PCH Options History — August 2020

In August 2020, PCH traded between $43.38 and $47.46. ATM implied volatility averaged 30.6%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 7.9% (HV 20d: 22.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-08-24: Highest Volume — 845 contracts
  • 2020-08-31: Largest IV spike — 40.2% change
  • 2020-08-31: Highest IV Rank — 30.3%
  • 2020-08-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.41$43.38$47.46$43.38$46.26
Max Pain$43.33$40.00$45.00$40.00$45.00
ATM IV30.6%24.0%43.9%31.5%43.9%
Expected Move9.1%6.9%12.6%9.0%12.6%
HV 20d22.6%18.2%30.8%30.8%19.9%
HV 60d39.1%35.0%49.4%49.4%35.0%
IV Rank17.1%10.5%30.3%17.9%30.3%
IV Percentile49.9%29.8%75.4%50.8%75.4%
Term Structure5.6%2.1%12.6%2.9%12.6%
VWIV31.1%23.1%61.5%31.7%61.5%
Skew 25d11.4%4.8%41.1%10.3%38.9%
Skew 10d20.3%5.7%54.6%15.5%21.6%
Call IV 25d27.1%16.0%33.9%29.2%16.0%
Put IV 25d38.5%28.3%72.0%39.5%54.8%
Bid-Ask Spread %84.8971.65103.9886.97103.85
Gamma HHI0.580.330.820.510.37
Net GEX529.6K157.4K1.2M355.2K279.5K
Net DEX-13.8M-19.6M-11.3M-11.3M-12.8M
Net VEX-16.8K-21.6K-8.3K-21.6K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.860.000.71
Total Volume177.0483845312
Total OI4,664.1433,2735,1814,6754,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$43.38$40.0031.5%9.0%30.8%17.9%31.7%10.3%2.9%355.2K-11.3M-21.6K0.0086.97N/AN/A304,253422
2020-08-04$43.58$40.0030.6%8.8%29.9%17.1%30.8%8.8%3.8%377.1K-11.6M-21.6K0.0079.64N/AN/A11004,255422
2020-08-05$44.25$40.0029.7%8.5%29.6%16.2%29.8%5.5%6.1%417.7K-12.4M-21.6K0.0076.42N/AN/A7004,270422
2020-08-06$44.35$40.0027.5%10.0%28.8%14.0%35.0%41.1%5.7%447.3K-12.4M-19.9K0.0079.19N/AN/A20104,234422
2020-08-07$44.53$40.0030.2%10.3%25.6%16.7%36.7%7.5%3.6%491.1K-13.1M-20.6K0.0078.17N/AN/A15104,431422
2020-08-10$44.51$40.0030.8%10.0%24.1%17.3%34.4%6.6%5.7%571.7K-13.2M-20.2K0.0078.22N/AN/A2904,574422
2020-08-11$44.94$40.0029.8%9.7%23.4%16.3%33.5%9.4%6.1%626.2K-14.0M-20.2K0.0586.46N/AN/A9354,601419
2020-08-12$45.69$45.0033.7%9.7%21.7%20.1%28.3%7.6%5.6%680.8K-15.5M-18.3K0.0489.63N/AN/A2314,630422
2020-08-13$45.36$45.0032.9%9.4%21.4%19.4%28.4%6.9%6.4%725.4K-14.9M-19.8K1.3190.23N/AN/A16214,640421
2020-08-14$45.30$45.0032.3%9.3%19.8%18.8%32.0%7.4%6.5%779.0K-14.8M-19.6K0.5081.35N/AN/A1264,641442
2020-08-17$44.99$45.0032.0%9.2%19.8%18.5%0.0%6.3%6.1%1.0M-14.3M-16.9K1.0093.45N/AN/A10104,648448
2020-08-18$44.91$45.0030.4%8.7%19.5%16.9%29.9%6.4%7.5%1.2M-14.0M-16.8K0.1381.14N/AN/A1524,658438
2020-08-19$45.61$45.0027.9%8.0%19.9%14.4%26.4%4.8%6.7%1.2M-16.6M-13.1K0.00103.98N/AN/A3704,660437
2020-08-20$45.79$45.0029.3%8.4%18.2%15.8%29.1%5.0%2.3%999.8K-17.7M-10.0K0.0077.61N/AN/A8604,694437
2020-08-21$47.19$45.0027.7%8.0%20.4%14.3%27.1%5.0%4.2%167.0K-19.6M-8.3K0.4582.37N/AN/A161724,744437
2020-08-24$47.46$45.0024.0%6.9%19.6%10.5%23.1%4.8%11.5%157.4K-13.1M-9.7K1.3271.65N/AN/A3644813,130143
2020-08-25$46.27$45.0028.4%8.1%22.2%14.9%25.1%5.3%3.9%165.5K-11.8M-12.6K0.0076.94N/AN/A71503,335318
2020-08-26$45.85$45.0029.0%8.3%22.6%15.5%28.6%12.0%4.0%185.5K-11.7M-14.9K2.8691.08N/AN/A14403,495318
2020-08-27$46.42$45.0029.6%8.5%19.2%16.2%27.3%25.1%3.8%175.0K-12.1M-14.3K0.6288.87N/AN/A2281413,495354
2020-08-28$46.98$45.0031.3%9.0%19.3%17.8%24.1%13.5%2.1%185.7K-12.9M-15.8K0.0085.41N/AN/A58903,719499
2020-08-31$46.26$45.0043.9%12.6%19.9%30.3%61.5%38.9%12.6%279.5K-12.8M-17.0K0.71103.85N/AN/A754,276499