PCH Options History — November 2021

In November 2021, PCH traded between $53.26 and $57.51. ATM implied volatility averaged 24.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 9.1% (HV 20d: 33.5%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-11-03: Highest Volume — 820 contracts
  • 2021-11-03: Largest IV spike — 32.3% change
  • 2021-11-30: Highest IV Rank — 31.4%
  • 2021-11-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.08$53.26$57.51$53.94$54.58
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV24.4%20.2%28.4%20.2%28.4%
Expected Move6.9%5.8%8.1%5.8%8.1%
HV 20d33.5%26.7%36.3%26.7%31.6%
HV 60d28.4%25.6%29.1%25.6%28.7%
IV Rank20.0%8.1%31.4%8.1%31.4%
IV Percentile15.4%2.4%39.7%2.4%39.7%
Term Structure0.9%-1.5%2.7%1.8%-1.5%
VWIV25.8%19.8%32.8%24.7%30.3%
Skew 25d4.0%1.3%8.1%8.1%2.4%
Skew 10d10.3%-0.6%34.3%12.2%2.5%
Call IV 25d22.7%19.2%31.1%19.2%31.1%
Put IV 25d26.7%23.9%33.5%27.3%33.5%
Bid-Ask Spread %91.0384.9498.6186.1093.64
Gamma HHI0.480.310.630.320.43
Net GEX128.8K12.4K249.6K36.2K61.3K
Net DEX-1.5M-2.5M98.1K-223.3K-711.1K
Net VEX-6.6K-8.2K-5.5K-6.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.162.570.352.57
Total Volume376.61999820419193
Total OI2,133.817432,7862,332928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$53.94$55.0020.2%5.8%26.7%8.1%24.7%8.1%1.8%36.2K-223.3K-6.6K0.3586.10N/AN/A3101091,1791,153
2021-11-02$53.26$55.0020.3%5.8%26.8%8.4%19.8%5.4%1.1%12.4K98.1K-6.0K0.3488.41N/AN/A3101061,1801,122
2021-11-03$57.05$55.0026.8%7.7%35.9%26.8%25.9%1.3%0.2%140.9K-1.9M-7.1K0.1687.13N/AN/A7071131,1891,123
2021-11-04$57.07$55.0027.0%7.3%35.9%27.5%27.9%3.9%0.7%245.1K-2.3M-8.2K0.3188.12N/AN/A3321021,5661,108
2021-11-05$56.96$55.0026.1%7.2%35.9%24.9%26.9%4.1%0.7%236.4K-2.1M-8.1K0.3389.55N/AN/A3101021,5721,102
2021-11-08$56.45$55.0026.1%7.0%36.3%24.8%28.9%4.2%1.3%178.7K-1.7M-6.9K0.2390.26N/AN/A395921,5621,095
2021-11-09$56.53$55.0025.8%7.3%35.2%23.9%30.9%5.2%0.3%178.9K-1.8M-7.3K0.2788.52N/AN/A363971,6171,092
2021-11-10$55.66$55.0024.5%7.0%35.6%20.2%26.4%3.9%1.6%189.7K-1.7M-7.6K0.2690.57N/AN/A3881021,6131,090
2021-11-11$55.79$55.0023.5%6.7%35.5%17.4%25.3%4.4%1.8%106.1K-1.4M-6.7K0.2491.41N/AN/A379911,6391,101
2021-11-12$55.34$55.0022.4%6.4%35.5%14.4%24.4%3.5%2.1%102.7K-1.2M-6.4K0.2495.46N/AN/A377911,6411,101
2021-11-15$55.67$55.0022.9%6.6%34.5%15.7%32.8%3.9%2.7%113.2K-1.6M-6.2K0.3095.12N/AN/A317961,6691,102
2021-11-16$56.49$55.0024.4%7.0%34.7%19.9%23.7%3.8%1.5%122.5K-2.0M-6.1K0.3092.41N/AN/A315961,6691,103
2021-11-17$57.39$55.0024.0%6.9%35.0%18.8%22.4%3.2%1.7%249.6K-2.5M-6.4K0.2893.34N/AN/A317891,6831,103
2021-11-18$56.92$55.0024.2%6.9%35.2%19.4%20.7%4.8%-0.3%233.2K-2.2M-6.3K0.3392.33N/AN/A3431121,6781,101
2021-11-19$57.41$55.0024.1%6.9%34.6%19.3%23.6%3.0%-0.0%75.8K-2.3M-5.8K0.3691.62N/AN/A3161131,6541,093
2021-11-22$57.51$55.0021.1%6.0%34.2%10.6%23.0%3.0%1.9%76.0K-1.4M-5.6K0.5384.94N/AN/A14376544199
2021-11-23$56.99$55.0024.5%7.0%31.1%20.2%24.0%4.3%0.6%98.3K-1.4M-6.4K1.1691.70N/AN/A5058646192
2021-11-24$57.17$55.0024.2%6.9%29.1%19.5%23.7%5.4%0.7%100.3K-1.5M-6.5K1.3092.75N/AN/A4356658199
2021-11-26$55.25$55.0027.7%7.9%31.9%29.4%32.3%3.7%-0.1%80.4K-1.0M-6.1K1.7798.61N/AN/A4885660199
2021-11-29$54.30$55.0023.8%6.8%32.7%18.4%24.5%1.6%0.6%67.1K-659.8K-5.5K2.0989.67N/AN/A54113655230
2021-11-30$54.58$55.0028.4%8.1%31.6%31.4%30.3%2.4%-1.5%61.3K-711.1K-6.0K2.5793.64N/AN/A54139668260