CWH Options History — August 2011

In August 2011, CWH traded between $17.04 and $23.35. ATM implied volatility averaged 38.3%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 29.9% (HV 20d: 68.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 8.52.

Notable Days

  • 2011-08-04: Highest Volume — 1,424 contracts
  • 2011-08-05: Largest IV spike — 42.8% change
  • 2011-08-09: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.06$17.04$23.35$23.35$20.56
Max Pain$21.30$20.00$25.00$25.00$20.00
ATM IV38.3%21.1%56.0%22.9%36.4%
Expected Move10.5%6.0%12.8%6.6%10.5%
HV 20d68.3%26.6%84.1%26.6%83.2%
HV 60d44.2%23.2%52.1%23.2%52.1%
IV Rank62.4%25.9%100.0%30.7%56.4%
IV Percentile88.0%43.3%100.0%49.8%90.1%
Term Structure1.6%-1.7%4.8%-1.3%3.9%
VWIV34.5%19.3%45.3%20.7%35.6%
Skew 25d6.6%-13.4%28.2%8.2%0.2%
Skew 10d12.8%-15.6%45.3%45.3%-0.4%
Call IV 25d31.3%15.6%45.7%15.6%35.7%
Put IV 25d37.9%21.8%51.2%23.8%35.8%
Bid-Ask Spread %49.0025.1495.1626.3641.70
Gamma HHI0.400.260.780.600.33
Net GEX-39.5K-137.4K-13.3K-95.9K-16.2K
Net DEX5.1M3.9M7.1M4.1M4.3M
Net VEX-23.6K-29.4K-11.7K-29.4K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.520.03121.0038.650.05
Total Volume390.913251,424674462
Total OI9,535.3488,23610,2238,23610,171

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$23.35$25.0022.9%6.6%26.6%30.7%20.7%8.2%-1.3%-95.9K4.1M-29.4K38.6526.36N/AN/A176573,6234,613
2011-08-02$22.64$25.0022.1%6.3%27.5%28.5%23.4%4.1%-1.7%-133.1K5.0M-28.7K1.1831.47N/AN/A79933,6274,869
2011-08-03$22.00$25.0021.1%6.0%28.4%25.9%22.1%1.7%2.0%-137.4K6.1M-26.8K0.6940.94N/AN/A6514463,7024,878
2011-08-04$20.30$25.0025.9%7.4%37.9%38.5%26.7%3.6%-0.5%-62.9K7.1M-21.5K5.1431.94N/AN/A2321,1924,3044,974
2011-08-05$19.50$22.5037.0%8.5%39.0%67.4%19.4%-3.0%2.5%-37.0K6.2M-18.1K0.5795.16N/AN/A3662084,4244,416
2011-08-08$17.04$22.5045.9%12.2%58.0%90.7%43.3%-13.4%-0.1%-25.2K6.5M-11.7K6.3878.01N/AN/A634024,4974,578
2011-08-09$19.02$22.5056.0%10.2%73.8%100.0%45.3%13.3%0.5%-36.9K6.1M-18.5K2.9978.83N/AN/A1805384,5144,631
2011-08-10$18.32$22.5054.6%12.8%72.6%96.9%35.5%7.4%1.0%-37.6K6.0M-18.0K0.1437.96N/AN/A183254,6444,813
2011-08-11$19.29$20.0041.1%11.8%76.2%66.7%41.3%15.9%0.5%-33.1K5.5M-20.8K0.0962.20N/AN/A232214,7724,828
2011-08-12$19.46$20.0040.3%11.5%76.3%64.9%41.4%14.2%0.3%-25.8K5.0M-22.8K2.3154.77N/AN/A491134,7764,829
2011-08-15$20.65$20.0036.6%10.5%80.2%56.8%36.0%6.2%4.8%-20.2K4.6M-25.7K0.4847.12N/AN/A81394,7964,892
2011-08-16$20.28$20.0035.3%10.1%79.8%53.9%35.6%-6.1%3.5%-21.2K4.5M-24.7K0.1437.84N/AN/A99144,8394,909
2011-08-17$20.44$20.0035.0%10.0%80.0%53.2%35.1%-4.6%3.0%-19.5K4.7M-24.3K121.0025.14N/AN/A11214,9014,907
2011-08-18$20.13$20.0041.9%12.0%79.8%68.4%0.0%18.8%2.3%-22.6K4.7M-25.6K0.0355.95N/AN/A364114,8625,011
2011-08-19$19.56$20.0042.7%12.3%79.4%70.4%43.3%2.4%0.9%-15.8K4.7M-25.3K0.2545.32N/AN/A2055,2065,017
2011-08-22$19.03$20.0043.8%12.6%79.5%72.7%44.0%-1.3%-0.3%-26.8K4.8M-21.8K0.1471.02N/AN/A7911134,7954,738
2011-08-23$19.50$20.0039.1%11.2%80.5%62.2%39.1%13.1%4.7%-31.5K4.9M-21.9K3.5367.89N/AN/A551945,1304,826
2011-08-24$19.86$20.0040.6%11.6%81.0%65.5%34.8%14.1%2.4%-20.6K4.4M-25.7K9.0229.35N/AN/A413705,1734,918
2011-08-25$19.41$20.0039.6%11.3%81.1%63.3%39.8%10.0%2.6%-32.1K4.8M-24.2K1.1734.39N/AN/A42494,8605,018
2011-08-26$19.85$20.0043.4%12.4%81.9%71.9%43.6%18.5%-0.3%-30.6K4.5M-26.5K0.2148.27N/AN/A2454,8725,063
2011-08-29$20.76$20.0042.7%12.3%84.1%70.4%19.3%28.2%0.5%-13.3K4.1M-26.5K0.4241.11N/AN/A217914,8745,067
2011-08-30$20.46$20.0037.9%10.9%83.6%59.6%0.0%0.7%4.6%-13.5K3.9M-28.1K1.3344.33N/AN/A15205,0425,114
2011-08-31$20.56$20.0036.4%10.5%83.2%56.4%35.6%0.2%3.9%-16.2K4.3M-26.0K0.0541.70N/AN/A441215,0475,124