PCH Options History — November 2020

In November 2020, PCH traded between $41.77 and $46.72. ATM implied volatility averaged 32.2%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 5.2% (HV 20d: 37.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.59.

Notable Days

  • 2020-11-19: Highest Volume — 1,160 contracts
  • 2020-11-12: Largest IV spike — 43.8% change
  • 2020-11-02: Highest IV Rank — 34.0%
  • 2020-11-02: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.01$41.77$46.72$41.84$46.72
Max Pain$40.25$35.00$45.00$35.00$45.00
ATM IV32.2%23.1%47.6%47.6%38.3%
Expected Move9.4%7.4%13.6%13.6%11.0%
HV 20d37.3%28.3%41.6%35.9%28.3%
HV 60d33.8%32.3%34.9%32.3%33.8%
IV Rank18.6%9.7%34.0%34.0%24.7%
IV Percentile40.5%20.2%76.6%76.6%58.3%
Term Structure2.0%-3.5%7.9%-3.5%-1.6%
VWIV35.5%27.4%48.1%48.1%35.6%
Skew 25d8.1%4.5%14.8%9.8%7.8%
Skew 10d17.2%7.5%27.0%9.2%15.2%
Call IV 25d29.2%23.5%40.1%40.1%32.7%
Put IV 25d37.3%33.1%49.9%49.9%40.5%
Bid-Ask Spread %93.5554.72107.5969.5398.00
Gamma HHI0.570.290.900.380.63
Net GEX176.1K40.7K807.3K126.3K246.2K
Net DEX-9.8M-15.7M-3.9M-9.8M-5.1M
Net VEX-10.8K-18.0K-7.5K-10.3K-17.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0033.500.000.91
Total Volume160.521,1606563
Total OI4,288.32,8945,9354,4113,047

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$41.84$35.0047.6%13.6%35.9%34.0%48.1%9.8%-3.5%126.3K-9.8M-10.3K0.0069.53N/AN/A6503,679732
2020-11-03$43.05$35.0037.0%10.6%37.8%23.4%0.0%9.4%-0.9%105.2K-10.8M-8.7K0.0054.72N/AN/A6803,679732
2020-11-04$42.82$35.0026.3%7.5%37.7%12.8%0.0%4.5%2.2%64.8K-11.0M-7.7K0.0071.24N/AN/A10003,756732
2020-11-05$44.23$40.0028.8%9.1%38.6%15.3%0.0%5.1%4.3%93.7K-12.0M-8.4K0.0091.47N/AN/A5603,856732
2020-11-06$43.34$40.0024.0%8.4%39.1%10.5%34.2%5.7%6.0%75.3K-11.3M-8.0K10.0091.65N/AN/A1103,847732
2020-11-09$43.86$40.0023.1%7.8%39.1%9.7%27.4%5.6%7.4%91.1K-11.7M-7.7K0.0198.20N/AN/A8113,848725
2020-11-10$42.92$40.0026.1%7.8%39.1%12.6%33.8%5.6%6.6%81.4K-11.1M-7.7K33.5098.41N/AN/A2673,913725
2020-11-11$42.90$40.0025.9%7.4%38.9%12.5%33.5%7.7%7.9%67.5K-11.0M-7.7K0.0798.66N/AN/A4133,915791
2020-11-12$41.77$40.0037.3%10.7%39.1%23.7%34.9%6.4%0.7%40.7K-10.3M-7.5K0.8894.39N/AN/A86763,914794
2020-11-13$43.19$40.0031.0%8.9%41.4%17.5%35.2%7.2%3.9%80.8K-11.2M-8.4K0.0094.73N/AN/A10403,980870
2020-11-16$43.56$40.0030.5%8.7%41.6%17.0%30.2%7.5%3.7%94.3K-11.5M-7.5K0.00101.61N/AN/A6403,906838
2020-11-17$43.83$40.0029.3%8.4%40.3%15.8%0.0%7.8%5.0%122.0K-11.7M-7.6K0.00100.30N/AN/A203,969838
2020-11-18$44.35$40.0030.3%8.7%40.6%16.8%30.3%9.7%4.0%185.4K-12.1M-7.6K0.0098.20N/AN/A703,969838
2020-11-19$44.34$40.0032.9%9.4%40.1%19.4%32.5%12.1%0.4%215.6K-12.1M-7.5K0.00101.66N/AN/A1,16003,963838
2020-11-20$45.10$40.0034.8%10.0%40.7%21.3%39.6%7.7%-2.2%807.3K-15.7M-15.0K0.22100.35N/AN/A7611695,097838
2020-11-23$45.03$40.0033.7%9.6%34.6%20.1%35.4%13.7%-0.4%250.2K-3.9M-18.0K1.24105.08N/AN/A34422,169725
2020-11-24$46.06$45.0034.8%10.0%32.3%21.3%40.9%8.3%-1.3%260.7K-4.7M-17.8K1.8998.52N/AN/A9172,173746
2020-11-25$45.88$45.0035.9%10.3%30.8%22.3%40.8%5.4%-1.1%253.0K-4.5M-17.6K0.5096.77N/AN/A422,171756
2020-11-27$45.48$45.0035.6%10.2%30.8%22.1%0.0%14.8%-1.9%260.0K-4.2M-17.6K0.00107.59N/AN/A01152,175758
2020-11-30$46.72$45.0038.3%11.0%28.3%24.7%35.6%7.8%-1.6%246.2K-5.1M-17.5K0.9198.00N/AN/A33302,174873