CWH Options History — March 2012

In March 2012, CWH traded between $17.94 and $18.81. ATM implied volatility averaged 24.7%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.2% (HV 20d: 25.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 5.79.

Notable Days

  • 2012-03-06: Highest Volume — 165 contracts
  • 2012-03-20: Largest IV spike — 48.4% change
  • 2012-03-14: Highest IV Rank — 51.0%
  • 2012-03-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.44$17.94$18.81$18.79$18.62
Max Pain$17.73$17.50$20.00$20.00$17.50
ATM IV24.7%17.4%37.3%18.9%32.5%
Expected Move7.2%5.0%9.3%5.4%9.3%
HV 20d25.0%19.3%28.6%26.0%21.0%
HV 60d25.1%24.0%26.7%25.8%24.2%
IV Rank26.4%12.1%51.0%15.1%41.5%
IV Percentile45.4%13.5%71.0%21.0%65.9%
Term Structure-3.2%-25.2%8.0%-4.8%-25.2%
VWIV22.5%10.4%32.9%24.3%17.6%
Skew 25d5.4%-8.1%14.3%1.3%4.3%
Skew 10d6.1%-1.5%14.3%1.8%1.9%
Call IV 25d17.8%10.9%26.3%16.8%17.7%
Put IV 25d23.2%17.6%26.7%18.1%21.9%
Bid-Ask Spread %32.5517.6285.8217.6238.29
Gamma HHI0.430.380.540.380.41
Net GEX152.3K108.0K187.1K148.4K143.3K
Net DEX-208.9K-1.5M1.1M-1.1M-309.8K
Net VEX-20.5K-24.3K-16.7K-24.3K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.790.0070.002.957.20
Total Volume58.9091165141
Total OI11,571.04511,25611,87911,41311,553

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$18.79$20.0018.9%5.4%26.0%15.1%0.0%1.3%-4.8%148.4K-1.1M-24.3K0.0017.62N/AN/A016,3605,053
2012-03-02$18.81$20.0019.7%5.7%25.9%16.7%24.3%1.5%2.6%160.1K-1.4M-23.3K2.9520.25N/AN/A20596,3605,054
2012-03-05$18.80$17.5020.8%5.6%25.1%18.9%18.6%6.4%2.2%153.5K-908.5K-23.1K0.5233.92N/AN/A46246,3705,098
2012-03-06$18.22$17.5021.0%8.5%26.7%19.2%27.1%1.4%-2.3%124.3K333.2K-22.5K4.6921.83N/AN/A291366,3785,111
2012-03-07$18.06$17.5020.0%7.5%26.6%17.3%23.1%5.3%-0.3%117.6K994.9K-21.3K3.4020.74N/AN/A351196,3875,233
2012-03-08$17.94$17.5019.8%7.5%26.5%16.8%25.9%8.0%-1.0%108.0K1.0M-21.0K2.6743.03N/AN/A21566,4175,342
2012-03-09$18.13$17.5018.8%7.5%27.2%14.9%24.6%6.6%-2.7%120.9K1.1M-21.2K1.0031.36N/AN/A12126,4275,396
2012-03-12$18.16$17.5025.0%7.4%27.3%27.0%25.0%9.3%-1.3%129.6K597.5K-21.0K0.0030.12N/AN/A0206,4165,408
2012-03-13$18.63$17.5031.5%6.1%28.6%39.7%13.8%12.8%8.0%167.8K-675.1K-20.7K0.9626.14N/AN/A69666,4165,428
2012-03-14$18.49$17.5037.3%7.5%28.6%51.0%25.5%14.3%-0.5%153.1K-359.4K-21.0K0.0328.54N/AN/A3016,3935,486
2012-03-15$18.35$17.5027.3%7.8%28.5%31.5%0.0%11.3%-4.2%149.8K205.3K-20.2K0.2720.17N/AN/A52146,3835,485
2012-03-16$18.55$17.5028.0%8.0%27.7%32.8%22.3%9.6%-6.7%150.4K-267.3K-21.5K3.8822.24N/AN/A8316,3445,497
2012-03-19$18.76$17.5017.4%5.0%28.3%12.1%10.4%14.1%-0.7%173.2K-1.5M-20.4K0.0355.74N/AN/A11436,2195,037
2012-03-20$18.70$17.5025.8%7.4%28.3%28.5%25.1%3.6%-1.3%177.8K-1.1M-19.8K6.0025.47N/AN/A2126,2995,037
2012-03-21$18.67$17.5027.9%8.0%28.3%32.7%25.1%-8.1%-17.5%138.0K-478.7K-22.5K0.0038.69N/AN/A1606,3015,045
2012-03-22$18.30$17.5025.1%7.2%20.6%27.3%24.2%-1.8%-2.7%171.0K-34.1K-18.9K0.4322.98N/AN/A54236,3175,045
2012-03-23$18.29$17.5023.6%6.8%19.6%24.2%23.0%-2.1%0.9%180.5K-80.0K-17.6K0.0242.31N/AN/A6216,3595,068
2012-03-26$18.49$17.5024.3%7.0%19.9%25.6%16.4%8.0%0.1%187.1K-597.6K-17.4K0.1426.67N/AN/A716,4175,067
2012-03-27$18.45$17.5027.1%7.8%19.5%31.0%32.9%-1.3%-15.0%145.9K44.8K-19.7K70.0038.41N/AN/A1706,4175,067
2012-03-28$18.32$17.5024.9%7.1%19.6%26.9%0.0%6.8%-0.0%180.5K-229.1K-16.7K0.0085.82N/AN/A0136,4185,117
2012-03-29$18.22$17.5027.0%7.7%19.3%30.8%0.0%6.6%1.2%170.4K183.5K-17.4K0.0025.69N/AN/A0156,4185,120
2012-03-30$18.62$17.5032.5%9.3%21.0%41.5%17.6%4.3%-25.2%143.3K-309.8K-19.4K7.2038.29N/AN/A5366,4185,135