CWH Options History — August 2010

In August 2010, CWH traded between $23.27 and $26.93. ATM implied volatility averaged 29.8%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.4% (HV 20d: 24.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2010-08-24: Highest Volume — 182 contracts
  • 2010-08-09: Largest IV spike — 41.5% change
  • 2010-08-04: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.63$23.27$26.93$26.51$24.12
Max Pain$24.89$22.50$25.00$25.00$25.00
ATM IV29.8%20.6%37.7%31.3%27.2%
Expected Move8.7%5.9%10.8%9.0%7.8%
HV 20d24.4%20.4%36.6%36.6%25.0%
Term Structure2.5%-16.7%10.4%7.9%5.0%
VWIV31.7%19.6%49.3%49.3%26.8%
Skew 25d7.6%-2.7%15.8%15.8%5.0%
Skew 10d7.3%-2.1%26.3%14.2%-0.3%
Call IV 25d25.4%15.1%31.4%21.5%28.1%
Put IV 25d33.0%21.7%39.1%37.2%33.1%
Bid-Ask Spread %54.5823.59122.2663.17102.25
Gamma HHI0.490.330.680.580.36
Net GEX27.1K-8.7K65.4K38.9K3.8K
Net DEX-283.6K-1.5M475.9K-1.2M140.4K
Net VEX-6.4K-8.1K-4.9K-5.4K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.038.410.250.03
Total Volume88.59171827640
Total OI1,960.5451,5722,3201,5722,320

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$26.51$25.0031.3%9.0%36.6%0.0%0.0%15.8%7.9%38.9K-1.2M-5.4K0.2563.17N/AN/A6115931641
2010-08-03$26.68$25.0035.7%10.2%28.5%0.0%0.0%13.7%-8.3%60.7K-1.4M-4.9K0.0877.17N/AN/A514989656
2010-08-04$26.93$25.0037.7%10.8%20.4%0.0%49.3%-0.3%-16.7%42.8K-1.5M-5.1K0.68122.26N/AN/A47321,012658
2010-08-05$26.27$25.0023.9%6.8%20.5%0.0%0.0%-2.7%2.8%52.3K-1.4M-6.0K1.1464.74N/AN/A21241,027669
2010-08-06$25.96$22.5023.5%8.6%21.0%0.0%29.5%13.0%2.3%60.2K-1.1M-6.2K1.7023.59N/AN/A661121,048693
2010-08-09$25.80$25.0033.3%9.4%21.0%0.0%0.0%13.9%0.4%55.4K-1.0M-6.6K0.0025.53N/AN/A0101,098760
2010-08-10$25.33$25.0029.5%8.8%22.0%0.0%30.6%12.2%1.2%65.4K-835.6K-6.6K6.5644.40N/AN/A9591,098768
2010-08-11$24.57$25.0028.6%9.2%24.7%0.0%36.5%9.6%1.7%58.3K-386.1K-6.8K1.3529.72N/AN/A26351,089823
2010-08-12$23.99$25.0031.9%9.2%26.0%0.0%32.3%10.7%2.4%36.5K-9.5K-6.6K2.3356.60N/AN/A15351,083858
2010-08-13$23.81$25.0032.0%9.2%25.5%0.0%33.0%5.5%2.3%38.8K16.8K-6.5K0.9646.33N/AN/A52501,092851
2010-08-16$23.85$25.0032.3%9.3%25.5%0.0%34.9%4.1%3.0%29.3K139.7K-6.1K1.9258.60N/AN/A49941,120891
2010-08-17$23.91$25.0030.7%8.8%22.1%0.0%35.0%4.6%2.3%26.2K170.8K-6.1K1.0325.09N/AN/A37381,117952
2010-08-18$23.97$25.0030.3%8.7%22.1%0.0%29.6%5.8%3.4%30.0K93.6K-6.2K1.6024.84N/AN/A15241,123969
2010-08-19$23.35$25.0031.8%9.1%23.7%0.0%32.0%11.6%5.8%-4.8K355.8K-6.0K8.4180.52N/AN/A171431,133987
2010-08-20$23.47$25.0034.0%9.7%23.8%0.0%33.6%6.5%2.5%-8.7K415.0K-6.3K0.7537.40N/AN/A431,1411,073
2010-08-23$23.27$25.0033.5%9.6%23.1%0.0%25.4%9.4%6.5%-6.5K464.5K-6.0K0.3841.98N/AN/A6023854992
2010-08-24$23.50$25.0026.7%7.6%23.2%0.0%0.0%14.2%10.4%-7.6K475.9K-5.9K1.0270.61N/AN/A90928771,015
2010-08-25$24.19$25.0032.0%9.2%25.2%0.0%30.1%-1.8%2.7%-8.4K162.0K-6.5K0.2360.43N/AN/A116279541,097
2010-08-26$24.01$25.0020.6%5.9%25.1%0.0%19.6%10.5%8.7%16.8K-53.5K-7.6K2.1148.89N/AN/A571201,0261,114
2010-08-27$24.44$25.0027.4%7.8%26.3%0.0%28.5%-0.0%2.3%3.8K23.4K-7.3K0.3148.39N/AN/A68211,0631,191
2010-08-30$24.00$25.0020.8%6.0%25.1%0.0%0.0%5.6%6.2%12.5K76.6K-8.1K0.3648.32N/AN/A64231,0731,206
2010-08-31$24.12$25.0027.2%7.8%25.0%0.0%26.8%5.0%5.0%3.8K140.4K-7.5K0.03102.25N/AN/A3911,1141,206