CWH Options History — September 2012

In September 2012, CWH traded between $14.45 and $15.52. ATM implied volatility averaged 17.9%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.5% (HV 20d: 17.4%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 5.00.

Notable Days

2012-09-27: Highest Volume — 337 contracts
2012-09-13: Largest IV spike — 70.0% change
2012-09-13: Highest IV Rank — 21.7%
2012-09-13: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.94	$14.45	$15.52	$14.86	$14.56
Max Pain	$19.21	$15.00	$20.00	$15.00	$20.00
ATM IV	17.9%	8.9%	22.9%	19.0%	8.9%
Expected Move	5.4%	2.5%	6.6%	5.5%	2.5%
HV 20d	17.4%	13.7%	33.4%	33.4%	16.8%
HV 60d	26.6%	25.8%	27.7%	27.7%	25.9%
IV Rank	12.2%	0.0%	21.7%	14.1%	0.0%
IV Percentile	17.5%	0.0%	38.1%	17.5%	0.0%
Term Structure	1.8%	-6.5%	7.4%	4.7%	7.4%
VWIV	19.9%	10.5%	48.6%	19.0%	10.5%
Skew 25d	8.7%	-4.8%	92.5%	76.7%	-2.8%
Skew 10d	13.5%	-5.5%	117.5%	107.6%	6.5%
Call IV 25d	20.8%	17.7%	25.3%	23.0%	23.0%
Put IV 25d	29.5%	16.6%	112.1%	99.8%	20.2%
Bid-Ask Spread %	13.56	7.59	20.83	13.07	9.53
Gamma HHI	0.38	0.31	0.53	0.37	0.35
Net GEX	-31.5K	-45.3K	-18.2K	-18.2K	-27.8K
Net DEX	3.6M	3.0M	4.2M	3.5M	4.0M
Net VEX	-9.9K	-10.8K	-8.4K	-9.4K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.00	0.02	39.00	5.59	39.00
Total Volume	134.947	40	337	211	40
Total OI	6,325.579	5,783	6,728	5,783	6,728

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$14.86	$15.00	19.0%	5.5%	33.4%	14.1%	19.0%	76.7%	4.7%	-18.2K	3.5M	-9.4K	5.59	13.07	N/A	N/A	32	179	2,264	3,519
2012-09-05	$14.65	$15.00	18.1%	5.2%	33.4%	12.4%	18.1%	9.4%	4.6%	-21.9K	3.6M	-9.2K	0.00	18.88	N/A	N/A	0	118	2,293	3,564
2012-09-06	$14.71	$15.00	15.3%	4.4%	15.5%	6.7%	0.0%	92.5%	4.2%	-28.9K	3.7M	-8.9K	0.57	20.83	N/A	N/A	51	29	2,293	3,657
2012-09-07	$14.94	$20.00	16.4%	6.3%	14.5%	8.9%	22.0%	-1.2%	0.9%	-29.5K	3.4M	-10.6K	0.15	13.85	N/A	N/A	54	8	2,326	3,686
2012-09-10	$14.78	$20.00	20.6%	5.1%	13.7%	17.2%	14.7%	-3.7%	2.8%	-29.9K	3.7M	-9.5K	10.13	10.81	N/A	N/A	15	152	2,365	3,694
2012-09-11	$15.00	$20.00	17.9%	6.2%	15.2%	12.0%	0.0%	0.5%	2.3%	-35.5K	3.6M	-10.1K	0.02	14.71	N/A	N/A	48	1	2,380	3,805
2012-09-12	$15.32	$20.00	13.5%	6.4%	16.5%	3.1%	21.8%	0.9%	0.0%	-34.4K	3.2M	-10.6K	2.13	12.49	N/A	N/A	40	85	2,428	3,806
2012-09-13	$15.44	$20.00	22.9%	6.6%	16.3%	21.7%	26.7%	-0.9%	-3.5%	-39.1K	3.1M	-10.7K	0.25	11.89	N/A	N/A	83	21	2,468	3,870
2012-09-14	$15.52	$20.00	21.3%	6.1%	14.0%	18.5%	22.1%	1.7%	0.0%	-37.6K	3.0M	-10.5K	0.31	11.45	N/A	N/A	129	40	2,510	3,887
2012-09-17	$15.33	$20.00	22.4%	6.4%	14.7%	20.7%	0.0%	3.9%	1.8%	-31.8K	3.1M	-10.8K	6.70	15.80	N/A	N/A	10	67	2,560	3,907
2012-09-18	$15.26	$20.00	21.5%	6.2%	14.9%	19.1%	23.2%	-2.9%	-6.5%	-32.9K	3.4M	-10.3K	1.07	11.99	N/A	N/A	57	61	2,565	3,974
2012-09-19	$15.15	$20.00	15.2%	4.4%	15.1%	6.5%	11.8%	1.9%	4.4%	-31.2K	3.4M	-10.3K	1.15	13.12	N/A	N/A	33	38	2,621	4,013
2012-09-20	$15.04	$20.00	15.3%	4.4%	15.3%	6.6%	14.4%	-1.8%	2.6%	-25.3K	3.7M	-9.8K	2.27	13.13	N/A	N/A	52	118	2,633	4,049
2012-09-21	$15.00	$20.00	15.8%	4.5%	15.3%	7.6%	13.3%	0.7%	5.1%	-27.2K	3.6M	-10.6K	6.00	14.65	N/A	N/A	21	126	2,646	4,059
2012-09-24	$14.83	$20.00	18.0%	5.2%	15.9%	12.0%	15.5%	-2.4%	0.8%	-45.3K	3.8M	-10.1K	1.70	16.09	N/A	N/A	61	104	2,421	3,917
2012-09-25	$14.60	$20.00	19.8%	5.7%	16.4%	15.6%	48.6%	1.5%	0.5%	-34.3K	4.1M	-8.5K	1.35	18.44	N/A	N/A	20	27	2,437	3,943
2012-09-26	$14.45	$20.00	21.8%	6.2%	16.7%	19.5%	21.5%	-3.9%	0.2%	-29.8K	4.2M	-8.4K	9.59	7.59	N/A	N/A	29	278	2,442	3,964
2012-09-27	$14.51	$20.00	16.9%	4.8%	16.8%	9.9%	15.7%	-4.8%	0.9%	-37.9K	4.2M	-8.9K	1.93	9.26	N/A	N/A	115	222	2,454	4,038
2012-09-28	$14.56	$20.00	8.9%	2.5%	16.8%	0.0%	10.5%	-2.8%	7.4%	-27.8K	4.0M	-10.4K	39.00	9.53	N/A	N/A	1	39	2,482	4,246