CWH Options History — October 2010

In October 2010, CWH traded between $25.37 and $26.53. ATM implied volatility averaged 24.9%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.8% (HV 20d: 24.1%). 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 13 of 21 days. Put/call ratio averaged 4.14.

Notable Days

  • 2010-10-18: Highest Volume — 651 contracts
  • 2010-10-08: Largest IV spike — 85.5% change
  • 2010-10-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.01$25.37$26.53$25.86$25.45
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.9%16.1%33.1%18.7%26.7%
Expected Move7.6%5.4%9.2%5.4%7.6%
HV 20d24.1%11.2%35.6%35.6%11.2%
HV 60d27.9%26.9%28.7%28.7%26.9%
Term Structure2.2%-4.4%16.0%12.5%-1.5%
VWIV24.3%10.1%31.2%15.0%26.7%
Skew 25d8.5%0.9%22.8%0.9%3.1%
Skew 10d11.2%3.1%27.8%27.8%3.4%
Call IV 25d19.7%11.2%29.9%22.5%22.5%
Put IV 25d28.3%23.4%34.4%23.4%25.6%
Bid-Ask Spread %66.4829.71116.5229.7165.57
Gamma HHI0.530.370.680.370.55
Net GEX108.9K39.6K156.0K39.6K120.0K
Net DEX-2.2M-3.7M-675.2K-1.1M-675.2K
Net VEX-15.7K-19.5K-11.8K-11.8K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.140.0028.000.046.67
Total Volume202.952466518446
Total OI4,539.2383,4575,3003,4575,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$25.86$25.0018.7%5.4%35.6%0.0%15.0%0.9%12.5%39.6K-1.1M-11.8K0.0429.71N/AN/A8131,8101,647
2010-10-04$25.80$25.0016.1%9.2%34.3%0.0%0.0%12.9%-1.8%45.7K-1.3M-12.0K0.0055.93N/AN/A6001,8711,650
2010-10-05$25.99$25.0024.4%8.9%33.7%0.0%31.1%13.3%-1.4%42.7K-1.4M-12.0K0.0059.87N/AN/A38001,9311,650
2010-10-06$26.10$25.0026.5%8.5%32.3%0.0%29.8%13.4%0.4%77.1K-2.1M-12.9K0.0347.38N/AN/A338112,2311,650
2010-10-07$26.16$25.0017.8%8.8%31.8%0.0%30.5%2.4%-4.4%87.6K-2.7M-14.3K0.7453.80N/AN/A42312,5141,650
2010-10-08$26.21$25.0033.1%8.9%30.5%0.0%31.2%10.8%-2.3%98.6K-2.7M-14.2K0.0635.92N/AN/A154102,5561,680
2010-10-11$26.42$25.0023.3%8.0%29.9%0.0%0.0%9.4%1.4%106.9K-3.3M-13.1K0.0037.08N/AN/A14202,6561,680
2010-10-12$26.36$25.0027.4%8.4%29.9%0.0%28.5%11.2%1.2%112.9K-3.3M-13.6K0.2742.16N/AN/A91252,7461,680
2010-10-13$26.50$25.0032.0%6.0%29.8%0.0%16.0%10.4%11.4%129.0K-3.6M-13.2K0.6255.37N/AN/A3242002,7791,693
2010-10-14$26.29$25.0026.3%7.5%29.8%0.0%25.7%7.8%2.8%156.0K-3.4M-15.8K0.1972.97N/AN/A211403,0201,848
2010-10-15$26.34$25.0025.7%7.4%29.8%0.0%26.0%7.6%4.5%151.7K-3.7M-16.0K1.0482.60N/AN/A57593,1551,878
2010-10-18$26.53$25.0019.9%5.7%28.3%0.0%10.8%22.8%6.4%119.9K-3.2M-15.5K0.2197.98N/AN/A5371142,7991,565
2010-10-19$26.46$25.0021.7%6.2%16.9%0.0%10.1%20.4%16.0%148.1K-3.3M-17.0K0.1868.68N/AN/A257463,2301,660
2010-10-20$26.08$25.0024.6%7.1%16.0%0.0%24.7%6.6%0.7%113.0K-2.2M-18.5K0.93114.63N/AN/A1381292,9151,703
2010-10-21$26.14$25.0020.8%6.0%15.6%0.0%24.0%8.0%10.3%156.0K-2.4M-17.8K4.1084.25N/AN/A10413,0401,806
2010-10-22$25.72$25.0026.2%7.5%16.2%0.0%26.2%4.3%0.9%120.0K-1.8M-19.5K22.0032.52N/AN/A3663,0421,830
2010-10-25$25.48$25.0026.2%7.5%16.0%0.0%26.2%3.5%-3.9%117.1K-1.5M-18.9K28.00108.56N/AN/A123363,0421,858
2010-10-26$25.37$25.0025.6%7.3%14.9%0.0%25.6%2.9%0.6%116.5K-871.5K-18.1K8.6764.30N/AN/A6523,0502,071
2010-10-27$25.50$25.0030.3%8.7%12.4%0.0%30.3%4.2%-2.5%116.9K-933.4K-18.4K10.67116.52N/AN/A121283,0522,116
2010-10-28$25.37$25.0029.2%8.4%11.8%0.0%0.0%3.2%-4.1%110.6K-842.6K-19.1K2.5070.30N/AN/A20503,0642,206
2010-10-29$25.45$25.0026.7%7.6%11.2%0.0%26.7%3.1%-1.5%120.0K-675.2K-18.2K6.6765.57N/AN/A6403,0742,226