PCH Options History — June 2020

In June 2020, PCH traded between $34.69 and $38.71. ATM implied volatility averaged 45.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 9.7% (HV 20d: 55.3%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2020-06-04: Highest Volume — 2,740 contracts
  • 2020-06-10: Largest IV spike — 55.1% change
  • 2020-06-24: Highest IV Rank — 45.8%
  • 2020-06-24: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.81$34.69$38.71$35.09$38.07
Max Pain$31.82$25.00$35.00$30.00$35.00
ATM IV45.7%28.0%59.5%37.1%36.8%
Expected Move13.3%9.0%17.1%10.6%10.5%
HV 20d55.3%48.3%64.7%63.7%51.5%
HV 60d85.1%60.4%116.9%116.9%60.4%
IV Rank32.0%14.5%45.8%23.5%23.2%
IV Percentile77.4%57.9%88.1%73.0%66.3%
Term Structure-0.0%-5.9%13.4%4.7%6.2%
VWIV46.9%31.4%63.5%37.1%36.9%
Skew 25d14.5%8.5%46.6%46.6%11.7%
Skew 10d32.3%20.0%73.7%73.7%28.1%
Call IV 25d40.1%19.9%52.1%30.8%35.8%
Put IV 25d54.6%36.9%77.4%77.4%47.5%
Bid-Ask Spread %83.2459.34101.3390.8995.37
Gamma HHI0.700.480.930.920.52
Net GEX160.9K114.8K297.3K116.3K297.3K
Net DEX-5.9M-7.6M-4.4M-4.4M-7.6M
Net VEX-26.0K-27.7K-25.2K-25.9K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.007.130.000.30
Total Volume246.63612,740143
Total OI3,779.4553,1934,4523,1934,447

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$35.09$30.0037.1%10.6%63.7%23.5%37.1%46.6%4.7%116.3K-4.4M-25.9K0.0090.89N/AN/A102,731462
2020-06-02$35.49$30.0036.7%10.5%63.8%23.1%0.0%30.8%3.3%120.9K-4.7M-26.0K0.0088.07N/AN/A012,732462
2020-06-03$36.77$30.0031.4%9.0%64.5%17.9%31.4%17.0%13.4%121.7K-5.4M-26.2K3.46101.33N/AN/A13452,732463
2020-06-04$36.26$30.0037.9%11.6%64.3%24.3%45.6%8.5%0.1%114.8K-5.2M-26.2K0.0692.11N/AN/A2,5841562,727497
2020-06-05$37.18$30.0037.2%11.2%64.7%23.6%0.0%9.1%1.4%118.5K-5.8M-25.9K0.0096.48N/AN/A102,733497
2020-06-08$38.71$30.0030.5%10.1%61.0%17.0%41.3%14.1%1.2%124.7K-6.7M-25.7K0.0094.18N/AN/A51602,779497
2020-06-09$38.44$30.0028.0%10.6%58.4%14.5%0.0%14.5%1.0%233.6K-6.9M-26.3K0.0099.16N/AN/A32603,282497
2020-06-10$37.20$30.0043.4%12.4%55.9%29.8%37.6%11.1%-1.1%238.1K-6.3M-26.8K0.0090.21N/AN/A4103,681497
2020-06-11$34.69$30.0053.7%15.4%58.2%40.0%63.5%12.8%-4.0%141.1K-4.5M-25.9K7.1377.71N/AN/A8573,719497
2020-06-12$34.83$30.0053.6%15.4%58.0%39.9%54.2%13.0%-4.2%138.5K-4.5M-25.6K0.0081.52N/AN/A4203,727483
2020-06-15$35.97$25.0058.9%16.9%58.2%45.2%52.6%13.1%-5.9%169.4K-5.4M-26.2K0.0074.71N/AN/A10203,766463
2020-06-16$37.44$25.0057.5%16.5%48.7%43.7%52.7%13.0%-4.7%243.3K-6.6M-26.4K0.0783.72N/AN/A1413,868463
2020-06-17$36.23$35.0055.5%15.9%49.0%41.7%55.6%12.6%-4.3%149.5K-5.6M-25.7K1.0086.72N/AN/A113,863464
2020-06-18$36.04$35.0054.9%15.8%48.3%41.2%0.0%12.6%-4.4%135.0K-5.4M-25.6K0.0080.25N/AN/A203,863464
2020-06-19$37.84$35.0046.7%13.4%50.9%33.1%46.2%11.5%-1.0%120.0K-6.5M-25.6K0.0085.44N/AN/A1903,865465
2020-06-22$38.06$35.0047.8%13.7%50.5%34.2%54.4%10.1%-0.0%125.6K-6.4M-25.4K0.0072.86N/AN/A5502,885341
2020-06-23$38.21$35.0045.0%12.9%48.3%31.4%47.5%9.5%0.1%134.1K-6.7M-25.5K1.1676.64N/AN/A1121302,936341
2020-06-24$37.30$35.0059.5%17.1%49.2%45.8%54.8%14.0%-4.2%133.3K-6.1M-25.6K0.5465.61N/AN/A26142,978341
2020-06-25$36.72$35.0048.3%13.9%49.4%34.7%42.0%10.3%2.7%136.0K-5.7M-25.2K0.0070.65N/AN/A47102,993354
2020-06-26$35.68$35.0052.6%15.1%49.4%38.9%47.8%11.6%-0.8%167.8K-5.4M-25.8K0.2059.34N/AN/A5151013,487354
2020-06-29$37.50$35.0051.9%14.9%51.4%38.2%44.0%10.7%-0.3%260.3K-7.1M-27.7K0.0068.31N/AN/A2803,997455
2020-06-30$38.07$35.0036.8%10.5%51.5%23.2%36.9%11.7%6.2%297.3K-7.6M-27.5K0.3095.37N/AN/A33103,992455