CWH Options History — February 2012

In February 2012, CWH traded between $18.60 and $21.00. ATM implied volatility averaged 21.3%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.3% (HV 20d: 21.6%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2012-02-23: Highest Volume — 713 contracts
  • 2012-02-09: Largest IV spike — 51.6% change
  • 2012-02-22: Highest IV Rank — 35.4%
  • 2012-02-22: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.20$18.60$21.00$20.26$18.60
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV21.3%11.9%29.3%19.3%18.9%
Expected Move6.6%3.4%8.4%5.5%5.4%
HV 20d21.6%16.1%28.3%22.6%28.2%
HV 60d24.4%21.9%27.6%27.6%25.7%
IV Rank19.9%1.6%35.4%15.8%15.0%
IV Percentile33.1%0.4%61.9%24.2%20.2%
Term Structure3.2%-0.1%9.3%4.8%6.2%
VWIV23.3%12.5%29.6%19.3%22.1%
Skew 25d10.2%-4.0%55.4%55.4%-2.8%
Skew 10d16.4%-2.9%127.1%124.4%-1.9%
Call IV 25d17.4%14.3%21.3%21.3%17.7%
Put IV 25d27.5%14.8%76.7%76.7%14.9%
Bid-Ask Spread %48.3616.61112.4537.4516.61
Gamma HHI0.360.320.420.420.39
Net GEX155.4K139.2K196.4K139.2K150.2K
Net DEX-4.8M-6.7M-784.2K-4.9M-784.2K
Net VEX-24.6K-25.6K-22.5K-24.8K-23.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.038.410.032.85
Total Volume173.416713394150
Total OI10,651.49,95211,2909,95211,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$20.26$20.0019.3%5.5%22.6%15.8%19.3%55.4%4.8%139.2K-4.9M-24.8K0.0337.45N/AN/A383115,4944,458
2012-02-02$20.32$20.0019.4%5.6%22.4%16.1%0.0%49.5%4.7%147.0K-4.8M-25.6K1.1018.97N/AN/A1441595,6174,447
2012-02-03$20.61$20.0018.6%6.7%21.0%14.6%0.0%5.1%2.7%141.9K-5.7M-24.8K0.3833.21N/AN/A225865,7164,523
2012-02-06$20.64$20.0016.4%7.1%21.0%10.4%24.8%6.6%1.5%153.7K-6.0M-24.8K1.0030.73N/AN/A885,9274,516
2012-02-07$20.62$20.0015.3%7.2%21.1%8.1%25.1%7.8%1.0%155.1K-5.9M-24.6K0.2817.10N/AN/A144405,9344,508
2012-02-08$20.64$20.0016.9%7.2%19.7%11.3%25.0%7.4%1.7%157.1K-5.9M-25.5K8.4118.58N/AN/A171436,0284,548
2012-02-09$20.46$20.0025.7%7.4%19.9%28.3%25.7%8.2%0.5%161.0K-5.8M-24.9K7.9016.82N/AN/A10796,0274,502
2012-02-10$20.39$20.0026.3%7.5%20.0%29.5%26.3%6.6%2.3%155.9K-5.2M-25.4K0.1818.05N/AN/A2246,0284,581
2012-02-13$20.70$20.0025.7%7.4%20.1%28.4%25.7%8.8%1.6%154.9K-6.0M-24.3K0.6391.16N/AN/A76486,0394,578
2012-02-14$20.59$20.0026.2%7.5%20.1%29.4%0.0%8.1%1.6%155.6K-5.7M-24.9K0.5919.03N/AN/A51306,0954,626
2012-02-15$20.61$20.0025.4%7.3%16.6%27.9%25.4%6.6%2.0%154.2K-5.8M-24.9K0.6797.08N/AN/A64436,1324,656
2012-02-16$21.00$20.0026.5%7.6%17.3%29.8%0.0%12.3%1.9%148.0K-6.7M-24.4K0.1280.01N/AN/A6686,1444,671
2012-02-17$21.00$20.0026.0%7.4%16.1%28.9%26.3%10.6%2.7%151.6K-6.6M-24.8K0.1881.48N/AN/A2856,1724,671
2012-02-21$20.83$20.0025.0%7.2%16.6%27.0%25.3%6.9%1.8%162.9K-6.2M-23.7K2.4655.05N/AN/A411016,1434,330
2012-02-22$20.65$20.0029.3%8.4%17.1%35.4%29.6%9.0%-0.1%158.1K-6.1M-23.5K0.4597.75N/AN/A44206,1704,362
2012-02-23$19.45$20.0018.9%5.4%27.4%15.1%18.8%0.9%2.6%196.4K-3.6M-22.5K1.2632.73N/AN/A3163976,2054,382
2012-02-24$19.07$20.0011.9%3.4%28.2%1.6%12.5%-4.0%9.3%165.7K-2.1M-24.9K2.00112.45N/AN/A841686,4064,667
2012-02-27$18.89$20.0015.6%4.5%28.2%8.7%17.3%1.4%5.7%156.2K-1.6M-24.9K1.3674.62N/AN/A53726,3804,813
2012-02-28$18.67$20.0019.5%5.6%28.3%16.3%22.1%-0.8%8.8%143.6K-944.7K-24.8K2.4318.39N/AN/A35856,3714,871
2012-02-29$18.60$20.0018.9%5.4%28.2%15.0%0.0%-2.8%6.2%150.2K-784.2K-23.5K2.8516.61N/AN/A391116,3484,942