CWH Options History — April 2012

In April 2012, CWH traded between $18.05 and $18.89. ATM implied volatility averaged 26.2%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.9% (HV 20d: 20.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 8.49.

Notable Days

  • 2012-04-18: Highest Volume — 44,385 contracts
  • 2012-04-04: Largest IV spike — 80.0% change
  • 2012-04-11: Highest IV Rank — 54.5%
  • 2012-04-05: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.53$18.05$18.89$18.89$18.75
Max Pain$19.38$17.50$20.00$17.50$17.50
ATM IV26.2%14.7%39.1%24.6%19.4%
Expected Move7.2%4.2%10.4%7.0%5.6%
HV 20d20.4%18.1%24.1%21.6%22.9%
HV 60d23.1%22.2%24.0%23.6%23.1%
IV Rank29.4%6.9%54.5%26.2%16.1%
IV Percentile46.0%2.0%75.4%45.2%23.4%
Term Structure-4.3%-28.1%7.4%-14.9%2.4%
VWIV28.9%20.7%53.5%53.5%20.7%
Skew 25d7.3%-9.9%13.3%-9.9%4.5%
Skew 10d10.9%-0.9%21.5%-0.9%5.3%
Call IV 25d17.6%12.9%29.5%29.5%15.1%
Put IV 25d24.9%15.0%32.8%19.7%19.5%
Bid-Ask Spread %36.6717.3099.8136.6029.92
Gamma HHI0.430.270.720.390.29
Net GEX84.2K-79.7K180.1K153.6K5.9K
Net DEX795.4K-936.5K3.1M-936.5K1.3M
Net VEX-14.1K-20.5K-9.3K-20.5K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.490.0064.670.590.00
Total Volume2,337.51044,3851097
Total OI9,429.654,61911,85611,5625,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$18.89$17.5024.6%7.0%21.6%26.2%0.0%-9.9%-14.9%153.6K-936.5K-20.5K0.0036.60N/AN/A0106,4185,144
2012-04-03$18.86$17.5019.2%5.5%18.2%15.7%0.0%0.5%-4.3%164.2K-840.5K-18.3K0.5918.42N/AN/A41246,4185,144
2012-04-04$18.61$17.5034.5%9.9%18.6%45.5%0.0%2.0%-25.6%147.5K-307.9K-18.6K1.4338.19N/AN/A7106,4555,165
2012-04-05$18.51$17.5036.3%10.4%18.5%49.0%53.5%3.6%-28.1%136.3K109.2K-18.9K0.1595.31N/AN/A80126,4485,175
2012-04-09$18.20$20.0032.6%7.3%19.3%41.7%24.6%11.9%-2.4%179.7K463.4K-14.9K0.0017.83N/AN/A0596,5185,187
2012-04-10$18.05$20.0033.7%7.8%19.5%43.8%0.0%12.3%-3.3%173.8K974.8K-15.1K8.7526.38N/AN/A4356,5185,242
2012-04-11$18.35$20.0039.1%7.6%18.1%54.5%0.0%13.3%-1.9%138.1K631.2K-16.3K24.0084.54N/AN/A3726,5185,257
2012-04-12$18.57$20.0027.7%7.9%18.5%32.3%0.0%12.2%-2.4%141.6K20.4K-17.0K0.1032.23N/AN/A3036,5215,266
2012-04-13$18.44$20.0025.8%7.4%18.4%28.6%0.0%10.7%-0.4%139.6K276.1K-16.2K0.0231.69N/AN/A9326,5315,269
2012-04-16$18.68$20.0026.8%7.7%18.6%30.5%0.0%10.7%-3.1%151.2K-250.5K-14.2K0.6345.14N/AN/A86546,5105,271
2012-04-17$18.68$20.0028.1%8.0%18.2%33.0%0.0%13.0%-4.1%152.0K-295.3K-14.2K1.7722.82N/AN/A821456,5785,277
2012-04-18$18.62$20.0029.4%8.4%18.2%35.7%29.2%13.3%-3.1%180.1K75.1K-12.9K0.0018.45N/AN/A44,335506,5635,293
2012-04-19$18.15$20.0024.8%7.1%20.3%26.6%25.0%8.1%-1.5%-79.7K3.1M-9.3K10.4318.69N/AN/A282923,9415,302
2012-04-20$18.64$20.0020.6%5.9%21.3%18.5%23.4%9.5%7.4%-21.2K2.8M-9.7K64.6725.43N/AN/A63883,9565,333
2012-04-23$18.22$20.0025.1%7.2%22.9%27.2%25.9%8.6%-0.0%-24.5K2.0M-10.2K38.0020.21N/AN/A1381,7172,902
2012-04-24$18.21$20.0024.1%6.9%22.6%25.3%0.0%8.8%0.6%-27.1K2.0M-10.3K1.4918.48N/AN/A47701,7172,939
2012-04-25$18.58$20.0020.3%5.8%23.7%17.8%0.0%9.3%5.6%-20.2K1.9M-10.1K0.6135.90N/AN/A74451,7613,009
2012-04-26$18.85$20.0014.7%4.2%24.1%6.9%0.0%2.1%-2.5%-9.2K1.6M-10.6K0.0299.81N/AN/A36771,8183,053
2012-04-27$18.72$20.0018.3%5.2%24.1%13.9%20.7%1.9%-4.1%2.3K1.4M-12.6K0.1317.30N/AN/A4762,1653,051
2012-04-30$18.75$17.5019.4%5.6%22.9%16.1%0.0%4.5%2.4%5.9K1.3M-12.1K0.0029.92N/AN/A9702,1893,054