PCH Options History — January 2020

In January 2020, PCH traded between $42.05 and $44.98. ATM implied volatility averaged 21.0%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.4% (HV 20d: 19.6%). 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 18 of 21 days. Put/call ratio averaged 3.01.

Notable Days

  • 2020-01-28: Highest Volume — 34 contracts
  • 2020-01-15: Largest IV drop — 42.2% change
  • 2020-01-14: Highest IV Rank — 33.1%
  • 2020-01-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.65$42.05$44.98$42.05$42.92
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV21.0%15.0%34.0%20.8%23.2%
Expected Move5.8%4.8%6.7%6.0%6.7%
HV 20d19.6%15.0%21.7%20.2%15.0%
HV 60d17.5%16.3%18.2%17.8%16.3%
IV Rank12.2%2.6%33.1%11.9%15.9%
IV Percentile27.0%4.4%91.3%19.0%42.5%
Term Structure2.0%-1.8%9.0%3.5%-1.8%
VWIV25.2%19.0%65.4%20.4%23.7%
Skew 25d6.7%-0.7%10.8%10.8%5.2%
Skew 10d12.3%-2.0%23.4%11.5%10.5%
Call IV 25d18.0%12.9%23.8%12.9%23.8%
Put IV 25d24.7%16.6%29.0%23.7%29.0%
Bid-Ask Spread %88.2974.30106.2780.7881.14
Gamma HHI0.820.670.950.670.95
Net GEX39.7K27.7K53.9K27.7K31.9K
Net DEX-409.7K-579.1K-224.6K-306.7K-224.6K
Net VEX-1.5K-1.8K-1.4K-1.5K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.010.0033.004.000.33
Total Volume7.7140341024
Total OI282.619268320268320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$42.05$40.0020.8%6.0%20.2%11.9%0.0%10.8%3.5%27.7K-306.7K-1.5K4.0080.78N/AN/A2823929
2020-01-03$42.67$40.0017.9%5.1%20.8%7.3%0.0%-0.7%9.0%32.0K-351.8K-1.5K0.00106.27N/AN/A0123937
2020-01-06$43.47$40.0015.0%5.9%21.7%2.6%20.4%7.1%2.5%35.6K-419.6K-1.6K0.0088.89N/AN/A2023938
2020-01-07$43.40$40.0017.6%5.5%21.7%6.7%0.0%6.7%3.9%37.0K-418.5K-1.6K0.0087.31N/AN/A0024138
2020-01-08$43.37$40.0016.9%5.7%21.7%5.6%19.2%5.7%3.1%36.1K-401.9K-1.6K0.0089.19N/AN/A1024138
2020-01-09$43.57$40.0016.7%5.4%21.1%5.3%0.0%6.1%3.1%40.3K-429.1K-1.6K0.0087.38N/AN/A0024238
2020-01-10$43.30$40.0022.5%5.4%20.8%14.7%0.0%4.7%3.5%37.7K-389.6K-1.5K0.0090.46N/AN/A3024238
2020-01-13$43.26$40.0030.0%5.7%20.8%26.7%0.0%4.5%1.8%37.8K-392.8K-1.4K0.0080.79N/AN/A14024338
2020-01-14$43.91$40.0034.0%5.5%20.8%33.1%19.0%6.6%3.1%41.1K-479.6K-1.5K0.0074.30N/AN/A7024338
2020-01-15$44.44$40.0019.7%5.6%20.3%10.1%19.7%8.1%2.0%44.3K-505.5K-1.5K0.0085.00N/AN/A6023638
2020-01-16$44.98$40.0019.7%5.7%20.0%10.2%26.9%8.6%1.6%53.9K-579.1K-1.5K0.0096.91N/AN/A0224038
2020-01-17$44.60$40.0019.9%5.7%20.4%10.5%26.4%8.5%1.5%47.7K-536.5K-1.5K0.0086.65N/AN/A21024037
2020-01-21$44.19$40.0020.3%5.8%18.3%11.2%0.0%7.4%1.1%42.8K-465.7K-1.5K0.0083.63N/AN/A0023634
2020-01-22$44.12$40.0020.6%5.9%18.2%11.6%20.6%8.0%1.7%42.6K-460.0K-1.5K0.0089.30N/AN/A2023634
2020-01-23$44.10$40.0020.8%6.0%17.8%12.0%19.0%7.9%1.6%43.3K-459.0K-1.5K0.7889.22N/AN/A9723834
2020-01-24$43.53$40.0016.6%4.8%18.2%5.2%65.4%6.5%1.6%42.0K-370.0K-1.5K0.0092.86N/AN/A1023941
2020-01-27$43.70$40.0023.3%6.7%18.2%16.0%0.0%8.4%-0.5%40.4K-398.1K-1.5K0.0090.83N/AN/A0023941
2020-01-28$43.88$40.0021.8%6.3%18.2%13.6%0.0%7.1%-0.7%42.5K-394.9K-1.5K33.0090.51N/AN/A13323941
2020-01-29$43.74$40.0021.4%6.1%18.3%12.9%19.7%7.1%1.3%40.3K-340.3K-1.8K7.0090.94N/AN/A1723974
2020-01-30$43.49$40.0021.7%6.2%18.4%13.4%21.9%5.9%0.0%37.1K-280.9K-1.8K0.0091.76N/AN/A10023981
2020-01-31$42.92$40.0023.2%6.7%15.0%15.9%23.7%5.2%-1.8%31.9K-224.6K-1.7K0.3381.14N/AN/A18623981