CWH Options History — September 2011

In September 2011, CWH traded between $17.76 and $20.50. ATM implied volatility averaged 43.4%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 6.7% (HV 20d: 50.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2011-09-12: Highest Volume — 1,164 contracts
  • 2011-09-15: Largest IV spike — 35.7% change
  • 2011-09-28: Highest IV Rank — 96.6%
  • 2011-09-28: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$17.76$20.50$19.89$18.97
Max Pain$23.57$20.00$25.00$20.00$22.50
ATM IV43.4%32.2%54.5%38.8%45.3%
Expected Move12.7%10.6%15.6%11.1%13.0%
HV 20d50.1%41.8%79.0%79.0%48.2%
HV 60d55.0%52.4%57.3%52.4%57.3%
IV Rank71.9%47.0%96.6%61.6%76.1%
IV Percentile95.0%84.5%99.2%93.7%95.6%
Term Structure-2.6%-13.5%2.8%1.2%0.7%
VWIV43.4%35.0%51.4%38.8%40.0%
Skew 25d6.7%-9.9%17.7%7.3%9.7%
Skew 10d7.9%-13.3%28.2%11.2%16.4%
Call IV 25d38.1%28.9%46.6%28.9%39.1%
Put IV 25d44.8%31.1%54.6%36.3%48.8%
Bid-Ask Spread %45.3833.0987.3987.3941.41
Gamma HHI0.380.290.460.290.45
Net GEX12.4K-30.4K48.3K-15.0K34.4K
Net DEX4.5M3.1M5.7M4.4M4.5M
Net VEX-28.3K-34.1K-21.5K-25.3K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.025.333.860.18
Total Volume239.714151,1643440
Total OI12,025.09510,39613,09210,39613,092

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$19.89$20.0038.8%11.1%79.0%61.6%38.8%7.3%1.2%-15.0K4.4M-25.3K3.8687.39N/AN/A7275,2725,124
2011-09-02$19.33$20.0036.9%10.6%78.3%57.3%36.7%-3.8%1.2%-30.4K5.4M-21.5K3.4143.95N/AN/A321095,2745,151
2011-09-06$19.41$25.0044.5%11.9%60.1%74.3%44.6%17.7%-7.1%-25.9K5.3M-22.2K0.7146.14N/AN/A28205,2995,210
2011-09-07$20.50$25.0042.7%11.8%49.8%70.4%38.5%12.6%-5.9%-5.7K4.3M-25.4K0.0248.31N/AN/A46475,3105,225
2011-09-08$20.09$25.0037.6%11.6%48.3%59.0%35.0%10.0%-3.2%-10.0K4.3M-25.8K0.0638.57N/AN/A432275,5815,228
2011-09-09$19.19$25.0047.1%12.0%48.1%80.1%42.7%0.5%-4.8%-10.8K4.9M-24.5K0.0047.94N/AN/A0156,0005,245
2011-09-12$19.36$25.0041.0%13.1%48.1%66.5%48.3%15.5%-4.5%-13.0K4.8M-25.1K0.5550.65N/AN/A7524126,0005,259
2011-09-13$19.41$25.0035.5%13.1%42.7%54.3%42.5%5.9%-4.3%5.0K4.0M-30.6K0.0239.16N/AN/A531106,6395,633
2011-09-14$19.45$25.0032.2%13.0%42.3%47.0%47.9%8.1%-4.3%21.8K3.8M-32.0K5.3333.09N/AN/A3167,1205,633
2011-09-15$19.76$25.0043.7%12.5%42.7%72.6%44.6%8.5%-4.8%27.3K3.2M-34.1K0.0238.40N/AN/A8327,1215,643
2011-09-16$19.96$25.0043.6%12.5%42.5%72.4%45.8%6.3%-2.2%48.3K3.1M-33.6K3.0750.84N/AN/A752307,1535,645
2011-09-19$19.39$25.0041.7%11.9%42.6%68.0%40.9%15.8%2.8%11.1K4.2M-30.9K0.1135.98N/AN/A208226,5345,382
2011-09-20$19.76$25.0040.7%11.7%41.8%65.9%39.6%6.6%2.8%21.9K3.8M-32.1K0.1567.06N/AN/A197296,7225,404
2011-09-21$18.61$22.5048.3%13.8%46.3%82.6%41.2%0.4%-4.8%26.0K4.9M-27.7K0.7044.53N/AN/A2021416,8975,433
2011-09-22$17.76$22.5048.0%13.8%48.2%82.1%47.7%-9.9%-0.7%18.6K5.7M-25.1K1.2542.53N/AN/A1682107,0435,574
2011-09-23$18.38$22.5051.8%14.9%49.7%90.6%51.4%11.2%-3.3%23.7K5.2M-28.1K0.4135.47N/AN/A69287,1005,648
2011-09-26$18.80$22.5046.6%13.3%49.7%78.9%44.5%6.8%-0.2%28.5K4.9M-29.1K0.1140.88N/AN/A256297,1465,645
2011-09-27$19.14$22.5048.5%13.9%47.1%83.1%51.1%1.8%-3.1%36.0K4.4M-31.1K0.5940.45N/AN/A34207,3505,653
2011-09-28$18.70$22.5054.5%15.6%47.5%96.6%42.2%-3.6%-13.5%32.2K4.8M-29.2K1.2238.47N/AN/A32397,3745,673
2011-09-29$19.31$22.5042.5%12.2%49.2%69.9%47.6%13.0%2.6%36.7K4.4M-31.6K0.6541.76N/AN/A17117,3805,712
2011-09-30$18.97$22.5045.3%13.0%48.2%76.1%40.0%9.7%0.7%34.4K4.5M-30.1K0.1841.41N/AN/A3467,3795,713