PCH Options History — May 2020

In May 2020, PCH traded between $30.51 and $36.48. ATM implied volatility averaged 42.9%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 27.0% (HV 20d: 69.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-05-12: Highest Volume — 2,565 contracts
  • 2020-05-07: Largest IV spike — 103.3% change
  • 2020-05-07: Highest IV Rank — 63.4%
  • 2020-05-13: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.50$30.51$36.48$32.74$34.11
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV42.9%21.6%77.3%39.2%36.4%
Expected Move12.5%9.9%16.0%11.2%10.4%
HV 20d69.8%61.8%76.4%74.2%68.4%
HV 60d115.9%113.5%117.8%113.6%117.0%
IV Rank29.3%8.1%63.4%25.6%22.8%
IV Percentile76.8%27.0%94.0%79.4%72.6%
Term Structure0.9%-11.7%4.9%4.9%3.2%
VWIV43.6%20.7%56.0%56.0%36.6%
Skew 25d13.0%5.1%39.9%9.0%8.5%
Skew 10d30.2%14.6%66.9%49.2%14.6%
Call IV 25d39.6%25.9%61.5%45.0%34.1%
Put IV 25d52.6%42.6%66.7%54.0%42.6%
Bid-Ask Spread %90.4074.97130.05103.49101.84
Gamma HHI0.640.360.920.380.78
Net GEX45.6K-25.1K115.8K-23.6K100.0K
Net DEX-2.1M-4.7M357.4K329.4K-3.9M
Net VEX-16.4K-26.4K-2.5K-3.2K-25.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.000.060.07
Total Volume138.302,565315
Total OI2,395.11,0783,6521,0783,178

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$32.74$30.0039.2%11.2%74.2%25.6%56.0%9.0%4.9%-23.6K329.4K-3.2K0.00103.49N/AN/A03435643
2020-05-04$32.99$30.0040.8%14.2%66.8%27.2%0.0%11.0%-0.7%-23.7K309.1K-3.0K0.0084.14N/AN/A00435644
2020-05-05$32.62$30.0040.2%13.3%64.3%26.6%51.9%9.7%0.4%-24.0K357.4K-2.8K0.0087.56N/AN/A010435644
2020-05-06$33.51$30.0038.0%13.6%63.3%24.5%0.0%12.6%0.8%-22.1K181.2K-3.0K0.0091.10N/AN/A00435647
2020-05-07$33.89$30.0077.3%15.4%61.8%63.4%0.0%5.1%-11.7%-18.6K143.2K-3.3K0.00130.05N/AN/A00435647
2020-05-08$36.48$30.0021.6%12.1%64.3%8.1%0.0%10.4%2.5%-15.8K-380.0K-2.8K0.0096.26N/AN/A03435647
2020-05-11$34.86$30.0037.4%11.9%62.7%23.8%41.1%10.6%2.1%-25.1K-6.4K-2.8K0.0697.14N/AN/A181433650
2020-05-12$33.01$30.0052.6%11.8%65.0%38.9%0.0%14.3%2.1%-22.4K323.5K-2.5K0.0097.46N/AN/A2,5596441650
2020-05-13$31.23$30.0055.8%16.0%67.6%42.1%48.1%12.8%-3.8%60.5K-2.7M-24.1K0.6089.80N/AN/A532,991656
2020-05-14$30.94$30.0054.5%15.6%67.7%40.8%50.7%12.3%-0.6%51.1K-2.6M-23.8K0.6580.10N/AN/A20132,993659
2020-05-15$30.51$30.0052.8%15.1%67.6%39.1%53.0%8.7%-1.1%77.7K-2.5M-23.4K0.0074.97N/AN/A012,987646
2020-05-18$33.73$30.0040.2%11.5%76.4%26.6%40.0%15.5%2.6%97.5K-3.8M-26.2K1.5075.79N/AN/A14212,711367
2020-05-19$32.76$30.0039.7%11.4%76.3%26.1%0.0%13.8%1.9%94.1K-3.3M-25.1K1.5080.12N/AN/A462,710379
2020-05-20$33.73$30.0040.8%11.7%76.0%27.2%0.0%13.0%1.1%93.5K-3.7M-26.2K0.0094.90N/AN/A302,714450
2020-05-21$33.80$30.0041.7%11.9%76.0%28.1%40.9%14.8%1.9%96.9K-3.8M-26.2K2.0087.16N/AN/A122,714450
2020-05-22$33.43$30.0039.7%11.4%75.9%26.1%37.0%9.4%2.7%91.9K-3.6M-25.7K0.0079.98N/AN/A302,706452
2020-05-26$35.01$30.0037.6%10.8%76.2%24.0%47.0%13.1%2.6%103.5K-4.4M-26.3K0.0984.64N/AN/A2322,706451
2020-05-27$35.50$30.0034.6%9.9%75.8%21.1%0.0%39.9%4.1%115.8K-4.7M-26.4K0.0086.44N/AN/A0102,707451
2020-05-28$35.12$30.0036.5%10.5%70.7%22.9%20.7%15.7%2.9%104.5K-4.5M-26.2K0.0085.01N/AN/A2002,707461
2020-05-29$34.11$30.0036.4%10.4%68.4%22.8%36.6%8.5%3.2%100.0K-3.9M-25.6K0.07101.84N/AN/A1412,717461