CWH Options History — September 2010

In September 2010, CWH traded between $25.12 and $28.00. ATM implied volatility averaged 24.7%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 7.8% (HV 20d: 32.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.49.

Notable Days

  • 2010-09-21: Highest Volume — 448 contracts
  • 2010-09-17: Largest IV spike — 43.7% change
  • 2010-09-14: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.23$25.12$28.00$25.12$25.60
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.7%15.2%37.3%27.1%23.6%
Expected Move7.3%4.4%10.7%7.8%6.8%
HV 20d32.5%26.9%38.4%29.5%35.8%
HV 60d32.5%29.1%34.2%32.5%29.1%
Term Structure7.2%-2.7%18.7%3.0%8.0%
VWIV24.3%13.9%28.2%28.2%23.6%
Skew 25d6.6%-1.7%18.7%1.7%8.5%
Skew 10d11.0%-4.1%32.1%3.8%31.5%
Call IV 25d20.7%12.5%32.7%32.7%25.4%
Put IV 25d27.3%17.4%34.4%34.4%33.8%
Bid-Ask Spread %54.2120.16117.10117.1071.10
Gamma HHI0.380.300.480.440.36
Net GEX30.4K18.3K39.3K26.1K35.8K
Net DEX-1.2M-1.9M-378.8K-378.8K-782.2K
Net VEX-7.8K-11.2K-5.2K-7.5K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.490.0055.000.141.04
Total Volume106.52413448109287
Total OI2,588.7142,2923,2122,3003,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$25.12$25.0027.1%7.8%29.5%0.0%28.2%1.7%3.0%26.1K-378.8K-7.5K0.14117.10N/AN/A96131,0931,207
2010-09-02$25.49$25.0024.1%6.9%29.0%0.0%23.9%-0.2%6.1%35.9K-644.8K-7.2K0.9653.46N/AN/A28271,1391,205
2010-09-03$26.17$25.0020.5%7.7%30.4%0.0%26.7%-0.9%3.9%31.5K-1.2M-6.6K3.1370.59N/AN/A16501,1591,225
2010-09-07$25.67$25.0023.7%8.5%31.1%0.0%0.0%9.7%6.0%31.6K-843.6K-8.0K1.6042.54N/AN/A581,1741,225
2010-09-08$26.35$25.0020.7%7.4%31.6%0.0%0.0%9.5%8.9%29.2K-1.3M-6.6K0.0054.74N/AN/A6001,1791,227
2010-09-09$25.93$25.0026.1%7.5%30.1%0.0%26.0%7.1%8.0%39.3K-1.1M-7.7K0.9763.06N/AN/A36351,2331,227
2010-09-10$26.57$25.0023.3%6.7%29.3%0.0%25.9%10.9%13.2%34.8K-1.5M-6.2K55.0064.20N/AN/A1551,2591,227
2010-09-13$27.05$25.0026.6%7.6%29.2%0.0%14.5%16.3%10.5%26.9K-1.7M-6.7K0.5759.71N/AN/A53301,2591,262
2010-09-14$27.04$25.0037.3%10.7%29.3%0.0%0.0%18.7%-2.7%26.6K-1.8M-8.1K0.1761.51N/AN/A2951,3071,272
2010-09-15$27.30$25.0026.1%7.5%29.3%0.0%23.2%13.9%11.4%26.5K-1.9M-6.6K0.6329.38N/AN/A48301,3221,272
2010-09-16$27.19$25.0015.2%4.4%29.5%0.0%13.9%4.0%18.7%18.3K-1.9M-5.9K0.0058.94N/AN/A2901,3231,292
2010-09-17$27.30$25.0021.8%6.3%26.9%0.0%0.0%6.5%-2.3%23.1K-1.9M-5.8K0.00109.07N/AN/A4001,3351,292
2010-09-20$28.00$25.0019.9%5.7%27.6%0.0%0.0%8.4%5.4%20.8K-1.9M-5.2K1.5048.70N/AN/A18271,2071,085
2010-09-21$26.28$25.0024.6%7.1%37.3%0.0%24.3%7.9%9.9%36.0K-1.1M-7.3K0.5845.11N/AN/A2841641,2091,095
2010-09-22$25.75$25.0027.9%8.0%38.4%0.0%27.9%4.0%3.2%34.9K-894.2K-9.0K1.4427.91N/AN/A41591,3851,200
2010-09-23$25.50$25.0027.8%8.0%37.6%0.0%27.8%1.2%5.8%31.2K-705.1K-8.5K0.2029.08N/AN/A51101,4071,228
2010-09-24$25.80$25.0025.6%7.3%37.5%0.0%0.0%10.2%8.4%35.7K-895.0K-8.3K4.1234.42N/AN/A502061,4061,238
2010-09-27$25.50$25.0027.5%7.9%37.5%0.0%27.0%1.4%4.6%23.5K-528.6K-9.9K0.2822.40N/AN/A67191,4551,444
2010-09-28$25.91$25.0022.0%6.3%37.0%0.0%0.0%2.0%15.0%35.5K-868.2K-9.8K0.2655.16N/AN/A116301,5131,454
2010-09-29$25.30$25.0026.5%7.6%38.3%0.0%26.5%-1.7%6.0%35.4K-614.4K-11.2K0.7320.16N/AN/A66481,6291,481
2010-09-30$25.60$25.0023.6%6.8%35.8%0.0%23.6%8.5%8.0%35.8K-782.2K-10.7K1.0471.10N/AN/A1411461,6901,522