CWH Options History — January 2011

In January 2011, CWH traded between $25.63 and $26.67. ATM implied volatility averaged 23.4%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.4% (HV 20d: 23.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 7.61.

Notable Days

  • 2011-01-18: Highest Volume — 29,885 contracts
  • 2011-01-07: Largest IV spike — 66.8% change
  • 2011-01-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.96$25.63$26.67$25.98$26.67
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.4%12.8%43.5%27.2%15.0%
Expected Move5.8%3.7%8.2%7.8%4.3%
HV 20d23.8%18.1%27.8%26.3%18.6%
HV 60d23.8%19.3%27.5%27.3%19.3%
Term Structure-1.4%-17.3%13.1%-16.7%-1.1%
VWIV23.0%11.7%62.3%28.5%15.5%
Skew 25d3.5%-2.9%11.3%6.5%11.3%
Skew 10d3.7%-3.3%11.8%4.4%1.9%
Call IV 25d17.9%14.9%24.6%21.9%16.0%
Put IV 25d21.4%15.8%30.8%28.4%27.4%
Bid-Ask Spread %57.8721.77100.6576.1872.58
Gamma HHI0.540.320.760.710.39
Net GEX135.7K-40.5K312.1K302.0K43.7K
Net DEX-2.2M-4.2M-466.6K-4.2M-2.2M
Net VEX-13.5K-16.0K-11.1K-12.6K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.610.0059.000.441.45
Total Volume1,601.75029,8856576
Total OI5,598.253,3436,9676,4453,943

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$25.98$25.0027.2%7.8%26.3%0.0%28.5%6.5%-16.7%302.0K-4.2M-12.6K0.4476.18N/AN/A45203,9852,460
2011-01-04$25.63$25.0028.5%8.2%26.8%0.0%0.0%4.8%-17.3%216.3K-3.8M-13.6K5.0074.42N/AN/A15753,9972,450
2011-01-05$26.13$25.0028.0%8.0%27.6%0.0%62.3%8.5%-10.4%208.5K-4.0M-14.4K10.0070.03N/AN/A3303,9972,510
2011-01-06$25.90$25.0025.7%7.4%27.8%0.0%0.0%-2.9%-12.6%281.7K-3.7M-14.9K0.3781.75N/AN/A1973,9942,539
2011-01-07$25.99$25.0042.8%5.3%27.2%0.0%0.0%2.0%1.6%190.7K-2.6M-16.0K0.0049.06N/AN/A003,9932,546
2011-01-10$25.80$25.0033.9%5.9%27.3%0.0%20.6%1.6%0.7%239.4K-2.8M-15.0K59.0048.23N/AN/A42363,9932,546
2011-01-11$25.76$25.0043.5%7.9%26.1%0.0%25.2%3.0%-7.9%165.4K-2.0M-15.7K0.3682.79N/AN/A1143,9952,781
2011-01-12$25.91$25.0031.1%5.8%25.7%0.0%20.2%1.8%-0.1%243.4K-2.4M-15.4K1.3333.95N/AN/A791053,9992,785
2011-01-13$25.66$25.0019.5%5.6%24.8%0.0%19.5%0.6%0.4%243.0K-2.2M-15.8K1.8354.27N/AN/A6114,0642,885
2011-01-14$26.01$25.0016.7%4.8%25.3%0.0%0.0%3.2%4.8%223.4K-2.6M-15.1K0.00100.65N/AN/A2804,0642,892
2011-01-18$25.71$25.0019.1%5.5%23.8%0.0%0.0%-0.8%1.6%312.1K-1.9M-13.9K0.0027.99N/AN/A29,872134,0752,892
2011-01-19$25.73$25.0019.0%5.4%23.7%0.0%18.9%2.2%2.6%-40.5K-649.8K-11.7K0.3332.85N/AN/A132442,5162,904
2011-01-20$25.82$25.0018.8%5.4%23.7%0.0%18.6%2.8%2.8%-22.5K-1.2M-11.1K48.0021.77N/AN/A52402,5492,896
2011-01-21$25.85$25.0017.3%5.0%23.7%0.0%16.6%1.8%4.6%-22.3K-1.3M-11.5K1.2926.74N/AN/A66852,5543,076
2011-01-24$25.83$25.0015.4%4.4%23.5%0.0%0.0%5.0%13.1%-2.7K-466.6K-11.3K0.3468.70N/AN/A56191,6751,668
2011-01-25$26.06$25.0019.8%5.7%18.9%0.0%19.7%4.1%-0.8%1.3K-660.6K-11.1K0.0459.02N/AN/A341141,7061,667
2011-01-26$26.16$25.0016.5%4.7%18.9%0.0%0.0%4.2%-1.2%37.5K-1.4M-12.9K0.1542.06N/AN/A196302,0331,679
2011-01-27$26.37$25.0012.8%3.7%18.2%0.0%11.7%0.4%5.0%44.9K-1.9M-12.1K0.3268.39N/AN/A1962,1141,709
2011-01-28$26.28$25.0018.1%5.2%18.1%0.0%21.1%9.7%2.4%48.9K-1.9M-13.5K14.3866.02N/AN/A81152,1261,708
2011-01-31$26.67$25.0015.0%4.3%18.6%0.0%15.5%11.3%-1.1%43.7K-2.2M-11.8K1.4572.58N/AN/A31452,1241,819