CWH Options History — June 2012

In June 2012, CWH traded between $17.15 and $19.12. ATM implied volatility averaged 24.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.6% (HV 20d: 27.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2012-06-29: Highest Volume — 328 contracts
  • 2012-06-29: Largest IV drop — 37.5% change
  • 2012-06-27: Highest IV Rank — 38.6%
  • 2012-06-27: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.01$17.15$19.12$17.52$19.12
Max Pain$19.88$17.50$20.00$17.50$20.00
ATM IV24.5%16.7%31.0%26.4%16.7%
Expected Move7.5%4.8%8.9%7.6%4.8%
HV 20d27.1%23.7%31.5%23.7%25.3%
HV 60d23.3%21.6%24.0%21.6%24.0%
IV Rank26.0%10.9%38.6%29.6%10.9%
IV Percentile42.4%6.3%62.3%54.0%6.3%
Term Structure0.0%-11.8%2.7%0.4%-5.4%
VWIV25.9%23.0%28.8%28.8%23.0%
Skew 25d5.5%-1.9%10.8%5.7%-0.1%
Skew 10d9.4%1.2%17.6%9.6%7.2%
Call IV 25d19.7%14.2%26.1%26.1%18.7%
Put IV 25d25.2%18.5%32.4%31.8%18.5%
Bid-Ask Spread %44.0212.8088.2477.6982.62
Gamma HHI0.330.220.410.380.26
Net GEX-7.5K-14.6K229-5.7K-1.5K
Net DEX2.8M1.8M3.4M2.8M1.8M
Net VEX-13.3K-15.4K-11.9K-12.6K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0013.570.001.65
Total Volume85.7621032810328
Total OI6,981.8576,5227,3166,5227,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$17.52$17.5026.4%7.6%23.7%29.6%0.0%5.7%0.4%-5.7K2.8M-12.6K0.0077.69N/AN/A1002,7403,782
2012-06-04$17.15$20.0025.8%8.3%24.5%28.5%28.8%-1.9%0.1%-8.3K3.2M-11.9K7.1230.20N/AN/A171212,7453,782
2012-06-05$17.37$20.0023.4%7.6%25.1%23.8%26.5%10.8%2.7%-6.4K3.3M-11.9K0.4424.28N/AN/A71312,7553,888
2012-06-06$17.84$20.0023.8%7.7%27.3%24.7%27.1%5.7%1.6%2292.8M-12.9K13.5729.26N/AN/A7952,8003,919
2012-06-07$17.95$20.0024.2%7.9%27.3%25.4%26.4%3.4%-0.6%-4.6K2.7M-13.8K6.2928.95N/AN/A14882,8064,002
2012-06-08$18.12$20.0019.0%7.9%27.6%15.3%27.1%7.4%0.7%-3.7K2.9M-13.2K0.0014.08N/AN/A0302,8084,089
2012-06-11$17.47$20.0025.9%8.1%30.1%28.8%27.5%-0.1%0.4%-4.7K3.3M-13.0K0.3912.80N/AN/A54212,8084,111
2012-06-12$17.68$20.0020.7%8.0%30.2%18.7%27.9%1.7%0.8%-4.2K3.3M-12.7K1.0743.20N/AN/A14152,8024,121
2012-06-13$17.46$20.0022.4%7.6%30.3%21.9%0.0%2.7%1.4%-4.6K3.4M-12.4K0.1729.18N/AN/A2342,8114,136
2012-06-14$17.84$20.0027.2%7.8%31.5%31.3%26.7%5.2%1.8%-6.0K3.0M-13.1K0.0744.25N/AN/A166112,8344,136
2012-06-15$18.07$20.0026.1%7.5%29.3%29.2%26.5%7.7%1.2%-5.9K2.7M-13.9K0.9256.41N/AN/A24222,9904,141
2012-06-18$18.25$20.0025.3%7.2%27.3%27.5%23.8%10.1%1.8%-9.2K2.6M-13.7K4.7353.74N/AN/A15712,8584,129
2012-06-19$18.40$20.0023.9%6.9%26.6%24.9%23.5%9.6%0.4%-7.9K2.4M-13.7K2.3988.24N/AN/A36862,8724,168
2012-06-20$18.29$20.0024.2%7.0%26.8%25.5%24.0%7.6%1.0%-11.2K2.6M-14.1K1.2544.56N/AN/A24302,9024,207
2012-06-21$18.01$20.0024.2%6.9%27.4%25.4%24.1%6.1%2.7%-13.8K3.0M-13.7K0.3065.22N/AN/A2062,9124,237
2012-06-22$18.17$20.0025.4%7.3%26.1%27.9%25.5%7.1%1.0%-11.4K2.8M-13.5K0.0028.61N/AN/A0172,9094,233
2012-06-25$18.04$20.0025.8%7.4%26.2%28.6%0.0%5.4%0.7%-14.6K3.0M-13.1K5.0043.34N/AN/A16802,9094,245
2012-06-26$18.28$20.0026.0%7.5%26.4%28.9%26.8%7.4%1.2%-13.4K2.7M-13.4K0.0029.92N/AN/A0622,9134,292
2012-06-27$18.51$20.0031.0%8.9%24.9%38.6%24.5%3.6%-11.8%-12.9K2.6M-13.8K13.4032.18N/AN/A101342,9134,302
2012-06-28$18.71$20.0026.8%7.7%24.8%30.4%0.0%10.2%-1.3%-8.8K2.3M-13.2K0.0065.76N/AN/A0282,9234,373
2012-06-29$19.12$20.0016.7%4.8%25.3%10.9%23.0%-0.1%-5.4%-1.5K1.8M-15.4K1.6582.62N/AN/A1242042,9234,393