CWH Options History — October 2011

In October 2011, CWH traded between $17.24 and $19.78. ATM implied volatility averaged 47.7%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 12.8% (HV 20d: 60.4%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-10-18: Highest Volume — 2,023 contracts
  • 2011-10-19: Largest IV spike — 18.3% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-04: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.56$17.24$19.78$17.24$19.35
Max Pain$18.45$17.50$22.50$22.50$17.50
ATM IV47.7%37.1%58.2%57.1%40.7%
Expected Move13.5%10.6%16.7%16.4%11.7%
HV 20d60.4%50.0%64.6%57.9%50.0%
HV 60d62.9%60.2%65.1%60.2%62.6%
IV Rank77.8%55.2%100.0%100.0%62.8%
IV Percentile91.2%78.6%100.0%100.0%82.1%
Term Structure-0.2%-4.6%3.5%-4.6%-0.9%
VWIV47.1%35.5%57.2%57.2%48.6%
Skew 25d10.6%-3.1%18.9%-3.1%12.0%
Skew 10d19.3%-2.9%40.3%1.8%16.6%
Call IV 25d41.6%29.7%52.7%44.9%36.6%
Put IV 25d52.2%41.8%66.0%41.8%48.6%
Bid-Ask Spread %46.8630.1891.5964.5546.37
Gamma HHI0.520.420.640.420.60
Net GEX73.1K18.1K119.2K18.1K116.5K
Net DEX3.0M-1.0M5.9M5.9M-505.2K
Net VEX-29.7K-32.6K-23.7K-23.7K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.005.151.350.27
Total Volume393.952442,023310433
Total OI13,088.199,78514,71513,10310,322

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$17.24$22.5057.1%16.4%57.9%100.0%57.2%-3.1%-4.6%18.1K5.9M-23.7K1.3564.55N/AN/A1321787,3915,712
2011-10-04$18.07$22.5058.2%16.7%60.8%100.0%56.6%18.9%-4.1%25.5K5.2M-27.0K0.3136.80N/AN/A1,3444237,4435,738
2011-10-05$17.62$22.5055.9%16.0%57.2%95.2%44.4%9.5%-1.2%49.8K4.7M-29.0K3.0037.08N/AN/A431298,4755,770
2011-10-06$18.00$22.5052.3%15.0%57.9%87.5%52.1%-1.9%-1.0%55.1K4.5M-29.8K0.3251.58N/AN/A210688,4865,792
2011-10-07$17.40$17.5053.4%15.0%56.9%89.9%0.0%8.3%1.2%46.4K5.0M-27.7K0.0342.75N/AN/A20568,4555,806
2011-10-10$18.48$17.5054.3%14.6%61.3%91.7%46.2%12.1%0.4%60.5K4.2M-30.6K1.3749.37N/AN/A38528,4235,809
2011-10-11$18.04$17.5054.4%14.5%61.8%92.1%48.9%7.1%1.3%50.6K4.7M-28.4K0.4341.54N/AN/A167728,4395,803
2011-10-12$18.38$17.5052.1%14.4%62.2%87.1%50.4%9.1%0.2%63.2K4.4M-29.5K0.1645.57N/AN/A69118,5835,825
2011-10-13$18.26$17.5049.8%14.3%61.9%82.1%45.6%8.5%1.0%59.8K4.4M-29.1K0.1843.29N/AN/A88168,5865,828
2011-10-14$18.90$17.5043.3%12.4%63.2%68.4%43.2%11.5%3.5%85.1K3.9M-30.3K1.8555.22N/AN/A1402598,6515,830
2011-10-17$18.37$17.5049.9%14.3%63.2%82.5%49.9%10.3%0.1%65.3K4.6M-29.0K0.2845.57N/AN/A144408,7065,867
2011-10-18$19.14$17.5041.7%12.0%64.6%65.0%45.3%16.7%1.1%95.6K3.7M-30.4K0.0341.17N/AN/A1,958658,8285,887
2011-10-19$18.35$17.5049.3%14.1%62.8%81.2%47.5%9.6%-2.2%51.2K4.0M-30.0K5.1580.29N/AN/A402068,7395,844
2011-10-20$18.48$17.5049.8%14.3%60.4%82.2%50.1%10.7%1.0%66.3K3.9M-30.0K1.5540.61N/AN/A51798,7615,833
2011-10-21$19.16$17.5041.4%11.9%60.5%64.3%42.8%16.7%0.5%105.9K3.1M-31.1K1.6430.18N/AN/A2183588,7595,854
2011-10-24$19.48$17.5039.0%11.2%60.3%59.2%39.2%13.7%1.0%86.0K-471.1K-31.7K0.0891.59N/AN/A425335,9523,833
2011-10-25$18.79$17.5041.0%11.8%61.4%63.6%50.9%12.3%-1.7%96.5K103.7K-30.9K1.8830.85N/AN/A49926,2713,845
2011-10-26$18.98$17.5041.6%11.9%61.0%64.9%41.1%13.8%-1.5%100.1K229.7K-30.7K0.0034.38N/AN/A4406,3073,900
2011-10-27$19.78$17.5037.1%10.6%61.7%55.2%35.5%13.8%2.0%119.2K-1.0M-32.6K0.3330.68N/AN/A94316,3383,900
2011-10-28$19.59$17.5038.5%11.0%61.4%58.2%47.2%13.4%-1.0%118.6K-929.2K-31.6K0.3744.62N/AN/A192716,3633,898
2011-10-31$19.35$17.5040.7%11.7%50.0%62.8%48.6%12.0%-0.9%116.5K-505.2K-31.2K0.2746.37N/AN/A340936,4003,922