CWH Options History — November 2012

In November 2012, CWH traded between $13.94 and $15.16. ATM implied volatility averaged 19.7%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.7% (HV 20d: 23.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2012-11-20: Highest Volume — 297 contracts
  • 2012-11-15: Largest IV drop — 49.7% change
  • 2012-11-14: Highest IV Rank — 38.8%
  • 2012-11-12: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.50$13.94$15.16$13.94$15.13
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV19.7%14.8%29.7%19.5%20.9%
Expected Move5.4%4.2%6.5%5.6%6.0%
HV 20d23.4%18.4%25.8%24.8%18.4%
HV 60d20.7%19.1%27.1%26.7%20.7%
IV Rank20.7%11.0%38.8%19.9%28.2%
IV Percentile31.3%4.0%85.3%29.8%46.4%
Term Structure2.2%-7.5%11.2%-7.5%-0.4%
VWIV19.2%16.4%21.4%19.4%20.9%
Skew 25d7.1%-3.1%116.1%5.6%-2.1%
Skew 10d7.8%-4.2%145.5%8.4%-3.0%
Call IV 25d19.7%11.9%22.9%20.7%22.9%
Put IV 25d26.8%16.7%132.5%26.3%20.9%
Bid-Ask Spread %14.959.3332.069.8314.62
Gamma HHI0.770.640.850.640.85
Net GEX73.5K30.9K118.3K30.9K118.3K
Net DEX1.9M625.2K2.5M2.3M969.5K
Net VEX-10.3K-14.9K-8.6K-9.2K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0030.000.000.00
Total Volume108.47632972348
Total OI5,938.6675,3376,1995,7476,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$13.94$15.0019.5%5.6%24.8%19.9%0.0%5.6%-7.5%30.9K2.3M-9.2K0.009.83N/AN/A2302,9482,799
2012-11-02$14.22$15.0015.7%4.5%25.4%12.8%19.4%9.9%9.7%48.4K2.3M-9.3K0.0910.15N/AN/A268232,9592,799
2012-11-05$14.17$15.0020.3%4.8%25.3%21.2%19.7%-2.9%2.4%47.1K2.5M-8.6K1.6520.32N/AN/A17283,1232,812
2012-11-06$14.41$15.0021.5%5.9%25.8%23.5%20.7%-1.2%1.0%79.9K2.2M-9.8K0.1218.47N/AN/A95113,1372,820
2012-11-07$14.15$15.0028.5%6.1%25.4%36.6%0.0%-1.4%0.4%75.8K2.1M-10.0K0.4832.06N/AN/A50243,2172,829
2012-11-08$14.23$15.0020.9%5.8%25.2%22.4%20.1%-0.8%1.6%57.5K2.3M-9.3K0.4414.64N/AN/A27123,2612,830
2012-11-09$14.30$15.0017.5%5.6%25.2%16.2%19.8%-0.1%1.9%57.3K2.2M-9.7K0.0014.72N/AN/A6303,2592,836
2012-11-12$14.41$15.0023.0%6.5%24.6%26.3%0.0%-3.1%-0.5%72.4K2.2M-9.9K2.5013.41N/AN/A10253,3192,836
2012-11-13$14.50$15.0020.1%5.7%22.3%20.9%19.8%1.2%2.2%77.5K2.1M-9.8K0.4113.12N/AN/A37153,3192,861
2012-11-14$14.41$15.0029.7%5.6%21.9%38.8%19.8%-0.9%1.9%76.2K2.2M-9.5K1.1515.45N/AN/A71823,3532,846
2012-11-15$14.05$15.0014.9%4.3%23.3%11.3%0.0%4.2%-0.4%33.7K2.1M-9.3K0.009.33N/AN/A303,3892,768
2012-11-16$14.31$15.0021.5%6.2%24.5%23.6%21.4%-0.1%1.9%47.7K2.2M-9.3K30.0014.98N/AN/A3903,3892,768
2012-11-19$14.48$15.0018.4%5.3%24.9%17.8%0.0%1.1%1.0%57.9K2.0M-9.3K0.2512.73N/AN/A85212,6752,662
2012-11-20$14.50$15.0016.2%4.6%24.4%13.6%16.4%116.1%3.4%63.0K1.9M-9.5K0.1618.23N/AN/A255422,7522,678
2012-11-21$14.50$15.0014.8%4.2%23.8%11.0%0.0%11.1%11.2%74.9K1.8M-10.3K0.4010.74N/AN/A25102,9662,714
2012-11-23$14.64$15.0016.7%4.8%22.7%14.6%16.8%4.4%4.6%88.8K1.6M-10.7K0.5916.57N/AN/A58342,9912,724
2012-11-26$14.87$15.0016.8%4.8%23.0%14.8%16.8%3.0%3.5%100.4K1.3M-11.7K0.2614.19N/AN/A203523,0332,758
2012-11-27$15.05$15.0018.3%5.2%22.3%17.5%18.3%-2.7%3.2%106.4K1.1M-12.1K1.2115.06N/AN/A70853,1852,802
2012-11-28$15.16$15.0018.2%5.2%18.7%17.4%0.0%3.4%3.9%116.5K625.2K-14.9K0.0712.09N/AN/A216163,2412,839
2012-11-29$15.09$15.0019.7%5.6%18.9%25.4%19.7%3.6%1.1%111.8K1.0M-12.4K0.1613.30N/AN/A70113,2482,830
2012-11-30$15.13$15.0020.9%6.0%18.4%28.2%20.9%-2.1%-0.4%118.3K969.5K-12.4K0.0014.62N/AN/A4803,2962,841