PCH Options History — December 2019

In December 2019, PCH traded between $42.10 and $44.07. ATM implied volatility averaged 19.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 16.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2019-12-23: Highest Volume — 89 contracts
  • 2019-12-11: Largest IV drop — 63.9% change
  • 2019-12-10: Highest IV Rank — 45.9%
  • 2019-12-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$42.10$44.07$42.66$43.41
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.9%13.4%43.1%25.9%13.4%
Expected Move5.0%3.8%11.5%7.4%3.8%
HV 20d16.4%13.4%19.7%14.9%16.8%
HV 60d17.0%15.9%18.6%18.6%16.6%
IV Rank9.2%0.0%45.9%17.4%0.0%
IV Percentile23.7%0.0%97.2%53.2%0.0%
Term Structure2.7%-32.3%8.2%7.9%6.3%
VWIV15.7%13.5%19.4%19.4%14.7%
Skew 25d2.5%-6.5%10.7%9.4%-5.8%
Skew 10d8.6%-5.2%27.6%14.3%-2.3%
Call IV 25d17.8%15.4%20.7%18.3%20.4%
Put IV 25d20.3%12.4%28.1%27.8%14.6%
Bid-Ask Spread %90.6475.72102.9184.3987.75
Gamma HHI0.560.470.690.470.68
Net GEX24.9K19.5K33.0K21.3K28.6K
Net DEX-339.7K-420.7K-275.1K-310.8K-383.6K
Net VEX-1.2K-1.5K-1.0K-1.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.252.250.00
Total Volume8.3330891331
Total OI222.381194237194237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$42.66$40.0025.9%7.4%14.9%17.4%0.0%9.4%7.9%21.3K-310.8K-1.1K2.2584.39N/AN/A4917519
2019-12-03$42.25$40.0026.3%7.5%13.4%18.1%0.0%10.7%-9.5%20.1K-275.1K-1.1K0.0088.97N/AN/A0317528
2019-12-04$42.47$40.0040.0%11.5%13.6%40.8%0.0%6.3%-32.3%19.5K-283.7K-1.1K0.0087.78N/AN/A0017531
2019-12-05$42.65$40.0021.7%4.8%13.6%10.3%19.4%2.2%3.0%20.6K-292.8K-1.0K0.0085.81N/AN/A5017531
2019-12-06$42.78$40.0028.1%4.8%13.7%21.0%0.0%2.4%2.8%22.1K-315.0K-1.1K0.00102.85N/AN/A0017931
2019-12-09$42.65$40.0029.0%4.6%13.6%22.6%0.0%3.3%3.9%21.7K-297.2K-1.0K0.0094.09N/AN/A17017831
2019-12-10$42.10$40.0043.1%5.4%14.1%45.9%0.0%3.9%8.2%22.2K-280.3K-1.1K0.0075.72N/AN/A0019531
2019-12-11$42.68$40.0015.5%4.5%15.2%0.2%0.0%4.6%4.3%24.4K-319.6K-1.1K0.0086.38N/AN/A3019531
2019-12-12$42.82$40.0014.9%4.3%14.9%0.0%0.0%4.2%5.1%24.9K-328.6K-1.1K0.0094.14N/AN/A0019831
2019-12-13$42.30$40.0020.1%5.8%15.3%8.6%0.0%0.4%4.4%24.2K-308.2K-1.1K0.0098.05N/AN/A0019831
2019-12-16$43.08$40.0013.4%3.8%16.8%0.0%0.0%4.4%4.6%28.4K-363.7K-1.1K0.00101.13N/AN/A0019831
2019-12-17$42.61$40.0014.1%4.1%17.1%1.2%0.0%3.1%5.4%25.9K-329.2K-1.1K0.0098.24N/AN/A0019831
2019-12-18$42.59$40.0015.3%4.4%16.7%3.0%0.0%4.5%4.0%26.3K-332.5K-1.0K0.00102.15N/AN/A0019831
2019-12-19$43.80$40.0013.8%4.0%19.7%0.6%15.8%5.1%4.6%33.0K-419.9K-1.0K0.00102.84N/AN/A6019831
2019-12-20$44.07$40.0013.5%3.9%19.1%0.1%13.5%4.4%5.9%25.3K-420.7K-1.0K0.00102.91N/AN/A2020231
2019-12-23$43.62$40.0013.5%3.9%19.3%0.1%0.0%4.6%6.2%24.5K-391.3K-1.0K0.0081.29N/AN/A89017828
2019-12-24$43.23$40.0013.6%3.9%19.5%0.3%0.0%-6.5%4.3%27.8K-368.0K-1.5K0.0084.00N/AN/A0020728
2019-12-26$43.20$40.0013.4%3.8%19.4%0.0%0.0%-5.7%6.6%27.1K-361.4K-1.5K0.0080.28N/AN/A0020728
2019-12-27$43.26$40.0014.9%4.3%18.8%2.5%0.0%3.4%5.8%26.9K-376.2K-1.5K0.0083.32N/AN/A0020728
2019-12-30$43.38$40.0013.4%3.8%18.6%0.0%15.2%-5.4%5.9%28.1K-375.9K-1.5K2.0081.34N/AN/A2420728
2019-12-31$43.41$40.0013.4%3.8%16.8%0.0%14.7%-5.8%6.3%28.6K-383.6K-1.5K0.0087.75N/AN/A31020829