PCH Options History — February 2020 In February 2020, PCH traded between $36.17 and $42.65. ATM implied volatility averaged 28.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 2.0% (HV 20d: 30.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.41.
Notable Days 2020-02-03 : Highest Volume — 914 contracts2020-02-13 : Largest IV spike — 60.9% change2020-02-28 : Highest IV Rank — 81.0%2020-02-28 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $40.68 $36.17 $42.65 $42.65 $36.17 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 28.6% 15.9% 63.8% 24.8% 63.8% Expected Move 7.9% 4.6% 18.3% 7.1% 18.3% HV 20d 30.6% 14.3% 39.2% 14.3% 39.2% HV 60d 23.1% 16.3% 27.4% 16.3% 27.4% IV Rank 24.5% 4.1% 81.0% 18.3% 81.0% IV Percentile 60.1% 7.1% 99.6% 52.0% 99.6% Term Structure -1.1% -17.7% 8.6% -4.5% -17.7% VWIV 26.8% 14.5% 79.9% 29.0% 79.9% Skew 25d 11.9% 1.5% 43.2% 3.5% 16.6% Skew 10d 29.4% 5.6% 66.1% 12.0% 43.0% Call IV 25d 23.3% 14.3% 57.0% 28.8% 57.0% Put IV 25d 35.2% 15.8% 73.6% 32.3% 73.6% Bid-Ask Spread % 93.02 69.77 112.75 69.77 75.38 Gamma HHI 0.84 0.34 0.98 0.98 0.34 Net GEX 62.3K -2.3K 148.1K 29.3K -2.3K Net DEX -146.5K -661.5K 336.1K -234.0K 336.1K Net VEX -2.4K -3.3K -1.7K -1.8K -2.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.41 0.00 17.75 0.03 4.00 Total Volume 75.263 0 914 914 3 Total OI 1,002.842 325 1,343 325 579
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $42.65 $40.00 24.8% 7.1% 14.3% 18.3% 29.0% 3.5% -4.5% 29.3K -234.0K -1.8K 0.03 69.77 N/A N/A 891 23 241 84 2020-02-04 $40.41 $40.00 23.0% 6.6% 22.6% 15.5% 23.0% 4.9% 1.0% 40.0K -14.2K -2.0K 0.80 82.28 N/A N/A 82 66 1,022 113 2020-02-05 $42.13 $40.00 21.7% 6.2% 27.7% 13.4% 19.7% 4.0% 7.5% 139.6K -456.1K -3.2K 0.00 90.99 N/A N/A 10 0 1,040 155 2020-02-06 $41.25 $40.00 21.8% 6.8% 28.6% 13.5% 21.6% 4.4% -1.0% 62.9K -119.2K -2.3K 0.02 95.10 N/A N/A 55 1 1,046 155 2020-02-07 $40.25 $40.00 24.9% 8.0% 29.5% 18.6% 15.9% 8.5% -0.2% 46.4K -45.5K -2.0K 0.00 108.19 N/A N/A 51 0 1,008 156 2020-02-10 $40.18 $40.00 32.1% 5.0% 29.5% 30.0% 0.0% 43.2% 8.6% 48.9K -37.8K -1.9K 1.00 112.75 N/A N/A 1 1 1,057 156 2020-02-11 $40.64 $40.00 31.6% 7.0% 30.0% 29.2% 0.0% 32.1% 1.8% 49.1K -92.1K -2.2K 0.00 102.78 N/A N/A 0 2 1,095 157 2020-02-12 $41.31 $40.00 15.9% 4.6% 30.1% 4.1% 15.7% 1.5% 6.3% 94.4K -205.0K -2.4K 0.00 111.00 N/A N/A 10 0 1,095 159 2020-02-13 $42.18 $40.00 25.6% 7.4% 30.8% 19.7% 19.9% 5.2% -2.2% 133.1K -421.4K -3.0K 0.17 90.73 N/A N/A 6 1 1,098 159 2020-02-14 $41.95 $40.00 24.6% 7.0% 30.3% 18.0% 16.7% 7.9% -1.4% 148.1K -661.5K -3.3K 14.00 94.67 N/A N/A 1 14 1,103 158 2020-02-18 $41.83 $40.00 24.6% 7.0% 30.3% 18.0% 0.0% 11.3% -1.1% 138.7K -537.8K -2.9K 0.00 101.16 N/A N/A 0 0 1,102 172 2020-02-19 $41.36 $40.00 22.9% 6.6% 30.3% 15.3% 14.5% 21.4% 0.0% 115.4K -405.2K -2.4K 0.00 101.63 N/A N/A 51 0 1,102 172 2020-02-20 $41.78 $40.00 23.7% 6.8% 30.7% 16.6% 23.4% 8.4% -0.1% 48.8K -139.5K -2.3K 0.00 102.85 N/A N/A 18 0 1,153 172 2020-02-21 $42.51 $40.00 22.0% 6.3% 31.5% 13.8% 18.2% 8.6% 2.6% 41.2K -239.8K -2.6K 0.00 101.65 N/A N/A 4 0 1,171 172 2020-02-24 $41.33 $40.00 29.2% 8.4% 32.7% 25.4% 26.3% 11.6% -3.2% 27.4K -41.2K -2.3K 0.00 72.58 N/A N/A 16 0 358 101 2020-02-25 $39.24 $40.00 31.7% 9.1% 36.9% 29.5% 31.7% 11.9% -4.1% 11.5K 112.5K -1.7K 0.79 74.77 N/A N/A 24 19 360 101 2020-02-26 $38.61 $40.00 31.8% 9.1% 36.9% 29.5% 0.0% 9.5% -3.5% 7.7K 151.5K -1.9K 17.75 93.87 N/A N/A 4 71 384 120 2020-02-27 $37.09 $40.00 48.0% 13.8% 38.8% 55.6% 46.2% 11.4% -9.5% 2.4K 266.7K -2.5K 4.00 85.32 N/A N/A 1 4 388 190 2020-02-28 $36.17 $40.00 63.8% 18.3% 39.2% 81.0% 79.9% 16.6% -17.7% -2.3K 336.1K -2.1K 0.00 75.38 N/A N/A 0 3 389 190
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