PCH Options History — November 2018

In November 2018, PCH traded between $36.05 and $37.33. ATM implied volatility averaged 33.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.5% (HV 20d: 35.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-11-06: Highest Volume — 391 contracts
  • 2018-11-14: Largest IV drop — 47.4% change
  • 2018-11-13: Highest IV Rank — 89.7%
  • 2018-11-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.65$36.05$37.33$37.05$36.93
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV33.4%28.1%57.7%34.8%30.4%
Expected Move8.7%8.0%10.3%10.0%8.7%
HV 20d35.9%18.6%42.2%42.2%18.6%
HV 60d35.0%33.9%35.4%35.1%33.9%
IV Rank41.2%30.4%89.7%43.8%35.2%
IV Percentile91.5%82.9%99.6%97.6%88.9%
Term Structure-2.8%-4.5%0.7%-2.9%-3.2%
VWIV30.4%26.0%36.6%35.8%32.3%
Skew 25d7.1%4.5%15.0%8.6%4.5%
Skew 10d14.7%3.5%25.6%20.1%3.5%
Call IV 25d26.0%19.5%29.5%29.2%26.6%
Put IV 25d33.1%29.5%38.8%37.8%31.1%
Bid-Ask Spread %75.9931.7799.4486.7787.83
Gamma HHI0.470.360.560.460.54
Net GEX-16.7K-42.3K17.3K16.3K-38.7K
Net DEX321.7K-334.3K893.6K-120.4K743.9K
Net VEX-5.7K-7.3K-4.6K-7.3K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.511.661.380.56
Total Volume249.429103391388114
Total OI1,845.3331,1142,4032,3811,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$37.05$35.0034.8%10.0%42.2%43.8%35.8%8.6%-2.9%16.3K-120.4K-7.3K1.3886.77N/AN/A1632251,3591,022
2018-11-02$37.04$35.0035.8%10.3%42.2%45.9%36.6%9.9%-3.6%16.5K-118.2K-7.3K1.3891.10N/AN/A1632251,3591,022
2018-11-05$37.14$35.0038.2%9.0%41.6%50.6%30.7%6.2%-4.2%17.3K-183.5K-6.9K1.3832.59N/AN/A1632251,3591,022
2018-11-06$36.18$35.0036.1%8.8%41.6%46.4%30.4%7.4%-2.8%5.3K319.8K-6.9K1.4033.31N/AN/A1632281,3591,022
2018-11-07$36.39$35.0033.6%8.2%41.0%41.5%28.4%7.4%-2.3%4.1K174.8K-6.7K1.4031.77N/AN/A1632281,3591,026
2018-11-08$36.41$35.0032.2%8.2%40.4%38.8%27.6%6.1%-2.2%-916114.6K-6.4K0.6766.40N/AN/A1631101,3591,022
2018-11-09$36.05$35.0032.6%8.3%39.7%39.5%31.1%6.7%-2.2%-2.5K346.2K-6.4K0.7160.49N/AN/A1631151,3591,031
2018-11-12$36.80$35.0043.3%8.6%40.3%61.0%29.4%7.5%-2.2%-873-97.4K-5.9K0.7456.38N/AN/A1561161,3591,031
2018-11-13$36.84$35.0057.7%8.6%39.8%89.7%28.0%7.6%-2.4%-6.3K-151.5K-5.8K0.8157.02N/AN/A1511231,3591,031
2018-11-14$37.33$35.0030.3%8.7%39.9%35.0%29.1%5.5%-3.8%12.7K-334.3K-5.6K0.8053.41N/AN/A1521211,3591,026
2018-11-15$36.67$35.0029.2%8.4%40.2%32.7%28.2%6.9%-2.2%-27.0K-213.4K-5.4K0.8084.73N/AN/A1561251,3601,043
2018-11-16$36.50$35.0028.1%8.0%40.0%30.4%28.6%6.9%-1.8%-38.1K-224.3K-5.2K0.7998.53N/AN/A1561231,3561,022
2018-11-19$37.03$35.0029.3%8.4%39.1%32.9%26.0%6.5%-2.9%-33.6K705.6K-5.0K1.3490.73N/AN/A6587344782
2018-11-20$36.38$35.0030.7%8.8%39.7%35.7%31.0%7.8%-2.9%-39.4K856.2K-5.1K1.6699.44N/AN/A65108344787
2018-11-21$36.44$35.0029.4%8.4%39.6%33.0%30.0%6.8%-2.7%-37.6K835.0K-5.0K1.6199.14N/AN/A67108344774
2018-11-23$36.18$35.0030.1%8.6%39.2%34.6%30.8%6.4%0.7%-40.0K893.6K-4.9K1.6194.66N/AN/A67108346774
2018-11-26$36.18$35.0029.8%8.5%29.7%33.9%30.7%4.5%-3.4%-42.3K888.9K-4.8K1.5494.52N/AN/A70108346774
2018-11-27$36.35$35.0030.7%8.8%19.7%35.7%30.2%15.0%-4.5%-41.2K860.1K-4.7K1.5487.13N/AN/A70108340774
2018-11-28$36.71$35.0030.0%8.6%19.5%34.4%31.8%5.1%-4.0%-39.0K778.4K-4.6K0.5195.11N/AN/A6835340774
2018-11-29$37.11$35.0029.9%8.6%19.7%34.0%30.7%6.5%-3.4%-35.6K681.8K-4.6K0.5694.77N/AN/A7341344786
2018-11-30$36.93$35.0030.4%8.7%18.6%35.2%32.3%4.5%-3.2%-38.7K743.9K-4.7K0.5687.83N/AN/A7341353800