51.9K17.7K
Net DEX1.0M79.9K2.2M2.2M185.0K
Net VEX-3.6K-7.5K-1.9K-3.3K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.313.421.011.38
Total Volume372.652240640300388
Total OI1,487.7391,1382,2871,7012,287

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$40.05$50.0023.9%6.8%34.4%22.1%32.7%10.3%-1.0%-51.9K2.2M-3.3K1.0147.76N/AN/A149151939762
2018-10-02$40.13$50.0023.7%6.8%34.0%21.7%26.4%11.3%-0.7%-30.0K2.0M-1.9K0.9676.30N/AN/A174167805607
2018-10-03$38.36$50.0031.3%9.0%35.6%36.9%62.2%19.8%-2.2%4.6K656.7K-3.3K1.43100.15N/AN/A157225835365
2018-10-04$38.73$50.0024.4%6.8%35.9%23.1%24.7%9.4%-0.8%-10.7K1.1M-2.4K0.8549.79N/AN/A265225858461
2018-10-05$38.43$40.0023.8%7.0%35.9%21.9%25.1%7.8%-1.0%6.1K942.6K-2.9K0.8480.92N/AN/A2642211,021472
2018-10-08$39.10$40.0024.1%6.9%36.9%22.5%28.5%8.8%-1.2%6.3K909.6K-2.7K1.4081.80N/AN/A1592221,012472
2018-10-09$38.10$40.0024.9%7.1%37.2%24.0%29.7%7.3%-1.7%5.9K980.0K-2.7K1.3880.05N/AN/A161222752472
2018-10-10$37.22$40.0032.3%9.3%35.8%38.9%31.3%4.9%-5.0%2.6K1.0M-2.6K1.5185.98N/AN/A147222757472
2018-10-11$36.51$40.0032.7%9.4%35.2%39.7%32.7%8.4%-5.5%-6351.1M-2.4K1.5293.48N/AN/A155236756472
2018-10-12$35.69$40.0031.5%9.0%35.3%37.3%34.2%5.5%-4.5%-4.4K1.2M-2.2K0.9990.46N/AN/A159157758472
2018-10-15$35.55$40.0030.0%8.6%35.5%34.3%33.9%8.0%-4.1%-6.6K1.2M-2.1K0.9987.06N/AN/A155154763480
2018-10-16$36.24$40.0028.9%8.3%37.2%32.1%30.4%5.3%-3.6%-2.4K1.1M-2.2K0.7582.72N/AN/A157118777456
2018-10-17$36.61$40.0029.1%8.3%37.6%32.5%33.5%4.2%-3.6%-1221.1M-2.3K0.8698.28N/AN/A138119789468
2018-10-18$36.15$40.0029.7%8.5%36.1%33.6%34.8%6.5%-3.8%-1.9K1.1M-2.2K0.8697.14N/AN/A138119789469
2018-10-19$36.55$40.0029.9%8.6%37.1%34.0%31.6%4.3%-4.4%-2541.1M-2.3K0.9996.95N/AN/A157155789474
2018-10-22$35.62$40.0031.1%8.9%37.4%36.4%31.4%4.1%-4.0%-6.5K679.9K-2.5K3.4293.19N/AN/A119407759379
2018-10-23$35.87$40.0030.3%8.7%37.8%35.0%34.1%5.0%-2.4%-46.2K1.1M-4.8K0.7691.80N/AN/A149113774733
2018-10-24$36.19$40.0032.3%9.3%29.4%38.9%36.8%5.9%-3.2%-43.1K1.1M-5.5K0.6083.90N/AN/A15090814810
2018-10-25$36.76$35.0032.9%9.4%30.6%40.1%36.2%6.0%-3.1%-36.1K922.1K-5.4K0.6491.81N/AN/A163104818811
2018-10-26$34.29$35.0035.3%10.1%36.7%45.0%35.5%6.0%-4.1%-49.6K1.5M-5.9K0.3175.49N/AN/A488152887871
2018-10-29$36.49$35.0037.8%10.8%44.1%49.9%35.6%5.7%-4.3%13.6K79.9K-7.5K0.4081.17N/AN/A3781521,269951
2018-10-30$36.07$35.0036.4%10.4%44.1%47.1%35.4%6.9%-3.8%15.0K321.5K-7.4K0.4283.42N/AN/A3301401,339942
2018-10-31$36.33$35.0035.1%10.1%41.7%44.4%35.9%3.5%-3.5%17.7K185.0K-7.2K1.3885.94N/AN/A1632251,343944