CWH Options History — November 2010

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

In November 2010, CWH traded between $24.46 and $26.32. ATM implied volatility averaged 21.3%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 18.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 16 of 16 trading days. Term structure was in contango for 11 of 16 days. Put/call ratio averaged 6.38.

Notable Days

2010-11-19: Highest Volume — 163 contracts
2010-11-18: Largest IV spike — 46.2% change
2010-11-01: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.48	$24.46	$26.32	$25.87	$25.08
Max Pain	$32.50	$25.00	$35.00	$25.00	$35.00
ATM IV	21.3%	15.3%	28.7%	28.7%	20.5%
Expected Move	6.4%	4.4%	8.2%	8.2%	5.9%
HV 20d	18.8%	12.6%	23.6%	12.7%	23.1%
HV 60d	26.8%	26.2%	27.4%	27.0%	26.7%
Term Structure	1.3%	-13.3%	10.5%	-13.3%	-1.0%
VWIV	27.5%	13.8%	57.7%	29.0%	21.3%
Skew 25d	4.2%	-1.9%	8.6%	8.3%	4.9%
Skew 10d	7.3%	0.2%	17.1%	17.1%	7.6%
Call IV 25d	19.6%	16.4%	22.9%	22.9%	20.9%
Put IV 25d	23.8%	16.2%	31.2%	31.2%	25.8%
Bid-Ask Spread %	80.60	39.92	102.89	102.89	101.50
Gamma HHI	0.58	0.47	0.68	0.54	0.47
Net GEX	128.4K	74.2K	193.6K	127.5K	74.2K
Net DEX	-145.2K	-1.6M	2.1M	-1.1M	1.2M
Net VEX	-16.0K	-18.1K	-13.2K	-17.3K	-13.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.38	0.19	25.00	21.00	2.46
Total Volume	78.25	22	163	66	159
Total OI	5,600.375	5,240	5,890	5,346	5,240

Daily Data (16 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
2010-11-01	$25.87	$25.00	28.7%	8.2%	12.7%	0.0%	29.0%	8.3%	-13.3%	127.5K	-1.1M	-17.3K	21.00	102.89	N/A	N/A	3	63	3,080	2,266
2010-11-02	$26.00	$25.00	26.2%	7.5%	12.6%	0.0%	28.9%	8.6%	4.9%	105.2K	-1.2M	-18.1K	4.15	39.92	N/A	N/A	20	83	3,079	2,329
2010-11-03	$25.44	$25.00	18.7%	5.4%	14.6%	0.0%	20.7%	1.2%	5.0%	128.4K	-485.3K	-16.2K	0.00	72.27	N/A	N/A	0	108	3,084	2,295
2010-11-04	$25.78	$25.00	20.3%	5.8%	15.5%	0.0%	0.0%	1.2%	4.8%	127.1K	-554.2K	-17.6K	1.38	74.17	N/A	N/A	56	77	3,084	2,356
2010-11-05	$26.32	$35.00	15.5%	6.6%	17.2%	0.0%	48.9%	6.7%	2.7%	108.5K	-1.6M	-16.9K	1.91	82.97	N/A	N/A	11	21	3,134	2,400
2010-11-08	$26.23	$35.00	19.0%	6.8%	17.0%	0.0%	23.2%	4.9%	1.1%	118.7K	-1.5M	-16.6K	3.83	49.08	N/A	N/A	12	46	3,145	2,421
2010-11-09	$25.55	$35.00	20.9%	7.0%	19.4%	0.0%	57.7%	0.8%	-6.3%	137.3K	-401.3K	-15.7K	25.00	85.51	N/A	N/A	1	25	3,144	2,431
2010-11-10	$25.71	$35.00	24.2%	6.6%	19.4%	0.0%	23.1%	3.4%	0.1%	139.1K	-863.4K	-16.9K	10.50	99.91	N/A	N/A	10	105	3,144	2,456
2010-11-11	$25.64	$35.00	23.4%	6.7%	19.3%	0.0%	24.2%	3.0%	-0.1%	133.3K	-400.8K	-16.7K	0.19	87.65	N/A	N/A	52	10	3,145	2,561
2010-11-12	$25.62	$35.00	25.4%	7.3%	19.2%	0.0%	28.1%	4.0%	-0.6%	125.6K	-520.2K	-16.3K	3.40	64.50	N/A	N/A	5	17	3,163	2,571
2010-11-15	$25.41	$35.00	24.8%	7.1%	19.1%	0.0%	24.8%	1.1%	0.4%	124.5K	-273.6K	-16.1K	0.00	93.98	N/A	N/A	0	31	3,163	2,588
2010-11-16	$24.49	$35.00	17.3%	5.0%	22.7%	0.0%	17.5%	7.3%	10.5%	115.2K	1.4M	-15.4K	1.71	84.41	N/A	N/A	24	41	3,163	2,617
2010-11-17	$24.46	$35.00	16.4%	4.7%	22.4%	0.0%	0.0%	6.6%	6.2%	118.5K	2.1M	-14.0K	6.75	86.35	N/A	N/A	4	27	3,155	2,658
2010-11-18	$24.90	$35.00	24.0%	6.9%	23.6%	0.0%	24.2%	7.3%	0.6%	177.1K	1.2M	-15.0K	6.80	93.63	N/A	N/A	10	68	3,159	2,685
2010-11-19	$25.13	$35.00	15.3%	4.4%	23.3%	0.0%	13.8%	-1.9%	5.3%	193.6K	758.6K	-14.5K	0.28	70.91	N/A	N/A	127	36	3,162	2,728
2010-11-22	$25.08	$35.00	20.5%	5.9%	23.1%	0.0%	21.3%	4.9%	-1.0%	74.2K	1.2M	-13.2K	2.46	101.50	N/A	N/A	46	113	2,738	2,502