CWH Options History — June 2011

In June 2011, CWH traded between $24.29 and $25.84. ATM implied volatility averaged 17.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.6% (HV 20d: 18.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.69.

Notable Days

  • 2011-06-07: Highest Volume — 365 contracts
  • 2011-06-28: Largest IV spike — 35.4% change
  • 2011-06-01: Highest IV Rank — 29.0%
  • 2011-06-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.07$24.29$25.84$25.37$25.84
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV17.8%14.9%22.6%22.6%15.4%
Expected Move5.1%4.3%6.5%6.5%4.4%
HV 20d18.4%14.6%22.2%20.5%22.1%
HV 60d19.3%18.0%21.6%21.6%20.5%
IV Rank16.3%8.9%29.0%29.0%10.0%
IV Percentile17.6%1.8%41.4%41.4%4.9%
Term Structure2.3%-7.8%7.4%-7.8%7.4%
VWIV18.1%14.1%27.9%17.1%14.1%
Skew 25d-0.6%-16.8%6.6%-1.0%5.5%
Skew 10d-0.4%-22.0%10.3%2.5%7.0%
Call IV 25d19.9%17.4%36.3%22.2%19.4%
Put IV 25d19.3%14.3%28.7%21.2%24.8%
Bid-Ask Spread %79.0521.73129.8763.59101.31
Gamma HHI0.470.410.580.410.47
Net GEX-107.8K-154.3K-51.1K-51.1K-150.4K
Net DEX1.0M-176.0K2.3M-176.0K-20.9K
Net VEX-22.4K-26.4K-19.7K-20.1K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.690.0019.440.000.21
Total Volume141.77313651171
Total OI5,922.6365,1406,8655,1406,865

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$25.37$25.0022.6%6.5%20.5%29.0%0.0%-1.0%-7.8%-51.1K-176.0K-20.1K0.0063.59N/AN/A102,6282,512
2011-06-02$25.23$25.0017.1%4.9%20.1%14.5%17.1%-16.8%0.2%-68.9K187.2K-19.9K0.0059.58N/AN/A0192,6292,512
2011-06-03$25.35$25.0019.7%5.6%19.3%21.4%27.9%5.4%1.2%-57.7K-7.6K-19.7K0.00129.87N/AN/A0512,6292,531
2011-06-06$25.16$25.0018.0%5.2%16.2%17.0%18.2%-1.1%3.0%-74.7K375.9K-19.7K1.1886.96N/AN/A11132,6292,513
2011-06-07$25.06$25.0017.0%5.2%16.1%14.4%18.2%-1.5%2.1%-81.5K511.3K-19.9K17.2591.45N/AN/A203452,6402,511
2011-06-08$24.92$25.0018.1%5.4%14.6%17.1%0.0%-1.9%1.4%-87.7K605.2K-20.8K1.9178.66N/AN/A22422,6602,739
2011-06-09$25.00$25.0016.8%4.8%14.8%13.8%16.8%-2.8%3.5%-97.1K732.0K-20.6K2.5869.23N/AN/A451162,6802,759
2011-06-10$24.54$25.0018.9%5.4%15.3%19.4%19.0%-4.1%-0.1%-90.6K1.6M-21.2K12.2779.89N/AN/A263192,7142,846
2011-06-13$24.47$25.0019.4%5.6%14.8%20.7%0.0%-4.7%-0.1%-118.1K2.1M-21.3K1.7053.14N/AN/A1001702,7173,085
2011-06-14$24.77$25.0017.3%5.0%15.7%15.0%17.3%-4.3%3.3%-154.3K1.8M-22.7K0.3575.92N/AN/A2382,8133,205
2011-06-15$24.29$25.0016.4%4.7%16.8%12.8%16.6%-3.8%1.4%-109.8K2.3M-22.3K19.44108.56N/AN/A91752,7963,208
2011-06-16$24.54$25.0016.3%4.7%17.4%12.3%16.2%-3.1%4.8%-132.7K2.2M-23.1K0.0088.96N/AN/A0662,7493,383
2011-06-17$24.56$25.0018.9%5.4%17.3%19.3%18.9%-4.6%-1.6%-136.5K2.0M-23.5K3.6581.17N/AN/A692522,7493,422
2011-06-20$24.90$25.0015.0%4.3%18.2%9.1%0.0%5.2%6.2%-129.6K1.9M-24.3K1.1742.18N/AN/A1051232,6843,442
2011-06-21$25.47$25.0020.3%5.8%19.8%23.0%20.3%0.6%-0.9%-105.4K786.8K-24.9K0.1078.28N/AN/A1012,7423,553
2011-06-22$25.53$25.0016.4%4.7%19.8%12.7%0.0%-0.2%5.7%-103.2K538.8K-21.6K0.11120.42N/AN/A4552,7483,553
2011-06-23$25.21$25.0015.5%4.4%20.4%10.3%15.5%4.3%5.9%-123.6K520.5K-22.9K0.3987.33N/AN/A1872,7843,548
2011-06-24$25.14$25.0018.2%5.2%19.9%17.4%18.2%5.5%3.1%-118.8K1.5M-24.8K3.3121.73N/AN/A16532,7893,555
2011-06-27$25.58$25.0014.9%4.3%21.0%8.9%15.4%-3.1%6.5%-152.5K482.8K-24.8K0.9749.82N/AN/A1321282,7853,583
2011-06-28$24.99$25.0020.2%5.8%21.8%22.8%20.2%6.6%-1.1%-116.0K1.4M-24.8K3.4971.27N/AN/A802792,9173,663
2011-06-29$25.73$25.0018.5%5.3%22.2%18.3%17.1%5.7%6.6%-111.9K623.1K-23.6K0.0799.80N/AN/A4132,9073,921
2011-06-30$25.84$25.0015.4%4.4%22.1%10.0%14.1%5.5%7.4%-150.4K-20.9K-26.4K0.21101.31N/AN/A141302,9473,918