CWH Options History — March 2011

In March 2011, CWH traded between $24.21 and $27.97. ATM implied volatility averaged 22.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 6.3% (HV 20d: 29.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.09.

Notable Days

  • 2011-03-18: Highest Volume — 809 contracts
  • 2011-03-09: Largest IV spike — 102.6% change
  • 2011-03-09: Highest IV Rank — 100.0%
  • 2011-03-09: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.96$24.21$27.97$27.97$25.97
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.9%13.7%49.5%13.7%19.1%
Expected Move6.2%3.9%7.7%3.9%5.5%
HV 20d29.2%22.2%33.6%22.2%25.5%
HV 60d23.7%21.2%25.2%21.2%22.7%
IV Rank30.3%6.1%100.0%6.1%19.8%
IV Percentile35.0%1.4%100.0%1.4%18.6%
Term Structure1.7%-9.7%10.6%-1.1%4.4%
VWIV22.7%16.2%30.9%24.3%18.8%
Skew 25d0.0%-9.5%5.0%-1.7%4.7%
Skew 10d-0.8%-15.2%13.2%4.2%1.0%
Call IV 25d23.7%17.8%32.2%19.6%20.2%
Put IV 25d23.7%17.9%27.9%17.9%24.9%
Bid-Ask Spread %63.5225.2197.7351.6466.61
Gamma HHI0.470.350.780.780.52
Net GEX48.4K-28.1K126.3K126.3K22.3K
Net DEX-1.2M-3.0M1.5M-3.0M-2.1M
Net VEX-16.3K-19.6K-12.1K-12.1K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0017.270.570.01
Total Volume161.478138093970
Total OI5,101.0874,0446,0894,0446,089

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$27.97$25.0013.7%3.9%22.2%6.1%0.0%-1.7%-1.1%126.3K-3.0M-12.1K0.0051.64N/AN/A0392,5061,538
2011-03-02$26.80$25.0022.3%6.4%26.6%30.1%0.0%-0.0%-9.7%74.3K-1.6M-12.9K0.5797.73N/AN/A3842172,5061,561
2011-03-03$27.05$25.0020.6%5.9%26.8%25.4%0.0%5.0%-9.3%80.5K-1.9M-16.4K0.0056.99N/AN/A3102,8311,728
2011-03-04$26.77$25.0027.4%6.4%26.7%44.4%24.3%3.3%5.2%84.6K-2.0M-15.3K0.4794.03N/AN/A1572,8521,728
2011-03-07$26.61$25.0019.4%6.7%26.5%22.0%0.0%0.8%5.0%70.7K-1.6M-14.8K0.0078.03N/AN/A2002,8621,731
2011-03-08$27.29$25.0024.4%5.4%27.9%36.2%0.0%2.1%8.0%84.8K-2.2M-14.3K0.0062.32N/AN/A2002,8721,731
2011-03-09$26.84$25.0049.5%7.7%28.6%100.0%22.8%-3.2%-6.5%96.4K-2.1M-15.4K0.3084.48N/AN/A1032,8821,731
2011-03-10$26.18$25.0024.0%6.9%29.6%32.7%22.4%0.2%5.8%70.7K-1.5M-14.9K1.5071.39N/AN/A26392,8821,730
2011-03-11$26.20$25.0023.3%6.7%29.5%30.8%29.1%-3.4%2.1%62.5K-1.4M-15.1K0.1684.01N/AN/A62102,9021,753
2011-03-14$25.83$25.0026.6%7.6%29.7%39.6%26.7%-5.4%-2.9%54.8K-985.0K-14.6K11.8444.07N/AN/A313672,8751,753
2011-03-15$25.22$25.0026.1%7.5%30.6%38.3%26.1%-9.5%-1.6%3.0K60.0K-15.5K0.5990.54N/AN/A49292,8832,120
2011-03-16$24.39$25.0020.1%5.8%31.9%22.5%24.2%-4.9%2.1%-5.8K550.9K-15.5K1.3161.11N/AN/A1091432,9272,144
2011-03-17$24.21$25.0025.6%7.3%29.9%36.9%30.9%-5.3%-2.2%-28.1K1.5M-14.4K2.5670.63N/AN/A25642,9872,199
2011-03-18$24.78$25.0023.1%6.6%31.6%30.3%22.9%4.5%2.4%-14.3K943.2K-15.1K0.7541.46N/AN/A4633463,0122,243
2011-03-21$25.27$25.0024.0%6.9%32.9%32.7%24.0%4.9%-0.3%20.6K-332.6K-17.9K0.0762.67N/AN/A274193,0752,219
2011-03-22$25.46$25.0021.3%6.1%33.2%25.7%21.5%3.8%2.7%53.1K-1.0M-19.3K2.4171.23N/AN/A711713,3242,238
2011-03-23$25.41$25.0020.1%5.8%32.9%22.4%20.1%-1.1%3.3%38.8K-924.8K-19.6K0.6164.45N/AN/A51313,3712,351
2011-03-24$25.81$25.0016.2%4.7%33.6%12.3%16.2%-1.5%10.4%52.2K-1.7M-18.5K0.0928.15N/AN/A2223,3942,357
2011-03-25$25.75$25.0020.9%6.0%30.3%24.6%20.8%-0.4%2.8%44.6K-1.5M-18.8K0.2425.21N/AN/A167403,3962,355
2011-03-28$25.70$25.0020.5%5.9%30.1%23.5%17.4%2.5%6.9%44.0K-1.9M-18.2K0.2747.37N/AN/A44123,4972,395
2011-03-29$25.69$25.0022.9%6.6%29.2%29.9%23.1%3.9%0.5%40.0K-1.7M-19.1K5.0071.42N/AN/A5253,4882,397
2011-03-30$25.98$25.0015.4%4.4%25.8%10.2%17.4%1.6%10.6%37.4K-2.1M-18.3K17.2735.39N/AN/A111903,4882,422
2011-03-31$25.97$25.0019.1%5.5%25.5%19.8%18.8%4.7%4.4%22.3K-2.1M-18.8K0.0166.61N/AN/A6913,4972,592