PCH Options History — July 2020

In July 2020, PCH traded between $37.52 and $43.97. ATM implied volatility averaged 37.8%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.0% (HV 20d: 38.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2020-07-28: Highest Volume — 888 contracts
  • 2020-07-31: Largest IV spike — 55.6% change
  • 2020-07-31: Highest IV Rank — 46.7%
  • 2020-07-31: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$37.52$43.97$38.22$42.62
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV37.8%30.3%60.5%34.6%60.5%
Expected Move11.6%8.7%17.3%9.9%17.3%
HV 20d38.8%27.6%50.1%50.1%30.7%
HV 60d54.7%49.2%59.1%59.1%49.4%
IV Rank24.2%16.8%46.7%21.0%46.7%
IV Percentile65.3%50.0%88.9%62.3%88.9%
Term Structure2.1%-22.2%27.5%27.5%-22.2%
VWIV41.4%33.5%70.8%35.3%70.8%
Skew 25d7.3%-20.3%11.8%11.8%-20.3%
Skew 10d22.9%10.6%52.9%14.9%48.2%
Call IV 25d37.6%25.6%62.0%35.4%62.0%
Put IV 25d44.9%31.6%52.4%47.1%41.7%
Bid-Ask Spread %86.0261.41114.7484.53113.27
Gamma HHI0.630.430.820.530.43
Net GEX391.5K117.1K1.2M324.3K277.5K
Net DEX-9.8M-16.1M-7.0M-7.8M-11.2M
Net VEX-23.3K-26.9K-19.0K-26.9K-22.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.0011.000.000.00
Total Volume144.86418881843
Total OI4,482.2733,2995,2694,4774,644

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$38.22$35.0034.6%9.9%50.1%21.0%35.3%11.8%27.5%324.3K-7.8M-26.9K0.0084.53N/AN/A1804,012465
2020-07-02$38.21$35.0030.3%8.7%49.8%16.8%33.5%6.5%5.1%341.2K-7.7M-26.8K0.0477.68N/AN/A547204,028465
2020-07-06$38.02$40.0031.3%11.2%49.1%17.8%40.8%8.1%2.1%429.2K-7.6M-26.5K2.0785.34N/AN/A761574,556485
2020-07-07$37.52$40.0032.2%11.8%47.1%18.7%0.0%9.2%1.7%367.5K-7.0M-26.4K0.0084.00N/AN/A1004,556535
2020-07-08$38.30$40.0031.3%11.8%47.7%17.8%0.0%8.8%1.7%460.7K-7.9M-26.5K1.0082.22N/AN/A10104,566535
2020-07-09$37.83$40.0032.2%12.1%46.4%18.7%0.0%10.9%-0.2%398.7K-7.1M-25.8K0.0086.77N/AN/A014,566535
2020-07-10$39.51$40.0031.5%12.6%40.5%17.9%44.7%8.0%-0.8%708.9K-10.0M-26.1K0.0284.95N/AN/A5014,566535
2020-07-13$38.82$40.0039.6%13.0%41.4%26.0%44.6%10.4%0.3%602.3K-8.5M-25.1K0.0083.80N/AN/A12004,592534
2020-07-14$39.74$40.0037.9%12.8%40.8%24.3%43.7%7.5%2.0%893.2K-10.5M-25.4K0.0089.20N/AN/A4804,687534
2020-07-15$41.02$40.0044.6%12.8%39.9%30.9%43.1%10.6%1.2%851.6K-14.1M-23.8K1.2887.69N/AN/A1161484,725534
2020-07-16$40.59$40.0043.8%12.6%37.9%30.2%37.8%9.8%0.7%1.2M-13.6M-23.3K0.5086.74N/AN/A214,725544
2020-07-17$41.75$40.0041.7%12.0%38.4%28.1%37.4%11.6%0.5%117.1K-16.1M-21.1K0.0187.40N/AN/A7914,724544
2020-07-20$41.48$40.0039.6%11.3%35.4%26.0%37.7%7.8%2.4%123.2K-8.4M-20.7K0.4783.70N/AN/A1992,898401
2020-07-21$41.17$40.0042.1%12.1%35.7%28.5%39.2%9.9%0.2%130.0K-8.3M-20.8K2.5084.82N/AN/A4102,929401
2020-07-22$41.50$40.0039.4%11.3%35.7%25.8%39.5%8.2%2.7%129.2K-8.5M-20.6K11.0089.66N/AN/A4442,931401
2020-07-23$42.60$40.0033.7%9.7%34.9%20.2%34.6%10.0%2.9%126.0K-9.1M-19.5K0.0090.12N/AN/A23902,932421
2020-07-24$42.56$40.0035.3%10.1%34.0%21.8%39.7%6.6%2.1%154.5K-9.5M-20.5K0.0087.84N/AN/A7803,150421
2020-07-27$43.43$40.0036.7%10.5%31.5%23.2%34.9%7.3%15.8%161.5K-10.3M-19.0K0.0061.41N/AN/A26103,175421
2020-07-28$43.62$40.0043.0%12.3%27.8%29.4%39.8%2.5%4.2%181.8K-10.7M-19.1K0.00114.74N/AN/A88623,389421
2020-07-29$43.97$40.0030.5%8.7%27.6%17.0%51.1%10.6%3.4%355.0K-11.9M-22.3K0.0266.56N/AN/A5014,144422
2020-07-30$42.64$40.0038.9%11.2%30.7%25.3%38.2%5.2%-7.6%300.5K-10.8M-23.1K0.0079.95N/AN/A12204,139422
2020-07-31$42.62$40.0060.5%17.3%30.7%46.7%70.8%-20.3%-22.2%277.5K-11.2M-22.4K0.00113.27N/AN/A4304,222422