CWH Options History — July 2012

In July 2012, CWH traded between $18.11 and $19.37. ATM implied volatility averaged 23.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.3% (HV 20d: 19.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 4.01.

Notable Days

  • 2012-07-23: Highest Volume — 1,354 contracts
  • 2012-07-05: Largest IV spike — 115.3% change
  • 2012-07-06: Highest IV Rank — 73.0%
  • 2012-07-05: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.87$18.11$19.37$19.21$18.24
Max Pain$18.81$17.50$20.00$20.00$20.00
ATM IV23.0%14.1%48.6%16.9%25.6%
Expected Move6.1%4.1%12.2%4.8%7.3%
HV 20d19.7%14.3%24.5%23.4%22.1%
HV 60d23.3%21.5%24.2%24.0%24.0%
IV Rank22.7%4.5%73.0%11.2%27.1%
IV Percentile29.3%1.6%92.1%6.3%44.4%
Term Structure1.4%-14.3%9.2%-2.4%2.9%
VWIV20.9%12.3%40.5%19.0%26.1%
Skew 25d8.1%-1.6%20.9%7.1%6.3%
Skew 10d8.0%0.7%12.8%10.9%5.7%
Call IV 25d18.8%10.6%29.8%20.7%23.5%
Put IV 25d26.9%17.2%45.1%27.8%29.8%
Bid-Ask Spread %65.0717.71122.6072.5531.50
Gamma HHI0.360.210.520.340.49
Net GEX-11.6K-45.2K6.8K-3.9K-45.2K
Net DEX1.8M718.9K2.4M1.8M2.4M
Net VEX-12.1K-14.7K-9.9K-13.3K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.010.0620.174.113.00
Total Volume12621,3544614
Total OI6,114.2383,1557,5357,3913,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$19.21$20.0016.9%4.8%23.4%11.2%19.0%7.1%-2.4%-3.9K1.8M-13.3K4.1172.55N/AN/A9372,9484,443
2012-07-03$19.19$20.0019.8%5.7%23.4%16.8%13.5%3.7%-14.3%-2.9K1.4M-14.7K0.67112.13N/AN/A322,9544,442
2012-07-05$19.03$20.0042.6%12.2%22.3%61.2%0.0%17.1%-7.4%1.9K1.6M-12.2K0.00122.60N/AN/A022,9574,440
2012-07-06$19.19$17.5048.6%6.5%22.4%73.0%0.0%14.0%-2.4%-11.2K1.5M-14.2K4.0067.62N/AN/A282,9574,442
2012-07-09$18.96$17.5019.2%4.7%22.9%15.8%0.0%14.5%9.0%-3.0K2.2M-12.8K7.8019.14N/AN/A5392,9594,442
2012-07-10$18.91$17.5018.3%4.8%17.9%14.0%0.0%13.4%8.1%-5.9K1.8M-13.4K0.0028.87N/AN/A0752,9544,452
2012-07-11$18.96$17.5018.7%4.6%17.6%14.7%0.0%15.7%9.2%1.4K1.8M-12.0K0.0017.71N/AN/A0252,9544,474
2012-07-12$18.98$17.5016.9%4.8%16.6%11.2%0.0%15.0%9.2%2.6K1.8M-12.2K20.1732.07N/AN/A61212,9544,479
2012-07-13$18.98$17.5019.1%5.5%15.4%15.6%0.0%9.4%3.0%1.7K1.8M-11.9K0.00100.75N/AN/A0182,9564,512
2012-07-16$19.01$17.5016.9%4.8%14.9%11.2%17.1%-0.2%3.9%3.3K1.8M-12.1K4.3668.11N/AN/A11482,9564,512
2012-07-17$19.37$17.5018.6%5.3%15.8%14.5%0.0%2.3%5.9%2.5K1.4M-12.1K5.4075.55N/AN/A10542,9574,533
2012-07-18$19.27$17.5015.0%4.3%16.0%7.6%16.0%0.3%4.0%5.3K1.7M-11.7K0.7141.14N/AN/A752,9674,568
2012-07-19$19.23$17.5014.1%4.1%15.7%4.5%12.3%-1.6%1.0%6.0K1.7M-12.0K0.3787.32N/AN/A27102,9584,556
2012-07-20$19.36$20.0017.2%4.9%14.3%10.5%23.4%12.6%3.2%6.8K1.6M-11.1K2.8099.07N/AN/A20562,9684,566
2012-07-23$19.33$20.0026.4%7.6%14.3%28.7%40.5%20.9%7.0%1.9K718.9K-12.6K0.0696.92N/AN/A1,280741,5722,183
2012-07-24$18.32$20.0027.0%7.7%24.5%29.9%20.2%3.3%-4.7%-37.2K1.9M-9.9K4.1097.15N/AN/A602469032,252
2012-07-25$18.11$20.0022.9%6.6%24.5%21.8%21.2%1.3%0.5%-39.9K2.2M-10.4K5.2232.35N/AN/A9479572,382
2012-07-26$18.22$20.0026.2%7.5%24.1%28.3%26.1%4.8%-2.1%-41.2K2.2M-10.3K1.1232.85N/AN/A49559662,410
2012-07-27$18.18$20.0023.5%6.7%23.7%23.0%0.0%5.3%2.0%-43.5K1.4M-13.3K0.2632.79N/AN/A137359602,462
2012-07-30$18.25$20.0029.8%8.5%22.2%35.3%0.0%4.5%-7.2%-43.1K2.1M-11.1K3.0098.36N/AN/A10301,0292,497
2012-07-31$18.24$20.0025.6%7.3%22.1%27.1%0.0%6.3%2.9%-45.2K2.4M-10.6K0.0031.50N/AN/A0141,0392,527