CWH Options History — August 2012

In August 2012, CWH traded between $14.97 and $18.59. ATM implied volatility averaged 22.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 11.3% (HV 20d: 33.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.78.

Notable Days

  • 2012-08-16: Highest Volume — 486 contracts
  • 2012-08-13: Largest IV spike — 40.7% change
  • 2012-08-13: Highest IV Rank — 43.6%
  • 2012-08-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.04$14.97$18.59$18.42$14.97
Max Pain$17.07$15.00$20.00$20.00$15.00
ATM IV22.1%14.7%34.0%24.7%17.0%
Expected Move5.6%4.2%8.1%7.1%4.9%
HV 20d33.5%22.1%39.7%22.5%33.5%
HV 60d28.3%24.0%31.1%24.1%27.8%
IV Rank20.3%5.5%43.6%25.3%10.0%
IV Percentile27.3%2.0%67.9%38.1%8.7%
Term Structure4.5%-2.6%17.5%3.7%5.0%
VWIV19.0%12.6%31.6%19.0%16.9%
Skew 25d5.9%-2.3%45.4%6.5%3.9%
Skew 10d8.8%-2.8%84.4%6.7%6.5%
Call IV 25d18.2%12.5%22.3%22.1%21.3%
Put IV 25d24.1%14.4%65.4%28.6%25.2%
Bid-Ask Spread %31.9011.2197.8628.1714.83
Gamma HHI0.400.310.540.460.33
Net GEX-25.1K-42.6K-9.2K-41.7K-20.1K
Net DEX2.9M2.1M3.4M2.3M3.3M
Net VEX-9.1K-11.2K-6.9K-10.3K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.008.500.000.47
Total Volume159.348348654340
Total OI4,487.8263,5705,4433,5705,443

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$18.42$20.0024.7%7.1%22.5%25.3%0.0%6.5%3.7%-41.7K2.3M-10.3K0.0028.17N/AN/A5401,0392,531
2012-08-02$18.42$20.0023.4%6.7%22.4%22.7%19.0%5.3%5.5%-42.6K2.1M-11.2K0.2128.06N/AN/A61131,0842,531
2012-08-03$18.59$20.0028.4%8.1%22.4%32.6%31.6%8.9%-2.6%-40.8K2.1M-11.1K0.0616.86N/AN/A9561,1212,543
2012-08-06$18.51$20.0022.7%6.5%22.1%21.3%0.0%9.9%1.5%-36.0K2.1M-11.1K0.0034.18N/AN/A031,1872,541
2012-08-07$18.36$20.0018.1%6.2%22.3%12.3%22.1%7.3%0.0%-36.4K2.2M-10.6K0.3696.13N/AN/A44161,1872,538
2012-08-08$16.76$17.5022.8%5.3%38.8%21.5%18.4%-2.3%3.9%-34.1K3.0M-8.1K2.9643.80N/AN/A531571,2212,552
2012-08-09$16.25$17.5030.9%4.7%39.6%37.6%12.6%2.4%17.5%-32.1K3.1M-8.4K0.3127.63N/AN/A176541,2682,656
2012-08-10$15.94$17.5024.1%5.8%39.7%24.2%13.9%0.6%1.0%-34.7K3.2M-7.1K2.6561.95N/AN/A792091,2402,695
2012-08-13$15.93$17.5034.0%6.6%39.6%43.6%22.7%8.8%0.3%-37.9K3.4M-6.9K0.4547.74N/AN/A73331,3152,827
2012-08-14$15.66$17.5032.8%5.4%38.3%41.2%24.6%0.7%2.3%-30.1K3.2M-7.8K0.4797.86N/AN/A123581,3652,854
2012-08-15$15.49$17.5033.9%5.8%38.3%43.5%20.2%5.9%4.5%-26.3K3.3M-7.4K1.0479.30N/AN/A79821,4822,862
2012-08-16$15.14$17.5020.6%5.9%38.4%17.3%21.0%5.5%5.2%-18.8K2.9M-8.5K0.5612.83N/AN/A3111751,5312,834
2012-08-17$15.09$17.5019.8%5.7%37.9%15.5%19.9%6.5%4.1%-13.4K2.8M-9.6K1.6114.00N/AN/A51821,8122,907
2012-08-20$15.07$17.5019.2%5.5%37.9%14.5%19.2%2.5%4.8%-11.7K2.8M-8.9K1.3011.21N/AN/A66861,8092,851
2012-08-21$15.04$15.0019.7%5.6%34.7%15.4%19.7%2.3%3.9%-13.0K2.8M-9.2K1.9113.73N/AN/A45861,8542,909
2012-08-22$15.01$15.0018.6%5.3%34.8%13.3%18.6%2.1%4.6%-12.7K3.0M-8.6K6.3415.00N/AN/A442791,8802,988
2012-08-23$15.00$15.0017.5%5.0%34.5%11.1%17.5%2.0%6.4%-20.4K3.2M-8.9K0.4512.04N/AN/A146651,8973,164
2012-08-24$15.00$15.0014.7%4.2%34.6%5.5%14.7%3.0%7.3%-9.2K3.2M-9.4K3.4317.81N/AN/A28962,0123,223
2012-08-27$15.12$15.0016.9%4.8%34.8%9.9%16.9%45.4%5.4%-15.3K3.3M-8.8K0.2416.47N/AN/A3382,0123,313
2012-08-28$15.10$15.0016.3%4.7%34.8%8.8%16.3%2.7%6.6%-16.8K3.2M-9.5K0.2615.07N/AN/A137362,0093,321
2012-08-29$15.10$15.0016.0%4.6%34.3%8.1%16.0%2.8%6.0%-16.1K3.3M-9.1K8.5014.00N/AN/A6512,0293,357
2012-08-30$15.01$15.0017.4%5.0%34.1%10.9%17.4%3.7%5.8%-17.8K3.3M-9.5K5.5014.93N/AN/A4222,0353,391
2012-08-31$14.97$15.0017.0%4.9%33.5%10.0%16.9%3.9%5.0%-20.1K3.3M-9.4K0.4714.83N/AN/A2311092,0333,410