CWH Options History — July 2011

In July 2011, CWH traded between $23.52 and $26.45. ATM implied volatility averaged 20.7%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 7.1% (HV 20d: 27.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2011-07-06: Highest Volume — 4,247 contracts
  • 2011-07-29: Largest IV spike — 70.2% change
  • 2011-07-05: Highest IV Rank — 44.1%
  • 2011-07-06: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.67$23.52$26.45$26.25$23.62
Max Pain$25.50$25.00$35.00$25.00$25.00
ATM IV20.7%11.1%28.3%21.7%24.3%
Expected Move5.9%3.2%12.7%6.2%7.0%
HV 20d27.7%22.4%31.4%22.7%27.6%
HV 60d22.2%20.1%23.5%20.7%23.4%
IV Rank24.4%0.0%44.1%26.7%34.3%
IV Percentile37.4%0.0%75.7%44.0%59.0%
Term Structure-0.4%-31.5%14.8%-5.8%-2.1%
VWIV18.6%9.5%26.3%26.3%21.6%
Skew 25d1.3%-11.2%15.2%-11.2%3.1%
Skew 10d2.4%-8.2%24.3%-2.6%2.7%
Call IV 25d18.3%10.1%25.7%25.7%21.3%
Put IV 25d19.6%12.5%33.0%14.5%24.4%
Bid-Ask Spread %60.1716.14114.3699.9830.57
Gamma HHI0.560.430.720.450.54
Net GEX-125.1K-293.9K-57.3K-70.8K-84.4K
Net DEX2.1M-1.2M5.0M-81.5K3.4M
Net VEX-26.0K-31.7K-19.5K-23.9K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.018.382.940.03
Total Volume498.6284,247134438
Total OI7,134.26,1308,1926,9938,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$26.25$25.0021.7%6.2%22.7%26.7%26.3%-11.2%-5.8%-70.8K-81.5K-23.9K2.9499.98N/AN/A341003,0703,923
2011-07-05$26.45$25.0028.3%5.5%22.5%44.1%18.9%3.1%0.2%-71.6K-1.2M-21.4K0.4493.22N/AN/A71313,0704,011
2011-07-06$26.43$25.0021.9%12.7%22.4%27.2%0.0%15.2%-31.5%-62.9K-643.2K-19.5K0.0195.58N/AN/A4,192552,8954,010
2011-07-07$25.91$35.0026.6%8.5%23.6%39.6%0.0%3.6%-15.3%-194.8K823.3K-21.5K1.1290.56N/AN/A1071202,1763,985
2011-07-08$25.84$25.0018.9%5.6%23.7%19.4%0.0%2.7%2.3%-194.1K861.9K-23.3K0.0063.38N/AN/A0282,2623,965
2011-07-11$25.32$25.0028.2%5.9%23.9%43.8%0.0%0.2%0.2%-278.6K1.6M-23.5K8.3862.04N/AN/A262182,2623,973
2011-07-12$25.41$25.0024.7%5.6%23.9%34.5%19.4%1.1%1.0%-293.9K1.4M-22.4K2.08114.36N/AN/A25522,2803,850
2011-07-13$24.00$25.0026.0%5.2%31.4%38.1%18.8%-5.9%2.1%-200.6K4.0M-20.9K1.0862.62N/AN/A8038672,3053,868
2011-07-14$23.71$25.0018.3%5.2%30.9%17.6%18.3%-3.7%13.1%-169.6K5.0M-24.9K1.2988.60N/AN/A3874992,8874,553
2011-07-15$23.86$25.0017.3%5.0%30.8%15.2%9.5%10.2%6.8%-112.1K4.7M-27.0K1.4997.59N/AN/A53793,1444,874
2011-07-18$23.52$25.0019.5%5.6%31.1%20.9%21.0%2.1%14.8%-105.2K3.9M-26.8K1.9484.42N/AN/A50972,7133,935
2011-07-19$23.88$25.0011.1%3.2%31.2%0.0%9.8%9.1%7.9%-107.2K3.4M-26.9K1.0628.42N/AN/A1441522,7614,032
2011-07-20$23.93$25.0015.2%4.3%29.8%10.5%0.0%2.1%1.0%-98.0K3.1M-29.5K0.3931.38N/AN/A66262,8764,126
2011-07-21$24.13$25.0016.0%4.6%30.1%12.7%0.0%-5.9%-1.4%-90.4K3.0M-28.8K0.3925.03N/AN/A4081602,9404,110
2011-07-22$24.55$25.0019.9%5.7%30.6%22.9%19.9%-3.7%-1.4%-61.4K1.2M-28.6K3.2116.14N/AN/A772473,3384,256
2011-07-25$24.48$25.0019.9%5.7%30.6%22.8%20.0%4.5%-1.6%-71.1K1.3M-29.1K0.0222.95N/AN/A10123,4054,496
2011-07-26$24.55$25.0019.3%5.5%29.9%21.3%19.3%-3.2%-1.3%-57.3K1.1M-28.7K3.5219.01N/AN/A21743,4774,494
2011-07-27$23.95$25.0021.9%6.3%30.0%28.1%21.6%2.3%-2.2%-81.9K2.6M-31.7K0.9725.11N/AN/A34333,4964,564
2011-07-28$23.69$25.0014.3%4.1%27.8%8.2%0.0%-0.1%4.8%-96.8K3.4M-30.0K0.2852.50N/AN/A74213,5164,594
2011-07-29$23.62$25.0024.3%7.0%27.6%34.3%0.0%3.1%-2.1%-84.4K3.4M-31.3K0.0330.57N/AN/A426123,5774,615