PCH Options History — October 2020

In October 2020, PCH traded between $41.22 and $47.48. ATM implied volatility averaged 38.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.8% (HV 20d: 33.8%). 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 7 of 22 days. Put/call ratio averaged 5.65.

Notable Days

  • 2020-10-14: Highest Volume — 159 contracts
  • 2020-10-12: Largest IV spike — 45.7% change
  • 2020-10-28: Highest IV Rank — 36.5%
  • 2020-10-28: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.20$41.22$47.48$43.06$41.22
Max Pain$35.45$35.00$40.00$40.00$35.00
ATM IV38.6%26.6%50.1%28.2%49.8%
Expected Move11.8%8.1%14.4%8.1%14.3%
HV 20d33.8%27.4%37.4%35.4%37.4%
HV 60d28.9%27.4%32.1%29.6%32.1%
IV Rank25.0%13.1%36.5%14.7%36.1%
IV Percentile61.5%31.0%79.0%36.1%78.6%
Term Structure-0.3%-9.6%9.4%9.4%-9.6%
VWIV39.6%29.7%56.5%29.7%47.2%
Skew 25d6.8%-21.6%11.6%9.2%-21.6%
Skew 10d20.3%10.1%30.4%10.1%30.4%
Call IV 25d38.4%29.6%78.0%29.6%78.0%
Put IV 25d45.3%38.9%56.4%38.9%56.4%
Bid-Ask Spread %85.6573.95116.2483.51116.24
Gamma HHI0.320.260.470.420.47
Net GEX165.6K127.6K220.7K183.4K166.0K
Net DEX-12.3M-14.0M-8.9M-10.7M-8.9M
Net VEX-11.9K-14.5K-10.4K-14.5K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.650.0076.000.014.39
Total Volume59.77301598897
Total OI4,176.1823,9684,3763,9684,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$43.06$40.0028.2%8.1%35.4%14.7%29.7%9.2%9.4%183.4K-10.7M-14.5K0.0183.51N/AN/A8713,606362
2020-10-02$44.01$40.0032.6%9.3%35.0%19.0%32.6%11.6%7.5%196.1K-11.5M-14.4K0.0089.04N/AN/A1703,680362
2020-10-05$45.36$35.0032.4%11.8%35.6%18.9%35.7%6.3%0.5%184.8K-12.6M-12.7K0.0279.99N/AN/A4313,663362
2020-10-06$45.20$35.0036.5%11.7%34.5%23.0%34.0%7.8%1.2%183.5K-12.4M-12.6K0.0085.88N/AN/A6903,659362
2020-10-07$45.44$35.0030.8%11.6%34.4%17.3%37.8%7.9%0.5%189.5K-12.6M-12.0K0.0081.84N/AN/A2703,702362
2020-10-08$46.50$35.0027.0%11.3%35.0%13.5%35.6%9.4%1.7%181.9K-13.3M-12.0K0.0084.06N/AN/A6503,700362
2020-10-09$46.51$35.0026.6%10.8%34.2%13.1%35.2%5.3%3.0%173.8K-13.7M-10.4K0.0080.52N/AN/A2703,753362
2020-10-12$47.11$35.0038.8%12.1%34.2%25.2%37.7%7.9%-0.9%175.8K-14.0M-10.7K0.0082.31N/AN/A9003,756362
2020-10-13$46.11$35.0036.6%11.7%35.4%23.1%37.9%8.4%-0.2%186.7K-13.4M-10.8K0.0084.60N/AN/A1603,805362
2020-10-14$45.45$35.0040.7%11.7%35.5%27.1%41.6%6.5%-0.7%220.7K-12.6M-12.3K12.2584.53N/AN/A121473,807362
2020-10-15$46.20$35.0041.7%12.0%35.1%28.1%43.0%9.0%-0.8%186.8K-13.1M-12.5K76.0085.20N/AN/A1763,791509
2020-10-16$45.81$35.0040.2%11.5%34.0%26.6%41.1%8.3%-1.3%145.9K-12.8M-12.7K0.0984.94N/AN/A5553,791585
2020-10-19$45.65$35.0041.5%11.9%30.2%27.9%37.2%8.1%-1.7%143.6K-12.3M-12.7K0.4086.86N/AN/A523,614582
2020-10-20$46.88$35.0042.9%12.3%30.8%29.3%38.4%7.6%-1.6%130.6K-13.3M-11.4K0.0079.81N/AN/A6203,617582
2020-10-21$46.60$35.0041.6%11.9%28.4%28.0%56.5%7.6%-2.1%150.4K-12.9M-12.1K22.2088.04N/AN/A51113,641582
2020-10-22$47.34$35.0042.2%12.1%27.9%28.6%41.1%7.9%-1.8%127.6K-13.7M-10.6K0.0091.18N/AN/A903,645573
2020-10-23$47.48$35.0042.5%12.2%27.4%28.9%38.0%8.0%-2.3%131.3K-13.7M-10.8K0.0083.56N/AN/A5103,651573
2020-10-26$44.73$35.0046.6%13.4%32.9%32.9%43.6%9.8%-3.7%144.2K-11.8M-11.3K0.4173.95N/AN/A37153,660573
2020-10-27$43.06$35.0039.3%11.3%36.1%25.7%39.6%6.6%-1.7%142.3K-10.7M-10.7K0.4888.64N/AN/A67323,698582
2020-10-28$42.03$35.0050.1%14.4%37.2%36.5%0.0%9.6%-2.7%155.4K-9.9M-11.4K0.0084.49N/AN/A003,673594
2020-10-29$42.70$35.0040.7%11.7%36.4%27.1%48.6%8.9%-0.2%142.9K-10.3M-10.8K2.3285.16N/AN/A25583,673595
2020-10-30$41.22$35.0049.8%14.3%37.4%36.1%47.2%-21.6%-9.6%166.0K-8.9M-13.1K4.39116.24N/AN/A18793,688653