PCH Options History — December 2020

In December 2020, PCH traded between $45.34 and $51.03. ATM implied volatility averaged 35.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.0% (HV 20d: 28.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2020-12-28: Highest Volume — 3,879 contracts
  • 2020-12-18: Largest IV spike — 58.6% change
  • 2020-12-18: Highest IV Rank — 35.2%
  • 2020-12-18: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.56$45.34$51.03$46.58$50.34
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.0%30.2%48.9%38.6%37.1%
Expected Move10.0%8.7%14.0%11.1%10.6%
HV 20d28.0%22.1%32.2%28.3%28.8%
HV 60d33.2%32.0%34.2%33.5%32.0%
IV Rank21.4%16.7%35.2%25.0%22.3%
IV Percentile45.1%26.6%78.2%58.7%52.0%
Term Structure1.6%-8.6%5.4%-2.8%1.6%
VWIV37.5%27.9%65.1%38.5%35.9%
Skew 25d6.6%-19.5%15.6%11.7%7.2%
Skew 10d14.3%0.3%24.6%18.1%11.9%
Call IV 25d31.6%25.8%55.0%29.6%34.0%
Put IV 25d38.2%34.2%44.0%41.3%41.2%
Bid-Ask Spread %92.6484.12106.75100.5590.95
Gamma HHI0.560.380.720.620.62
Net GEX269.3K132.5K514.9K249.0K514.9K
Net DEX-6.9M-11.2M-3.7M-5.1M-11.1M
Net VEX-16.6K-29.5K-10.6K-17.2K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.006.706.700.01
Total Volume407.54513,87977426
Total OI3,605.2272,8056,1453,0956,145

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$46.58$45.0038.6%11.1%28.3%25.0%0.0%11.7%-2.8%249.0K-5.1M-17.2K6.70100.55N/AN/A10672,200895
2020-12-02$45.34$45.0037.1%10.6%29.1%23.6%38.5%15.6%-2.8%245.9K-3.7M-17.8K4.00104.83N/AN/A5202,200962
2020-12-03$45.53$45.0034.7%9.9%29.0%21.1%0.0%6.5%2.2%265.9K-3.9M-17.5K1.2084.12N/AN/A562,205972
2020-12-04$46.03$45.0035.0%9.7%27.1%21.5%32.4%4.8%2.2%292.1K-4.4M-16.9K0.0087.69N/AN/A302,210978
2020-12-07$45.39$45.0035.4%9.5%26.4%21.8%0.0%6.2%2.7%303.2K-3.8M-16.5K0.0088.72N/AN/A012,209978
2020-12-08$46.23$45.0036.2%9.6%26.9%22.6%65.1%6.1%1.9%315.2K-4.7M-15.9K2.5091.90N/AN/A252,209979
2020-12-09$47.68$45.0031.6%9.1%27.0%18.1%27.9%9.5%2.7%291.9K-6.2M-14.7K0.0094.89N/AN/A9402,210979
2020-12-10$47.76$45.0030.8%8.8%27.0%17.3%30.7%6.5%3.6%303.0K-6.4M-14.6K2.3390.59N/AN/A12282,264979
2020-12-11$47.99$45.0031.4%9.0%24.2%17.9%36.5%10.7%2.3%291.7K-6.6M-14.4K2.7087.11N/AN/A10272,272982
2020-12-14$48.33$45.0031.4%9.0%22.1%17.9%31.6%5.9%2.9%212.8K-7.1M-14.1K1.0691.37N/AN/A36382,272982
2020-12-15$50.24$45.0030.6%8.8%25.0%17.1%30.3%7.0%4.4%183.1K-8.5M-11.3K0.0092.73N/AN/A5802,2911,018
2020-12-16$50.50$45.0030.2%8.7%25.0%16.7%29.6%6.9%5.4%170.5K-8.8M-11.6K0.0792.41N/AN/A4332,3141,018
2020-12-17$51.03$45.0030.8%8.8%25.0%17.3%41.6%7.0%3.3%163.8K-9.1M-10.6K0.0789.48N/AN/A1,039712,3101,018
2020-12-18$49.55$45.0048.9%14.0%28.1%35.2%37.3%-19.5%-8.6%148.0K-7.2M-12.9K0.41106.75N/AN/A61252,2231,089
2020-12-21$48.35$45.0033.0%9.5%29.6%19.5%0.0%11.3%2.8%167.3K-4.9M-13.1K0.0095.42N/AN/A0111,912893
2020-12-22$48.91$45.0031.7%9.1%29.7%18.2%0.0%6.3%4.2%165.5K-5.5M-11.9K1.3391.94N/AN/A341,912894
2020-12-23$50.97$45.0035.7%10.2%31.9%22.1%30.9%6.9%1.8%132.5K-6.8M-10.8K0.0095.42N/AN/A1,19401,912898
2020-12-24$50.46$45.0036.0%10.3%32.2%22.5%43.3%7.7%2.3%257.4K-7.8M-17.5K3.0090.06N/AN/A11332,886898
2020-12-28$50.56$45.0037.8%10.8%31.8%24.2%38.9%7.4%1.0%255.4K-8.2M-16.8K0.0290.28N/AN/A3,820592,887932
2020-12-29$50.21$45.0038.7%11.1%31.1%25.1%45.5%7.4%1.3%489.2K-10.8M-29.5K0.0391.16N/AN/A1,307364,893979
2020-12-30$50.41$45.0037.7%10.8%31.0%24.1%41.7%5.2%1.7%506.8K-11.2M-29.5K0.0989.68N/AN/A362315,0461,010
2020-12-31$50.34$45.0037.1%10.6%28.8%22.3%35.9%7.2%1.6%514.9K-11.1M-29.3K0.0190.95N/AN/A42155,1031,042