PCH Options History — January 2021

In January 2021, PCH traded between $47.88 and $52.57. ATM implied volatility averaged 41.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 13.4% (HV 20d: 27.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.04.

Notable Days

  • 2021-01-12: Highest Volume — 2,784 contracts
  • 2021-01-11: Largest IV spike — 21.4% change
  • 2021-01-29: Highest IV Rank — 35.6%
  • 2021-01-29: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.60$47.88$52.57$50.12$47.88
Max Pain$42.63$40.00$45.00$40.00$45.00
ATM IV41.0%34.7%50.9%43.5%50.9%
Expected Move11.6%10.0%14.6%11.7%14.6%
HV 20d27.6%18.4%35.4%29.0%35.4%
HV 60d31.2%27.9%32.3%32.0%31.6%
IV Rank25.5%19.1%35.6%28.8%35.6%
IV Percentile62.4%36.5%79.4%72.6%79.4%
Term Structure-1.1%-4.9%1.1%-1.6%-4.9%
VWIV38.8%33.5%51.9%39.7%51.9%
Skew 25d5.3%3.4%10.2%3.8%10.2%
Skew 10d14.1%5.3%35.7%10.1%30.3%
Call IV 25d38.4%32.9%50.4%39.4%50.4%
Put IV 25d43.8%39.9%60.6%43.2%60.6%
Bid-Ask Spread %79.0773.5790.3675.3690.36
Gamma HHI0.780.610.880.610.72
Net GEX613.1K380.8K980.2K518.7K383.9K
Net DEX-9.6M-13.6M-3.3M-10.9M-4.0M
Net VEX-25.0K-30.7K-16.5K-28.8K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.240.010.24
Total Volume606.5791512,784276176
Total OI6,192.4215,5147,5786,2605,725

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$50.12$40.0043.5%11.7%29.0%28.8%39.7%3.8%-1.6%518.7K-10.9M-28.8K0.0175.36N/AN/A27335,2191,041
2021-01-05$50.40$40.0040.4%11.4%28.9%25.6%37.5%5.2%-1.0%528.8K-11.1M-27.4K0.0474.65N/AN/A15965,1681,043
2021-01-06$50.59$40.0041.4%11.4%28.1%25.9%37.5%5.6%-2.2%526.8K-11.3M-26.3K0.0073.57N/AN/A15105,1011,040
2021-01-07$52.11$40.0039.4%11.1%29.1%23.9%35.0%6.3%-0.5%536.8K-13.6M-26.0K0.0075.01N/AN/A20315,0041,040
2021-01-08$50.90$40.0037.8%11.1%29.3%22.3%37.2%4.5%-1.6%478.4K-11.9M-24.6K0.0075.88N/AN/A21104,8811,040
2021-01-11$50.07$40.0045.9%11.4%30.1%30.5%38.5%5.1%-1.8%447.0K-10.3M-20.8K0.0478.29N/AN/A275104,7681,040
2021-01-12$50.32$40.0042.1%11.6%30.1%26.6%40.8%3.4%-1.4%384.9K-10.7M-19.6K0.0175.30N/AN/A2,755294,6311,047
2021-01-13$49.95$40.0039.2%11.2%30.2%23.7%38.8%3.6%-2.4%527.2K-11.8M-26.5K0.0076.59N/AN/A62906,1901,076
2021-01-14$50.35$40.0039.8%11.4%27.0%24.3%37.8%5.0%-1.6%586.8K-12.4M-26.9K0.1673.64N/AN/A268436,3751,076
2021-01-15$50.46$45.0038.7%11.1%27.0%23.1%37.9%3.8%-0.0%640.1K-12.9M-26.9K0.0481.43N/AN/A500216,4601,118
2021-01-19$50.75$45.0037.6%10.8%26.8%22.1%36.1%6.0%-0.1%747.7K-7.1M-26.4K0.0181.63N/AN/A79685,333620
2021-01-20$51.61$45.0037.6%10.8%25.1%22.1%35.4%4.7%0.0%895.5K-9.2M-30.2K0.0578.63N/AN/A17295,697622
2021-01-21$52.06$45.0037.9%10.9%23.1%22.3%33.5%7.0%-0.5%974.7K-9.6M-30.7K0.0179.39N/AN/A25335,592628
2021-01-22$52.57$45.0034.7%10.0%23.1%19.1%34.4%6.0%1.1%980.2K-10.4M-30.6K0.0381.09N/AN/A327115,446631
2021-01-25$52.36$45.0039.6%11.4%18.4%24.1%38.8%3.4%-0.3%926.7K-10.1M-27.6K0.0378.33N/AN/A2,647745,331627
2021-01-26$50.95$45.0041.2%11.8%20.7%25.7%39.9%3.8%-2.5%646.8K-6.5M-22.1K0.0982.50N/AN/A575494,812702
2021-01-27$48.03$45.0044.9%12.9%29.5%29.5%43.4%5.4%0.2%380.8K-3.3M-16.5K0.0683.81N/AN/A594344,939746
2021-01-28$49.83$45.0045.4%13.0%32.6%30.0%42.1%8.9%0.8%536.6K-5.6M-20.0K0.0086.93N/AN/A26005,065782
2021-01-29$47.88$45.0050.9%14.6%35.4%35.6%51.9%10.2%-4.9%383.9K-4.0M-18.0K0.2490.36N/AN/A142344,943782