PCH Options History — September 2020

In September 2020, PCH traded between $38.78 and $46.85. ATM implied volatility averaged 36.4%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 9.5% (HV 20d: 26.9%). 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 10.62.

Notable Days

  • 2020-09-11: Highest Volume — 782 contracts
  • 2020-09-02: Largest IV spike — 69.1% change
  • 2020-09-02: Highest IV Rank — 34.1%
  • 2020-09-02: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.22$38.78$46.85$46.85$41.94
Max Pain$43.10$40.00$45.00$45.00$40.00
ATM IV36.4%28.2%47.8%28.2%37.9%
Expected Move10.7%8.1%13.7%8.1%10.9%
HV 20d26.9%20.2%34.4%20.2%33.8%
HV 60d29.9%27.4%34.3%34.2%29.4%
IV Rank22.9%14.8%34.1%14.8%24.4%
IV Percentile60.8%44.4%77.8%44.4%63.1%
Term Structure4.0%1.2%21.6%7.5%3.7%
VWIV34.3%18.3%50.0%19.1%36.7%
Skew 25d9.3%3.9%32.9%11.4%4.8%
Skew 10d15.7%2.3%47.5%47.5%3.4%
Call IV 25d31.0%16.8%37.4%18.1%32.9%
Put IV 25d40.4%29.6%49.7%29.6%37.7%
Bid-Ask Spread %87.7674.3895.2881.0183.69
Gamma HHI0.510.340.740.340.49
Net GEX186.7K122.2K280.2K275.8K186.2K
Net DEX-9.2M-13.1M-7.2M-13.1M-9.8M
Net VEX-16.9K-19.3K-12.2K-14.4K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.620.00151.500.070.32
Total Volume123.8127821525
Total OI4,534.2863,7445,2584,7723,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$46.85$45.0028.2%8.1%20.2%14.8%19.1%11.4%7.5%275.8K-13.1M-14.4K0.0781.01N/AN/A1414,278494
2020-09-02$46.10$45.0047.8%13.7%20.9%34.1%18.3%32.9%21.6%280.2K-13.1M-12.2K0.0088.56N/AN/A11904,279495
2020-09-03$44.73$45.0036.3%11.1%23.8%22.8%0.0%6.7%2.6%210.4K-10.7M-18.5K0.0383.13N/AN/A670204,279495
2020-09-04$43.72$45.0028.8%10.5%25.1%15.3%50.0%13.0%2.5%187.6K-9.8M-18.5K5.2995.10N/AN/A7374,294515
2020-09-08$42.76$45.0032.1%10.9%26.2%18.6%38.9%6.8%3.1%178.6K-8.9M-18.7K0.1286.59N/AN/A1724,294552
2020-09-09$43.26$45.0034.6%9.9%26.4%21.0%35.3%10.5%2.0%178.7K-9.4M-16.3K0.0093.39N/AN/A20004,308554
2020-09-10$42.99$45.0034.9%10.0%25.5%21.4%36.6%4.7%3.7%182.1K-9.3M-17.0K151.5090.24N/AN/A23034,408554
2020-09-11$42.31$45.0038.6%11.1%25.9%25.0%36.3%7.7%2.4%122.2K-8.2M-19.3K0.6393.88N/AN/A4803024,407851
2020-09-14$42.92$40.0033.6%9.6%26.6%20.1%35.2%9.0%3.7%160.7K-9.4M-16.9K0.4395.28N/AN/A734,413653
2020-09-15$43.02$45.0032.9%9.4%26.6%19.4%35.2%8.3%3.2%160.5K-9.6M-15.7K1.3390.33N/AN/A344,413656
2020-09-16$42.45$45.0037.4%10.7%26.9%23.9%0.0%7.8%1.7%161.8K-9.1M-17.2K50.0084.61N/AN/A1504,413655
2020-09-17$41.84$45.0040.1%11.5%26.3%26.5%30.1%7.5%1.2%162.2K-8.4M-18.0K0.0088.41N/AN/A024,412705
2020-09-18$40.93$45.0036.8%10.5%26.8%23.2%33.4%7.3%2.8%176.6K-7.7M-17.3K0.8080.30N/AN/A544,412706
2020-09-21$39.41$45.0040.0%11.5%25.6%26.4%26.9%15.0%1.8%186.7K-7.6M-17.8K1.2090.10N/AN/A563,408362
2020-09-22$40.12$40.0036.6%10.5%26.9%23.0%31.9%9.2%3.0%180.2K-8.2M-17.0K0.0974.38N/AN/A4643,403362
2020-09-23$39.04$40.0037.5%10.8%27.1%24.0%39.2%6.2%3.0%186.4K-7.4M-17.8K0.3680.53N/AN/A1143,380364
2020-09-24$38.78$40.0037.0%10.6%27.1%23.4%41.1%12.8%3.1%193.8K-7.2M-17.6K0.0393.46N/AN/A12033,390368
2020-09-25$39.77$40.0036.6%10.5%28.7%23.0%36.5%3.9%4.4%184.6K-8.0M-17.3K0.0092.69N/AN/A2303,506366
2020-09-28$41.75$40.0038.4%11.0%34.4%24.8%35.4%4.8%3.9%178.7K-9.5M-15.6K0.0091.79N/AN/A9303,523365
2020-09-29$41.85$40.0039.0%11.2%34.3%25.4%35.0%5.9%3.9%187.4K-9.7M-16.0K0.1785.55N/AN/A613,599365
2020-09-30$41.94$40.0037.9%10.9%33.8%24.4%36.7%4.8%3.7%186.2K-9.8M-14.9K0.3283.69N/AN/A1963,600364