CWH Options History — October 2012

In October 2012, CWH traded between $13.58 and $15.19. ATM implied volatility averaged 22.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.1% (HV 20d: 20.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2012-10-11: Highest Volume — 507 contracts
  • 2012-10-31: Largest IV spike — 118.4% change
  • 2012-10-31: Highest IV Rank — 74.1%
  • 2012-10-31: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.47$13.58$15.19$14.28$13.71
Max Pain$15.95$15.00$20.00$20.00$15.00
ATM IV22.2%17.5%48.6%22.9%48.6%
Expected Move6.3%5.2%13.9%6.6%13.9%
HV 20d20.0%16.6%24.3%18.0%23.9%
HV 60d26.3%25.5%27.5%25.9%26.3%
IV Rank24.8%16.1%74.1%26.2%74.1%
IV Percentile38.2%14.3%98.0%43.3%98.0%
Term Structure-1.4%-33.6%4.1%-2.5%-33.6%
VWIV20.3%16.0%22.9%19.5%18.6%
Skew 25d-0.7%-12.0%20.3%-4.9%20.3%
Skew 10d0.8%-14.0%23.0%8.4%23.0%
Call IV 25d23.2%18.4%32.6%25.6%22.1%
Put IV 25d22.6%15.0%42.4%20.7%42.4%
Bid-Ask Spread %19.207.97122.9828.30122.98
Gamma HHI0.550.300.740.370.70
Net GEX-6.9K-81.1K52.9K-29.1K35.1K
Net DEX3.9M2.0M5.2M4.1M2.4M
Net VEX-10.0K-11.2K-8.1K-9.7K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0013.790.310.60
Total Volume211.2868507362202
Total OI7,1175,1818,4466,7495,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$14.28$20.0022.9%6.6%18.0%26.2%0.0%-4.9%-2.5%-29.1K4.1M-9.7K0.3128.30N/AN/A277852,4824,267
2012-10-02$14.25$20.0018.4%5.3%17.9%17.7%0.0%-2.4%4.1%-20.4K4.2M-9.7K13.797.97N/AN/A243312,7154,342
2012-10-03$14.45$20.0019.5%5.6%18.2%19.9%19.5%-3.0%3.5%-22.4K4.3M-10.2K6.1710.10N/AN/A422592,7174,488
2012-10-04$14.34$20.0018.4%5.3%18.2%17.8%0.0%0.8%3.4%-25.5K4.5M-10.3K3.499.39N/AN/A712482,7594,694
2012-10-05$14.47$15.0017.5%5.6%17.6%16.1%0.0%-5.6%-0.4%-27.6K4.8M-10.9K0.7015.81N/AN/A20142,8084,857
2012-10-08$14.77$15.0022.5%6.0%18.9%25.4%20.6%-2.1%1.3%-59.3K5.2M-9.5K1.5313.34N/AN/A30462,8284,857
2012-10-09$14.90$15.0022.7%6.5%18.4%25.8%22.9%-2.0%-2.0%-81.1K4.9M-10.0K0.0512.59N/AN/A204112,8354,861
2012-10-10$14.95$15.0024.5%6.2%16.6%29.2%21.7%-0.5%1.7%-67.2K4.7M-10.9K0.5714.81N/AN/A165942,9574,867
2012-10-11$15.19$15.0020.9%6.0%17.4%22.4%20.9%3.4%0.2%-65.8K4.3M-10.8K0.1011.22N/AN/A461463,0154,823
2012-10-12$14.72$15.0020.4%5.9%20.3%21.6%20.4%-0.8%1.4%9454.5M-10.8K1.1015.95N/AN/A87963,3624,815
2012-10-15$14.89$15.0019.9%5.7%20.6%20.6%19.9%1.3%1.7%3.1K4.4M-11.0K0.3014.05N/AN/A165503,4434,858
2012-10-16$14.75$15.0020.3%5.8%20.8%21.3%20.3%-0.6%0.2%12.1K4.5M-10.6K0.5515.55N/AN/A22123,5584,876
2012-10-17$14.75$15.0020.3%5.8%20.7%21.3%20.4%2.1%0.6%2.1K5.1M-10.3K4.2615.02N/AN/A502133,5544,882
2012-10-18$14.76$15.0021.2%6.1%20.6%23.0%21.3%1.5%1.2%-66.1K4.7M-11.2K0.6517.36N/AN/A2541643,5574,889
2012-10-19$14.55$15.0019.6%5.6%21.1%19.9%19.6%2.7%1.1%52.9K4.4M-10.5K2.5314.30N/AN/A38963,7624,475
2012-10-22$14.34$15.0018.3%5.2%21.3%17.5%21.5%-6.5%-1.5%49.3K2.0M-9.6K0.0018.43N/AN/A14502,5912,590
2012-10-23$14.05$15.0025.1%7.2%21.8%30.2%0.0%-1.8%-4.4%44.4K2.0M-9.6K1.6716.70N/AN/A352,7212,590
2012-10-24$14.19$15.0019.3%5.5%22.0%19.4%16.0%-0.2%-0.9%50.8K2.1M-9.1K0.179.77N/AN/A3052,7182,591
2012-10-25$13.98$15.0022.7%6.5%22.4%25.8%18.6%-3.6%-4.7%40.0K2.2M-8.9K0.729.51N/AN/A100722,7312,591
2012-10-26$13.58$15.0022.3%6.4%24.3%24.9%0.0%-12.0%0.3%28.1K2.2M-8.5K0.6710.13N/AN/A120802,8262,647
2012-10-31$13.71$15.0048.6%13.9%23.9%74.1%0.0%20.3%-33.6%35.1K2.4M-8.1K0.60122.98N/AN/A126762,9322,726