CWH Options History — February 2011

In February 2011, CWH traded between $26.99 and $28.71. ATM implied volatility averaged 21.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.8% (HV 20d: 14.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2011-02-24: Highest Volume — 326 contracts
2011-02-17: Largest IV spike — 68.3% change
2011-02-24: Highest IV Rank — 58.3%
2011-02-24: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.73	$26.99	$28.71	$27.14	$28.71
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	21.1%	11.6%	32.3%	16.6%	15.4%
Expected Move	5.8%	3.3%	9.3%	4.8%	4.4%
HV 20d	14.3%	11.0%	20.0%	15.3%	19.8%
HV 60d	19.2%	18.7%	20.8%	19.4%	20.5%
IV Rank	25.4%	0.0%	58.3%	42.1%	10.6%
IV Percentile	28.0%	0.0%	78.7%	57.9%	3.6%
Term Structure	0.8%	-7.9%	10.2%	-2.6%	0.6%
VWIV	16.0%	8.9%	20.8%	20.8%	15.8%
Skew 25d	8.4%	-1.1%	21.3%	15.6%	9.5%
Skew 10d	6.5%	-3.1%	19.2%	7.1%	8.0%
Call IV 25d	14.7%	10.1%	27.9%	14.9%	12.2%
Put IV 25d	23.1%	15.7%	36.7%	30.5%	21.7%
Bid-Ask Spread %	59.37	20.71	114.69	73.37	86.87
Gamma HHI	0.61	0.41	0.91	0.45	0.86
Net GEX	89.5K	52.9K	165.3K	53.9K	165.3K
Net DEX	-3.0M	-4.0M	-2.4M	-2.5M	-3.4M
Net VEX	-11.2K	-12.5K	-9.3K	-12.1K	-10.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	3.00	0.04	0.00
Total Volume	76.947	2	326	51	64
Total OI	4,078.947	3,767	4,534	3,989	4,016

Daily Data (19 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
2011-02-01	$27.14	$25.00	16.6%	4.8%	15.3%	0.0%	0.0%	15.6%	-2.6%	53.9K	-2.5M	-12.1K	0.04	73.37	N/A	N/A	49	2	2,135	1,854
2011-02-02	$27.04	$25.00	16.6%	4.7%	14.3%	0.0%	0.0%	3.4%	-4.8%	52.9K	-2.5M	-11.4K	0.00	22.85	N/A	N/A	12	0	2,158	1,852
2011-02-03	$27.33	$25.00	25.0%	7.2%	13.3%	0.0%	0.0%	21.3%	-4.9%	65.8K	-2.6M	-11.5K	0.18	54.08	N/A	N/A	56	10	2,165	1,852
2011-02-04	$26.99	$25.00	30.5%	6.4%	13.7%	0.0%	0.0%	6.5%	-7.9%	54.4K	-2.4M	-12.1K	0.03	29.78	N/A	N/A	29	1	2,211	1,852
2011-02-07	$27.16	$25.00	18.7%	5.3%	13.8%	0.0%	0.0%	11.5%	7.9%	61.0K	-2.7M	-11.3K	1.33	29.17	N/A	N/A	15	20	2,230	1,852
2011-02-08	$27.18	$25.00	20.5%	5.1%	13.3%	0.0%	0.0%	10.0%	7.2%	63.2K	-2.7M	-10.8K	0.00	55.51	N/A	N/A	0	3	2,245	1,852
2011-02-09	$27.42	$25.00	27.3%	5.6%	13.4%	42.1%	0.0%	10.0%	-2.3%	67.6K	-2.9M	-10.9K	2.00	46.04	N/A	N/A	5	10	2,245	1,852
2011-02-10	$27.52	$25.00	19.3%	5.5%	13.4%	18.9%	20.8%	11.8%	6.1%	69.1K	-2.9M	-11.3K	1.67	66.39	N/A	N/A	6	10	2,250	1,862
2011-02-11	$27.64	$25.00	23.0%	6.6%	12.5%	29.6%	0.0%	7.6%	5.9%	74.8K	-3.1M	-10.8K	0.00	47.18	N/A	N/A	0	40	2,256	1,872
2011-02-14	$27.54	$25.00	16.5%	4.7%	12.2%	10.8%	0.0%	2.2%	4.6%	69.7K	-3.0M	-10.9K	0.00	20.71	N/A	N/A	15	0	2,256	1,912
2011-02-15	$27.73	$25.00	23.0%	6.6%	11.0%	29.6%	0.0%	6.4%	4.2%	78.6K	-3.2M	-10.7K	1.00	65.25	N/A	N/A	1	1	2,271	1,912
2011-02-16	$28.38	$25.00	11.6%	3.3%	12.9%	0.0%	8.9%	6.9%	10.2%	103.8K	-3.6M	-9.5K	0.26	48.17	N/A	N/A	181	47	2,271	1,912
2011-02-17	$28.56	$25.00	19.5%	5.6%	12.9%	22.3%	18.5%	8.3%	-2.9%	116.1K	-4.0M	-9.3K	0.05	84.09	N/A	N/A	220	10	2,395	1,959
2011-02-18	$28.52	$25.00	15.5%	4.4%	13.0%	11.0%	0.0%	-1.1%	-1.3%	134.4K	-3.9M	-10.7K	0.63	57.65	N/A	N/A	16	10	2,570	1,964
2011-02-22	$28.17	$25.00	18.6%	5.3%	14.3%	19.8%	0.0%	5.8%	-1.1%	111.1K	-2.7M	-11.5K	0.45	85.92	N/A	N/A	56	25	2,244	1,523
2011-02-23	$27.69	$25.00	28.0%	8.0%	16.1%	46.2%	15.8%	2.0%	-2.5%	103.6K	-2.5M	-12.5K	0.46	114.69	N/A	N/A	97	45	2,282	1,548
2011-02-24	$27.60	$25.00	32.3%	9.3%	16.2%	58.3%	0.0%	5.8%	-1.3%	103.0K	-2.4M	-12.3K	0.36	80.47	N/A	N/A	239	87	2,329	1,525
2011-02-25	$28.61	$25.00	22.7%	6.5%	20.0%	31.4%	0.0%	16.1%	-0.6%	152.0K	-3.3M	-12.5K	3.00	59.86	N/A	N/A	20	60	2,478	1,538
2011-02-28	$28.71	$25.00	15.4%	4.4%	19.8%	10.6%	0.0%	9.5%	0.6%	165.3K	-3.4M	-10.7K	0.00	86.87	N/A	N/A	64	0	2,478	1,538