CWH Options History — May 2011

In May 2011, CWH traded between $25.39 and $27.45. ATM implied volatility averaged 21.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.2% (HV 20d: 19.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 5.85.

Notable Days

  • 2011-05-25: Highest Volume — 912 contracts
  • 2011-05-10: Largest IV spike — 143.9% change
  • 2011-05-10: Highest IV Rank — 69.1%
  • 2011-05-13: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.12$25.39$27.45$27.29$26.10
Max Pain$26.67$25.00$30.00$25.00$25.00
ATM IV21.8%14.5%37.8%20.8%23.1%
Expected Move6.2%4.2%9.1%6.0%6.6%
HV 20d19.6%17.3%23.0%18.3%18.3%
HV 60d23.6%20.8%24.9%23.6%20.9%
IV Rank26.9%7.8%69.1%24.2%30.3%
IV Percentile34.6%1.5%94.7%32.4%44.6%
Term Structure-3.5%-25.9%17.4%17.4%-14.8%
VWIV26.5%14.7%77.6%29.5%33.5%
Skew 25d1.0%-11.8%19.2%1.9%3.2%
Skew 10d8.7%-3.5%30.8%1.9%0.7%
Call IV 25d19.8%14.7%27.1%16.6%21.8%
Put IV 25d20.8%12.7%36.1%18.5%25.0%
Bid-Ask Spread %71.8728.07126.1344.8876.50
Gamma HHI0.440.380.530.530.38
Net GEX-32.5K-85.2K36.5K36.5K-31.8K
Net DEX-664.8K-2.0M360.3K-1.9M-816.0K
Net VEX-15.5K-20.1K-13.1K-16.1K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.850.0045.000.002.50
Total Volume136.47619127328
Total OI4,224.5243,8725,1404,0375,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$27.29$25.0020.8%6.0%18.3%24.2%0.0%1.9%17.4%36.5K-1.9M-16.1K0.0044.88N/AN/A7302,1551,882
2011-05-03$27.23$25.0026.8%7.7%18.3%40.1%0.0%2.3%7.2%27.0K-2.0M-15.0K0.2647.28N/AN/A2772,1771,882
2011-05-04$27.45$25.0030.7%8.8%18.3%50.5%0.0%19.2%-11.4%35.9K-1.9M-16.4K0.0153.80N/AN/A24722,1801,889
2011-05-05$26.88$25.0021.5%6.2%19.9%26.2%29.5%14.1%8.6%4.3K-1.4M-15.6K0.1229.18N/AN/A1722,0971,887
2011-05-06$26.05$25.0020.5%7.8%23.0%23.5%21.0%-11.8%-24.0%-35.0K-713.7K-14.8K0.54126.13N/AN/A140752,1071,887
2011-05-09$26.14$30.0015.5%4.7%22.9%10.3%0.0%-0.4%4.7%-28.4K-596.8K-14.4K0.42102.70N/AN/A62262,0101,862
2011-05-10$26.57$30.0037.8%8.1%21.0%69.1%0.0%3.6%-9.1%8.9K-1.3M-16.2K0.00103.39N/AN/A012,0321,883
2011-05-11$26.50$30.0018.6%5.4%21.0%18.6%0.0%3.7%1.3%284-1.1M-14.4K0.0062.62N/AN/A1102,0321,882
2011-05-12$26.12$30.0015.2%4.4%21.7%9.6%0.0%2.9%6.3%-27.1K-711.5K-14.0K0.0052.62N/AN/A0102,0321,882
2011-05-13$25.79$30.0031.7%9.1%21.4%53.1%0.0%-10.7%-25.9%-48.3K-398.2K-14.5K45.0083.73N/AN/A52252,0321,892
2011-05-16$25.84$30.0031.1%8.9%20.8%51.4%0.0%-7.8%-23.0%-63.2K-345.8K-14.3K8.5085.59N/AN/A2172,0372,117
2011-05-17$25.67$30.0018.9%5.4%19.9%19.3%18.7%0.7%0.8%-80.9K-84.5K-14.8K0.2228.07N/AN/A163362,0372,120
2011-05-18$25.72$25.0017.4%5.0%19.3%15.3%17.5%4.3%0.8%-57.3K-246.7K-15.0K12.2035.84N/AN/A5612,1362,138
2011-05-19$25.77$25.0017.1%4.9%19.1%14.4%16.9%3.3%0.4%-64.8K-299.6K-14.0K1.3468.16N/AN/A68912,1242,139
2011-05-20$25.62$25.0017.4%5.0%18.4%15.3%17.6%-0.4%1.1%-85.2K-103.3K-14.5K32.5070.47N/AN/A2652,0972,146
2011-05-23$25.39$25.0017.8%5.1%18.6%16.3%17.9%-4.4%-0.7%-53.9K120.7K-13.1K4.87121.05N/AN/A301462,0771,975
2011-05-24$25.44$25.0017.5%5.0%18.4%15.6%0.0%-3.1%0.4%-51.0K60.3K-14.4K0.9770.93N/AN/A1131102,1072,107
2011-05-25$25.42$25.0014.5%4.2%17.4%7.8%14.7%9.3%3.3%-63.1K360.3K-15.2K0.5674.59N/AN/A5843282,1412,192
2011-05-26$25.69$25.0015.3%4.4%17.4%9.9%0.0%-2.2%1.4%-56.0K-226.3K-20.0K0.0077.32N/AN/A5002,6072,492
2011-05-27$25.75$25.0028.3%8.1%17.3%44.2%77.6%-7.7%-18.0%-49.8K-426.5K-19.5K1.1894.49N/AN/A17202,6122,492
2011-05-31$26.10$25.0023.1%6.6%18.3%30.3%33.5%3.2%-14.8%-31.8K-816.0K-20.1K2.5076.50N/AN/A8202,6282,512