PCH Options History — March 2020

In March 2020, PCH traded between $23.84 and $40.32. ATM implied volatility averaged 81.3%, placing in the 76.8% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 32.0% (HV 20d: 113.3%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.92.

Notable Days

  • 2020-03-23: Highest Volume — 329 contracts
  • 2020-03-09: Largest IV spike — 63.2% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.18$23.84$40.32$37.45$30.56
Max Pain$34.69$25.00$40.00$40.00$35.00
ATM IV81.3%43.4%114.2%53.6%71.0%
Expected Move22.4%12.4%32.7%15.4%20.4%
HV 20d113.3%42.2%178.8%42.2%177.3%
HV 60d69.1%28.4%104.6%28.4%104.4%
IV Rank76.8%48.3%100.0%64.7%57.1%
IV Percentile98.0%94.0%100.0%98.8%94.0%
Term Structure-13.4%-32.1%-3.4%-12.6%-8.1%
VWIV68.4%36.2%106.9%53.2%76.2%
Skew 25d26.1%13.5%47.8%13.5%21.1%
Skew 10d46.3%26.7%67.4%30.1%37.1%
Call IV 25d62.3%30.6%95.7%41.0%59.5%
Put IV 25d88.4%52.2%132.2%54.5%80.7%
Bid-Ask Spread %77.5759.61119.2988.9791.96
Gamma HHI0.380.200.590.390.55
Net GEX759-11.0K18.5K2.5K-11.0K
Net DEX281.3K11.2K411.2K269.8K359.3K
Net VEX-2.3K-3.2K-839-2.3K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0017.000.0011.50
Total Volume30.22703292425
Total OI677.182435779582779

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$37.45$40.0053.6%15.4%42.2%64.7%53.2%13.5%-12.6%2.5K269.8K-2.3K0.0088.97N/AN/A240389193
2020-03-03$38.86$35.0046.3%13.3%44.9%53.0%47.1%16.9%-9.0%9.8K127.8K-2.7K0.0087.82N/AN/A10409198
2020-03-04$40.32$35.0043.4%12.4%43.3%48.3%44.2%21.6%-6.9%18.5K11.2K-2.9K0.2579.46N/AN/A41409198
2020-03-05$38.78$0.0059.8%13.1%42.4%74.6%0.0%15.2%-5.0%14.0K51.3K-3.2K0.1459.61N/AN/A71402199
2020-03-06$37.97$0.0054.1%13.2%42.4%65.4%0.0%18.4%-3.4%11.0K114.1K-3.0K0.0261.58N/AN/A521407201
2020-03-09$36.02$0.0088.3%18.3%45.3%100.0%0.0%22.7%-8.3%8.1K190.7K-2.8K0.0062.78N/AN/A70459201
2020-03-10$36.19$0.0083.3%17.9%45.4%93.4%0.0%20.4%-8.6%7.4K202.9K-2.7K0.0060.42N/AN/A210460201
2020-03-11$32.87$0.0066.4%19.0%55.2%70.8%0.0%21.7%-10.4%1.6K320.3K-2.1K0.0064.19N/AN/A09461201
2020-03-12$26.93$0.00107.4%30.8%85.8%100.0%106.9%31.2%-24.2%-1.2K403.1K-1.2K0.0159.70N/AN/A971461210
2020-03-13$31.84$25.0091.4%26.2%108.2%82.9%74.1%31.0%-15.6%2.1K283.0K-2.1K5.0068.39N/AN/A15484209
2020-03-16$29.82$35.00107.8%30.9%109.7%100.0%0.0%47.8%-32.1%1.5K274.4K-2.1K0.00119.29N/AN/A10485214
2020-03-17$31.38$35.00110.4%31.7%112.3%100.0%89.3%26.0%-17.8%765267.6K-2.2K0.1184.13N/AN/A91486214
2020-03-18$23.84$35.00114.2%32.7%145.4%100.0%0.0%36.5%-25.0%-1.4K411.2K-8390.0067.59N/AN/A00487213
2020-03-19$29.26$35.00114.0%32.7%166.9%99.8%83.2%45.4%-27.0%-466338.9K-1.8K1.2084.36N/AN/A56487213
2020-03-20$28.26$35.0079.6%22.8%166.5%65.7%65.8%26.0%-8.5%-1.1K405.9K-1.3K17.0072.30N/AN/A117488214
2020-03-23$25.92$35.0093.0%26.7%168.1%79.0%76.3%30.4%-13.6%-1.7K410.2K-1.0K1.7476.44N/AN/A120209226209
2020-03-24$29.95$35.0074.7%21.4%177.9%60.8%0.0%26.6%-9.6%-9.2K391.7K-2.7K0.2280.77N/AN/A92343414
2020-03-25$31.15$35.0086.9%24.9%178.8%72.9%36.2%28.2%-12.9%-7.6K270.1K-3.1K0.1483.22N/AN/A71346417
2020-03-26$30.16$35.0082.8%23.7%178.7%68.8%0.0%26.7%-13.4%-8.7K364.1K-2.8K1.0087.65N/AN/A11348418
2020-03-27$30.07$35.0084.5%24.2%178.6%70.5%0.0%23.7%-12.1%-8.4K363.5K-2.8K0.0078.81N/AN/A20353419
2020-03-30$30.41$35.0076.4%21.9%178.1%62.5%0.0%23.6%-9.9%-9.9K356.8K-2.7K0.0087.01N/AN/A160355418
2020-03-31$30.56$35.0071.0%20.4%177.3%57.1%76.2%21.1%-8.1%-11.0K359.3K-2.6K11.5091.96N/AN/A223361418