CWH Options History — July 2010

Name: CWH Options Analytics - July 2010
Creator: Options Analysis Suite

In July 2010, CWH traded between $23.75 and $25.95. ATM implied volatility averaged 37.0%. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.0% (HV 20d: 39.0%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.27.

Notable Days

2010-07-06: Highest Volume — 346 contracts
2010-07-07: Largest IV spike — 38.9% change
2010-07-06: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.00	$23.75	$25.95	$25.19	$25.95
Max Pain	$24.08	$22.50	$30.00	$30.00	$25.00
ATM IV	37.0%	31.9%	47.1%	42.5%	36.6%
Expected Move	10.7%	9.2%	14.6%	12.2%	10.5%
HV 20d	39.0%	36.9%	41.3%	41.3%	36.9%
Term Structure	0.8%	-4.7%	8.2%	-0.2%	4.3%
VWIV	37.2%	30.2%	58.8%	30.2%	33.7%
Skew 25d	11.6%	7.2%	19.9%	15.4%	7.5%
Skew 10d	19.1%	3.3%	33.8%	30.3%	5.1%
Call IV 25d	29.4%	24.6%	36.2%	31.0%	26.7%
Put IV 25d	40.9%	34.1%	52.3%	46.4%	34.1%
Bid-Ask Spread %	58.93	26.73	100.56	100.56	95.73
Gamma HHI	0.68	0.32	0.94	0.35	0.64
Net GEX	2.3K	-73.0K	47.6K	0	45.2K
Net DEX	-160.4K	-877.0K	435.3K	0	-877.0K
Net VEX	-3.7K	-5.8K	0	0	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.27	0.00	26.00	0.84	0.17
Total Volume	119.65	7	346	294	69
Total OI	1,000.55	0	1,512	0	1,512

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-07-02	$25.19	$0.00	42.5%	12.2%	0.0%	0.0%	30.2%	0.0%	-0.2%	0	0	0	0.84	100.56	N/A	N/A	160	134	0	0
2010-07-06	$23.75	$30.00	33.9%	14.6%	0.0%	0.0%	50.9%	0.0%	7.4%	-22	-1.7K	-1.3K	4.77	55.48	N/A	N/A	60	286	135	114
2010-07-07	$25.20	$25.00	47.1%	11.8%	0.0%	0.0%	0.0%	15.4%	0.0%	-42.2K	185.1K	-2.3K	1.42	54.40	N/A	N/A	99	141	193	400
2010-07-08	$24.60	$25.00	46.6%	11.9%	0.0%	0.0%	58.8%	19.9%	2.6%	-47.8K	308.7K	-3.2K	0.15	55.92	N/A	N/A	61	9	261	541
2010-07-09	$24.87	$22.50	32.9%	10.6%	0.0%	0.0%	39.1%	14.8%	8.2%	-47.7K	206.5K	-3.1K	26.00	56.58	N/A	N/A	4	104	312	547
2010-07-12	$24.70	$22.50	40.6%	10.5%	0.0%	0.0%	37.7%	11.8%	-2.4%	-60.0K	302.3K	-3.4K	0.65	53.26	N/A	N/A	63	41	316	621
2010-07-13	$24.90	$22.50	36.9%	10.9%	0.0%	0.0%	37.5%	12.9%	-2.2%	-63.9K	174.5K	-3.5K	0.63	40.05	N/A	N/A	24	15	370	642
2010-07-14	$24.82	$22.50	40.2%	11.3%	0.0%	0.0%	0.0%	15.2%	0.1%	-73.0K	218.9K	-3.5K	0.00	55.82	N/A	N/A	7	0	394	657
2010-07-15	$24.78	$22.50	38.6%	11.1%	0.0%	0.0%	36.2%	14.3%	0.7%	3.2K	384.6K	-2.8K	0.00	67.96	N/A	N/A	46	0	401	657
2010-07-16	$24.36	$22.50	37.7%	10.8%	0.0%	0.0%	37.8%	7.2%	2.0%	-1.7K	435.3K	-3.4K	2.60	54.78	N/A	N/A	5	13	447	657
2010-07-19	$24.25	$22.50	33.4%	9.6%	0.0%	0.0%	32.3%	10.3%	-0.7%	7.0K	-6.4K	-3.2K	0.00	54.75	N/A	N/A	140	0	412	440
2010-07-20	$25.08	$22.50	33.0%	9.5%	0.0%	0.0%	31.9%	10.2%	0.8%	21.5K	-298.3K	-3.5K	0.10	54.24	N/A	N/A	163	17	536	440
2010-07-21	$25.01	$22.50	32.2%	9.2%	0.0%	0.0%	31.5%	11.2%	-1.0%	44.3K	-445.6K	-4.3K	0.42	78.16	N/A	N/A	60	25	666	457
2010-07-22	$24.92	$25.00	32.9%	9.4%	0.0%	0.0%	32.9%	8.5%	-0.7%	42.3K	-422.9K	-4.6K	1.01	42.70	N/A	N/A	73	74	681	482
2010-07-23	$24.98	$25.00	31.9%	9.2%	0.0%	0.0%	31.9%	10.0%	0.3%	45.4K	-478.9K	-5.0K	3.52	26.73	N/A	N/A	23	81	734	510
2010-07-26	$25.32	$25.00	38.0%	10.9%	41.3%	0.0%	38.0%	8.2%	-4.7%	47.6K	-574.9K	-5.1K	1.42	58.11	N/A	N/A	26	37	757	558
2010-07-27	$25.52	$25.00	34.8%	10.0%	40.0%	0.0%	34.8%	11.4%	1.1%	45.0K	-671.7K	-5.3K	0.15	56.74	N/A	N/A	41	6	763	584
2010-07-28	$25.91	$25.00	33.8%	9.7%	39.1%	0.0%	33.7%	11.1%	4.4%	39.9K	-823.7K	-5.3K	0.54	66.21	N/A	N/A	93	50	776	589
2010-07-29	$25.94	$25.00	37.1%	10.6%	37.9%	0.0%	0.0%	8.5%	-3.8%	40.4K	-823.3K	-5.7K	1.04	50.35	N/A	N/A	70	73	820	629
2010-07-30	$25.95	$25.00	36.6%	10.5%	36.9%	0.0%	0.0%	7.5%	4.3%	45.2K	-877.0K	-5.8K	0.17	95.73	N/A	N/A	59	10	881	631