CWH Options History — May 2012

In May 2012, CWH traded between $17.22 and $18.94. ATM implied volatility averaged 20.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.7% (HV 20d: 22.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.90.

Notable Days

  • 2012-05-30: Highest Volume — 521 contracts
  • 2012-05-02: Largest IV spike — 52.2% change
  • 2012-05-18: Highest IV Rank — 30.9%
  • 2012-05-18: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.29$17.22$18.94$18.94$17.65
Max Pain$17.61$17.50$20.00$17.50$17.50
ATM IV20.3%11.9%27.0%14.7%25.2%
Expected Move5.5%3.4%7.7%4.2%7.2%
HV 20d22.1%20.3%24.0%22.6%23.8%
HV 60d22.5%21.2%23.8%23.0%21.7%
IV Rank17.9%1.5%30.9%6.9%27.3%
IV Percentile27.6%0.4%56.0%2.0%47.6%
Term Structure5.0%-6.4%15.4%4.1%2.0%
VWIV22.0%12.3%25.7%19.0%25.2%
Skew 25d4.5%-5.2%12.2%6.2%6.6%
Skew 10d12.4%2.1%76.8%8.1%11.1%
Call IV 25d16.7%10.6%23.8%14.1%22.4%
Put IV 25d21.3%13.8%28.9%20.3%28.9%
Bid-Ask Spread %34.3316.5193.5831.1516.77
Gamma HHI0.330.270.450.300.40
Net GEX-3.9K-45.5K14.6K14.6K-6.1K
Net DEX1.8M1.1M2.7M1.1M2.7M
Net VEX-12.0K-13.1K-9.9K-12.5K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.900.0013.601.762.88
Total Volume88.2270521196101
Total OI5,674.4555,3176,4225,3176,422

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$18.94$17.5014.7%4.2%22.6%6.9%0.0%6.2%4.1%14.6K1.1M-12.5K1.7631.15N/AN/A711252,2633,054
2012-05-02$18.68$17.5022.3%6.4%23.1%21.8%19.0%2.4%-6.4%4.2K1.3M-12.8K6.1532.10N/AN/A13802,2853,113
2012-05-03$18.76$20.0018.6%5.3%22.7%14.6%0.0%3.8%-4.6%5.1K1.4M-12.3K2.5052.39N/AN/A4102,2923,193
2012-05-04$18.77$17.5019.3%3.7%22.6%16.0%0.0%9.4%7.9%4.2K1.4M-12.4K0.0024.80N/AN/A1902,2963,203
2012-05-07$18.84$17.5016.4%3.4%21.6%10.2%22.8%3.5%8.4%9.2K1.2M-12.3K0.0028.26N/AN/A1002,3153,203
2012-05-08$18.74$17.5019.8%3.7%21.5%16.9%12.3%2.3%15.4%2.7K1.4M-12.7K0.0029.04N/AN/A4602,3253,203
2012-05-09$18.86$17.5018.4%3.5%20.8%14.1%0.0%12.2%7.2%6.8K1.1M-13.1K0.0025.16N/AN/A1202,3713,203
2012-05-10$18.80$17.5011.9%3.4%20.5%1.5%0.0%3.6%9.5%6.2K1.3M-12.8K0.0031.48N/AN/A002,3833,203
2012-05-11$18.87$17.5013.3%3.8%20.3%4.1%0.0%3.0%8.9%12.4K1.2M-12.4K2.1128.81N/AN/A9192,3833,203
2012-05-14$18.55$17.5019.3%5.5%20.8%15.9%0.0%8.4%8.6%2.7K1.4M-12.0K0.0024.68N/AN/A0142,3923,213
2012-05-15$18.39$17.5021.5%6.2%21.0%20.1%0.0%5.6%5.5%-7941.6M-11.8K1.0025.50N/AN/A112,3923,227
2012-05-16$18.34$17.5019.4%5.6%21.0%16.2%0.0%7.7%9.5%-3.1K1.6M-11.8K0.0025.93N/AN/A002,3933,228
2012-05-17$17.71$17.5025.7%7.4%22.7%28.4%25.7%5.0%1.7%-45.5K2.2M-10.7K0.0081.15N/AN/A0222,3933,228
2012-05-18$17.22$17.5027.0%7.7%22.1%30.9%0.0%1.0%-0.7%-40.9K2.6M-9.9K13.6019.93N/AN/A5682,3933,229
2012-05-21$17.57$17.5024.7%7.1%22.5%26.4%24.7%3.8%2.2%-6.8K2.3M-10.2K12.1730.54N/AN/A121462,3803,093
2012-05-22$17.63$17.5024.4%7.0%22.5%25.8%24.4%2.7%3.3%-8.3K2.4M-10.7K4.2827.49N/AN/A251072,3913,211
2012-05-23$17.70$17.5023.1%6.6%21.2%23.4%23.1%4.3%3.4%-8.3K2.5M-10.9K5.3616.51N/AN/A281502,4163,316
2012-05-24$18.15$17.5021.5%6.2%22.6%20.2%20.6%4.1%6.1%-7.4K2.2M-12.4K1.4693.58N/AN/A50732,4433,465
2012-05-25$18.07$17.5017.8%5.1%22.5%13.1%0.0%-5.2%3.9%-6.6K2.3M-12.4K0.0031.92N/AN/A01722,4763,506
2012-05-29$18.26$17.5019.8%5.7%22.9%16.8%0.0%5.6%10.2%-7.5K2.2M-12.7K12.5023.37N/AN/A2252,4763,583
2012-05-30$17.80$17.5023.1%6.6%24.0%23.3%0.0%4.3%4.9%-11.7K2.6M-12.3K0.5654.70N/AN/A3331882,4783,603
2012-05-31$17.65$17.5025.2%7.2%23.8%27.3%25.2%6.6%2.0%-6.1K2.7M-12.7K2.8816.77N/AN/A26752,7143,708