CWH Options History — December 2011

In December 2011, CWH traded between $16.21 and $17.19. ATM implied volatility averaged 27.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.0% (HV 20d: 25.3%). 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 13 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2011-12-19: Highest Volume — 648 contracts
  • 2011-12-13: Largest IV spike — 109.7% change
  • 2011-12-13: Highest IV Rank — 78.7%
  • 2011-12-13: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.67$16.21$17.19$16.60$16.64
Max Pain$19.76$17.50$20.00$17.50$20.00
ATM IV27.2%20.0%51.6%25.7%24.5%
Expected Move8.3%5.7%12.2%7.4%7.0%
HV 20d25.3%22.6%29.8%29.8%24.6%
HV 60d43.9%36.5%47.0%47.0%36.5%
IV Rank31.3%17.2%78.7%28.4%26.0%
IV Percentile53.9%31.3%94.8%54.0%48.8%
Term Structure1.2%-7.7%11.9%5.5%-2.3%
VWIV31.6%16.7%41.6%41.6%22.5%
Skew 25d2.8%-9.1%18.9%7.1%5.8%
Skew 10d4.0%-11.1%18.4%6.1%8.8%
Call IV 25d28.5%15.7%35.9%29.8%26.8%
Put IV 25d31.3%17.8%38.7%36.9%32.6%
Bid-Ask Spread %33.9813.7181.3841.2232.81
Gamma HHI0.340.310.430.320.32
Net GEX54.6K20.7K109.7K52.7K30.3K
Net DEX4.8M4.3M5.4M4.6M5.0M
Net VEX-16.7K-18.5K-14.1K-17.7K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.235.390.821.07
Total Volume234.14342648153250
Total OI13,16212,28813,99512,64713,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$16.60$17.5025.7%7.4%29.8%28.4%41.6%7.1%5.5%52.7K4.6M-17.7K0.8241.22N/AN/A84696,9975,650
2011-12-02$16.60$17.5026.3%7.5%29.5%29.6%0.0%-6.4%6.2%67.2K4.5M-17.7K0.5425.99N/AN/A78427,0135,653
2011-12-05$16.66$20.0024.8%10.4%26.2%26.7%35.4%2.4%1.5%64.9K4.6M-17.8K0.9114.84N/AN/A2111937,0765,672
2011-12-06$16.68$20.0026.5%10.3%26.1%30.0%35.4%3.3%2.0%75.5K4.7M-17.6K0.4013.71N/AN/A104427,2095,768
2011-12-07$16.70$20.0027.8%10.2%26.1%32.4%34.3%7.5%1.9%84.3K4.6M-17.4K0.3615.39N/AN/A247887,2585,703
2011-12-08$16.21$20.0032.9%11.7%23.0%42.4%35.8%5.3%-4.0%43.7K5.0M-15.7K0.2335.61N/AN/A230547,4325,789
2011-12-09$16.71$20.0023.2%9.6%25.9%23.5%32.0%9.3%2.0%109.7K4.7M-16.8K0.8434.38N/AN/A51437,6315,832
2011-12-12$16.60$20.0024.6%9.6%25.7%26.2%35.6%8.7%3.0%77.1K5.0M-16.5K1.3459.92N/AN/A871177,6575,870
2011-12-13$16.25$20.0051.6%12.2%25.3%78.7%35.9%2.6%-7.7%31.7K5.4M-15.2K3.1821.04N/AN/A22707,7395,913
2011-12-14$16.33$20.0036.6%7.9%25.2%49.7%36.2%8.0%3.0%44.4K5.2M-15.8K0.3524.39N/AN/A162567,7475,975
2011-12-15$16.57$20.0024.9%7.1%25.7%26.9%28.3%7.6%4.0%68.1K5.0M-16.1K0.2624.92N/AN/A326857,8665,994
2011-12-16$16.68$20.0025.6%7.3%23.6%28.1%34.3%6.5%2.8%36.7K5.0M-15.9K1.9519.90N/AN/A591157,9726,023
2011-12-19$16.44$20.0033.1%9.5%24.1%42.8%33.1%5.7%0.0%20.7K5.2M-14.1K0.9238.67N/AN/A3383106,6315,657
2011-12-20$16.64$20.0024.7%7.1%22.9%26.5%28.2%4.1%-1.3%33.9K4.9M-16.4K0.4163.02N/AN/A3121296,9675,828
2011-12-21$16.66$20.0020.0%5.7%22.6%17.2%36.1%18.9%11.9%37.6K4.8M-17.1K5.3939.00N/AN/A281517,1145,896
2011-12-22$17.19$20.0024.2%6.9%24.8%25.4%28.4%-7.1%-0.8%60.5K4.3M-18.5K1.4919.23N/AN/A941407,1425,947
2011-12-23$17.12$20.0022.1%6.3%24.9%21.4%27.1%-9.1%-0.3%61.4K4.3M-17.9K0.9650.49N/AN/A74717,1595,970
2011-12-27$17.15$20.0029.8%8.6%24.1%36.4%28.8%-7.7%-1.7%61.5K4.5M-17.2K3.2181.38N/AN/A571837,1546,005
2011-12-28$16.77$20.0022.1%6.3%25.7%21.3%26.3%-7.7%-2.4%39.0K4.7M-17.1K1.3438.73N/AN/A44597,1515,991
2011-12-29$16.81$20.0020.8%6.0%24.5%18.7%16.7%-5.2%0.9%45.3K4.9M-16.1K0.0018.97N/AN/A0427,1406,016
2011-12-30$16.64$20.0024.5%7.0%24.6%26.0%22.5%5.8%-2.3%30.3K5.0M-17.0K1.0732.81N/AN/A1211297,1406,055