CWH Options History — November 2011

In November 2011, CWH traded between $15.95 and $19.01. ATM implied volatility averaged 42.8%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 1.1% (HV 20d: 41.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2011-11-01: Highest Volume — 896 contracts
  • 2011-11-28: Largest IV drop — 48.9% change
  • 2011-11-25: Highest IV Rank — 100.0%
  • 2011-11-25: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.16$15.95$19.01$18.50$16.74
Max Pain$18.21$17.50$20.00$17.50$17.50
ATM IV42.8%27.0%62.5%51.2%27.0%
Expected Move12.2%7.8%17.9%14.7%7.8%
HV 20d41.7%30.6%50.7%50.6%31.4%
HV 60d50.3%48.2%56.8%56.8%48.5%
IV Rank66.3%31.0%100.0%85.3%31.0%
IV Percentile83.0%57.9%100.0%95.2%57.9%
Term Structure-0.0%-38.4%6.8%-4.1%4.1%
VWIV40.2%22.8%49.6%49.6%30.3%
Skew 25d8.1%-8.3%20.3%5.2%-8.3%
Skew 10d20.1%-13.2%72.6%8.1%-13.2%
Call IV 25d37.4%30.5%45.1%45.1%30.5%
Put IV 25d45.5%22.3%51.1%50.3%22.3%
Bid-Ask Spread %41.5817.0194.5748.7557.05
Gamma HHI0.500.290.790.610.29
Net GEX48.7K1.8K104.5K104.5K32.3K
Net DEX3.3M255.8K5.0M609.3K4.6M
Net VEX-22.3K-31.7K-17.2K-28.6K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.0313.649.420.18
Total Volume319.42958896896566
Total OI11,688.09510,51112,25310,51112,253

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$18.50$17.5051.2%14.7%50.6%85.3%49.6%5.2%-4.1%104.5K609.3K-28.6K9.4248.75N/AN/A868106,5803,931
2011-11-02$18.90$17.5038.1%10.9%50.0%57.4%45.5%7.9%3.0%99.6K494.5K-30.5K0.3935.73N/AN/A178706,5904,363
2011-11-03$19.01$17.5038.9%11.1%49.6%59.0%37.3%10.0%2.4%103.7K255.8K-31.7K0.9994.57N/AN/A69686,7154,421
2011-11-04$18.19$20.0047.7%13.1%50.7%77.8%42.2%9.6%-1.4%79.6K1.7M-27.4K1.3422.60N/AN/A29396,7144,454
2011-11-07$18.25$20.0044.8%12.8%45.9%71.6%38.4%13.3%0.1%74.3K1.9M-27.1K0.0722.19N/AN/A287206,7174,480
2011-11-08$18.08$20.0046.6%12.7%45.2%75.4%0.0%9.2%0.2%78.6K1.9M-26.4K0.2324.21N/AN/A47116,9544,487
2011-11-09$17.26$20.0049.3%13.4%47.5%81.1%46.8%5.9%-0.0%47.4K2.9M-23.7K0.5074.76N/AN/A2721376,9544,498
2011-11-10$17.27$20.0045.1%12.9%47.5%72.2%0.0%6.9%-0.2%54.7K3.0M-23.5K13.6424.91N/AN/A111507,1424,579
2011-11-11$17.43$20.0043.4%12.4%45.7%68.6%43.2%9.3%0.8%58.8K2.8M-23.4K0.0338.72N/AN/A15757,1424,605
2011-11-14$17.00$17.5043.1%12.4%45.4%68.1%22.8%15.4%1.2%49.6K3.4M-21.2K0.2425.24N/AN/A92227,2024,610
2011-11-15$17.11$17.5040.8%11.7%42.5%63.2%40.2%20.3%2.1%55.1K3.5M-21.1K3.4092.02N/AN/A782657,2594,610
2011-11-16$16.92$17.5042.3%12.1%40.3%66.3%42.1%14.3%1.1%51.3K3.7M-20.6K0.6535.70N/AN/A110727,2754,805
2011-11-17$16.44$17.5041.4%11.9%41.0%64.5%41.2%9.5%3.2%38.7K4.2M-18.8K2.5521.40N/AN/A651667,3214,802
2011-11-18$16.51$17.5038.3%11.0%38.1%57.7%44.9%11.7%3.5%33.4K4.6M-18.4K10.3317.01N/AN/A767857,3124,932
2011-11-21$16.13$17.5045.9%13.1%37.4%73.9%42.7%6.1%4.2%14.7K4.5M-17.7K4.2031.74N/AN/A1446056,3215,023
2011-11-22$16.00$17.5045.2%13.0%36.0%72.5%42.4%6.0%6.8%3.4K5.0M-17.2K2.1718.61N/AN/A1022216,3705,526
2011-11-23$15.95$17.5042.7%12.2%35.5%67.1%37.4%6.3%5.3%1.8K4.9M-17.4K0.3721.65N/AN/A4391626,4205,529
2011-11-25$16.00$17.5062.5%17.9%30.6%100.0%0.0%-0.7%-38.4%9.6K4.8M-18.8K0.9357.35N/AN/A30286,5325,635
2011-11-28$16.32$17.5032.0%9.2%32.4%40.6%40.5%7.1%2.2%16.0K4.7M-18.3K0.5072.40N/AN/A66336,5255,647
2011-11-29$16.38$17.5031.7%9.1%32.7%40.1%36.4%5.1%3.0%15.9K4.8M-17.7K0.2536.46N/AN/A108276,5555,660
2011-11-30$16.74$17.5027.0%7.8%31.4%31.0%30.3%-8.3%4.1%32.3K4.6M-18.3K0.1857.05N/AN/A480866,5735,680