PCH Options History — December 2021

In December 2021, PCH traded between $54.88 and $61.02. ATM implied volatility averaged 24.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.1% (HV 20d: 30.2%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2021-12-10: Highest Volume — 422 contracts
  • 2021-12-13: Largest IV spike — 65.1% change
  • 2021-12-03: Highest IV Rank — 47.2%
  • 2021-12-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.68$54.88$61.02$54.88$60.48
Max Pain$55.33$55.00$56.00$55.00$56.00
ATM IV24.2%17.5%34.0%29.9%18.3%
Expected Move6.9%5.3%9.8%8.6%5.3%
HV 20d30.2%21.1%40.5%31.2%38.1%
HV 60d29.7%27.6%32.8%28.4%32.2%
IV Rank19.4%0.4%47.2%35.7%2.9%
IV Percentile20.4%0.4%70.6%49.2%0.8%
Term Structure2.7%-8.5%6.6%-1.7%5.5%
VWIV25.7%19.9%36.3%34.2%24.4%
Skew 25d4.4%1.5%18.5%5.1%5.2%
Skew 10d9.8%4.6%21.6%7.7%9.3%
Call IV 25d22.9%15.6%30.4%30.0%15.6%
Put IV 25d27.3%20.8%41.3%35.1%20.8%
Bid-Ask Spread %89.1376.10102.7297.2297.83
Gamma HHI0.440.230.630.440.36
Net GEX113.9K0234.7K58.7K146.1K
Net DEX-2.5M-4.0M0-749.9K-4.0M
Net VEX-7.7K-15.3K0-6.3K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.613.892.130.61
Total Volume249.54548422166358
Total OI1,218.04502,3549541,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$54.88$55.0029.9%8.6%31.2%35.7%34.2%5.1%-1.7%58.7K-749.9K-6.3K2.1397.22N/AN/A53113674280
2021-12-02$56.37$55.0029.4%8.4%21.1%34.3%29.2%5.7%-1.5%73.0K-1.2M-6.7K1.04100.30N/AN/A9094673282
2021-12-03$56.41$55.0034.0%9.8%21.1%47.2%36.2%6.3%-2.6%76.6K-1.3M-7.1K0.9394.96N/AN/A9487708278
2021-12-06$58.54$55.0023.9%6.9%25.0%18.5%25.9%3.6%3.3%113.6K-1.9M-6.9K0.8586.05N/AN/A118100719278
2021-12-07$59.22$55.0022.2%6.5%24.9%13.8%24.1%2.8%2.7%146.3K-2.5M-7.0K0.7883.57N/AN/A143112796292
2021-12-08$59.56$55.0022.1%6.2%24.9%13.4%22.4%3.0%3.1%162.2K-2.7M-7.0K1.3484.20N/AN/A94126833304
2021-12-09$60.02$55.0027.2%7.2%24.1%27.8%26.1%3.7%2.5%142.1K-2.8M-7.5K0.8780.32N/AN/A149129846320
2021-12-10$60.96$55.0017.5%6.7%24.4%0.4%23.5%3.1%3.4%170.5K-3.3M-7.9K1.5385.18N/AN/A167255919330
2021-12-13$61.02$55.0028.8%6.8%24.0%32.5%23.5%4.6%3.6%43.4K-3.1M-8.5K2.1483.56N/AN/A66141952481
2021-12-14$59.48$55.0023.9%6.5%26.3%18.5%24.8%3.3%5.3%40.6K-1.7M-8.7K3.6585.02N/AN/A80292871481
2021-12-15$60.30$55.0024.8%7.1%26.3%21.1%24.6%3.8%5.0%55.2K-2.3M-9.1K2.2783.65N/AN/A110250889499
2021-12-16$60.59$55.0032.6%9.3%25.8%43.2%36.3%18.5%-8.5%67.8K-2.5M-9.1K3.89102.72N/AN/A64249909504
2021-12-17$60.99$55.0024.0%6.9%25.5%19.0%24.9%4.0%3.1%133.7K-2.9M-8.8K3.2786.99N/AN/A78255920505
2021-12-20$58.79$55.0025.7%7.4%29.2%23.5%28.1%4.0%2.3%120.6K-1.9M-8.7K1.0276.10N/AN/A124127877279
2021-12-21$55.03$0.0022.9%6.6%37.7%15.8%23.5%3.8%4.1%0001.3890.92N/AN/A212900
2021-12-22$57.22$56.0020.6%5.9%40.3%9.3%21.1%1.5%5.6%147.0K-2.7M-8.1K1.0095.70N/AN/A2424932332
2021-12-23$56.52$56.0022.4%6.4%40.5%14.3%22.5%3.5%4.4%234.7K-3.6M-15.3K0.9785.42N/AN/A1461411,778576
2021-12-27$57.26$56.0023.3%6.7%38.8%16.9%24.2%2.8%3.8%142.3K-2.7M-8.3K1.1587.63N/AN/A88101941351
2021-12-28$58.38$56.0020.6%5.9%38.5%9.2%22.6%1.9%4.6%143.7K-3.2M-8.0K0.9691.28N/AN/A141136946359
2021-12-29$59.37$56.0019.6%5.6%38.8%6.6%24.5%3.1%5.1%144.6K-3.5M-7.5K1.2389.32N/AN/A111136931349
2021-12-30$59.66$56.0018.6%5.3%38.8%3.7%19.9%4.0%6.6%142.8K-3.7M-7.0K0.9992.91N/AN/A138136939349
2021-12-31$60.48$56.0018.3%5.3%38.1%2.9%24.4%5.2%5.5%146.1K-4.0M-6.9K0.6197.83N/AN/A223135961354