CWH Options History — April 2011

In April 2011, CWH traded between $25.40 and $27.39. ATM implied volatility averaged 21.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.5% (HV 20d: 20.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 7.43.

Notable Days

  • 2011-04-28: Highest Volume — 398 contracts
  • 2011-04-26: Largest IV spike — 28.6% change
  • 2011-04-13: Highest IV Rank — 50.6%
  • 2011-04-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.29$25.40$27.39$25.85$27.39
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV21.5%16.0%30.8%22.1%17.0%
Expected Move6.1%4.6%6.9%6.3%4.9%
HV 20d20.0%16.3%25.3%25.3%18.4%
HV 60d23.2%22.3%23.9%22.4%23.6%
IV Rank26.0%11.6%50.6%27.7%14.2%
IV Percentile32.4%6.2%76.5%35.2%11.0%
Term Structure1.3%-5.3%12.7%3.9%5.2%
VWIV22.0%12.9%27.4%19.1%21.3%
Skew 25d4.6%-1.5%13.7%6.2%12.5%
Skew 10d5.3%-2.7%33.2%5.1%5.5%
Call IV 25d17.1%13.2%21.3%21.2%13.9%
Put IV 25d21.8%14.9%27.4%27.4%26.4%
Bid-Ask Spread %61.0714.57109.7870.9087.55
Gamma HHI0.460.370.640.520.64
Net GEX16.3K-6.7K42.5K21.2K42.5K
Net DEX-2.0M-3.5M-1.2M-1.9M-2.5M
Net VEX-18.8K-21.4K-14.6K-18.3K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.430.0589.000.160.05
Total Volume125.0514398198108
Total OI5,507.754,1336,7816,1154,261

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$25.85$25.0022.1%6.3%25.3%27.7%19.1%6.2%3.9%21.2K-1.9M-18.3K0.1670.90N/AN/A170283,5222,593
2011-04-04$25.75$25.0018.2%6.5%25.3%17.4%0.0%0.4%-0.2%21.1K-2.0M-19.0K3.8814.71N/AN/A582253,6102,611
2011-04-05$25.91$25.0018.6%6.4%23.5%18.5%0.0%1.2%-0.3%8.3K-2.0M-20.4K0.0060.12N/AN/A0523,6302,831
2011-04-06$25.72$25.0018.8%6.3%23.0%19.0%0.0%0.7%0.2%6.2K-1.7M-20.7K1.1552.42N/AN/A71823,6302,871
2011-04-07$25.51$25.0022.5%6.2%21.5%28.8%21.7%-0.5%0.7%997-1.2M-21.1K0.2963.20N/AN/A113333,6912,934
2011-04-08$25.40$25.0023.0%6.1%21.5%30.2%0.0%-1.5%1.7%2.6K-1.3M-21.0K1.8066.54N/AN/A593,8012,966
2011-04-11$26.19$25.0028.3%6.9%23.8%44.0%24.0%2.8%-0.9%12.7K-2.5M-21.4K0.0750.55N/AN/A6143,8012,972
2011-04-12$26.18$25.0024.6%6.3%21.9%34.3%22.0%3.5%1.1%13.0K-3.1M-20.6K3.3114.57N/AN/A742453,8092,972
2011-04-13$26.15$25.0030.8%6.5%17.6%50.6%22.9%3.5%-0.3%12.7K-2.9M-19.3K4.69109.78N/AN/A13613,7412,895
2011-04-14$26.54$25.0022.7%6.5%17.5%29.2%22.7%7.1%0.6%21.4K-3.2M-20.2K0.3950.92N/AN/A59233,7412,896
2011-04-15$26.86$25.0023.8%6.8%16.3%32.2%24.4%9.9%0.3%30.9K-3.5M-20.4K0.9460.57N/AN/A66623,7112,889
2011-04-18$26.36$25.0023.3%6.7%17.2%30.9%23.7%6.1%-2.4%17.3K-1.4M-18.1K0.9045.52N/AN/A30272,4291,740
2011-04-19$25.97$25.0021.3%6.1%18.0%25.6%27.4%5.5%1.6%6.3K-1.2M-18.0K89.00106.45N/AN/A1892,3661,767
2011-04-20$26.15$25.0017.9%5.1%18.1%16.7%0.0%4.2%12.7%-6.7K-1.3M-18.4K0.0062.44N/AN/A0432,3661,840
2011-04-21$26.52$25.0017.0%4.9%18.0%14.3%0.0%6.6%7.2%10.5K-1.6M-18.3K18.0056.46N/AN/A2362,3661,883
2011-04-25$26.48$25.0016.0%4.6%18.0%11.6%12.9%-0.9%3.2%13.0K-1.6M-18.9K3.8867.50N/AN/A16622,3661,855
2011-04-26$26.61$25.0020.6%5.9%18.0%23.7%0.0%8.5%0.1%22.8K-1.9M-17.4K3.9568.81N/AN/A19752,3781,877
2011-04-27$26.99$25.0019.0%5.5%18.5%19.6%0.0%13.7%-2.1%31.9K-2.1M-15.6K1.0871.18N/AN/A39422,3831,900
2011-04-28$27.27$25.0023.7%6.8%18.4%32.0%21.3%3.5%-5.3%37.5K-2.1M-15.3K0.1741.13N/AN/A340582,3631,898
2011-04-29$27.39$25.0017.0%4.9%18.4%14.2%0.0%12.5%5.2%42.5K-2.5M-14.6K0.0587.55N/AN/A10352,3631,898