CWH Options History — December 2012

In December 2012, CWH traded between $15.20 and $16.22. ATM implied volatility averaged 21.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.9% (HV 20d: 13.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2012-12-19: Highest Volume — 316 contracts
  • 2012-12-13: Largest IV spike — 38.1% change
  • 2012-12-24: Highest IV Rank — 55.9%
  • 2012-12-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.74$15.20$16.22$15.20$15.84
Max Pain$16.00$15.00$17.50$15.00$17.50
ATM IV21.4%13.0%31.1%22.1%24.1%
Expected Move6.5%4.8%8.9%6.3%6.9%
HV 20d13.6%9.8%17.5%17.5%13.2%
HV 60d19.9%19.2%20.7%20.5%19.4%
IV Rank30.7%9.7%55.9%30.9%38.4%
IV Percentile47.3%1.2%93.7%51.6%66.3%
Term Structure-2.4%-23.2%6.4%1.9%-13.8%
VWIV27.4%16.2%53.1%16.2%37.3%
Skew 25d2.1%-6.7%6.3%-2.0%-6.7%
Skew 10d7.6%-7.5%13.4%-2.9%10.7%
Call IV 25d18.6%14.5%24.3%24.1%22.8%
Put IV 25d20.6%16.2%22.3%22.0%16.2%
Bid-Ask Spread %12.257.4419.9815.417.61
Gamma HHI0.820.740.870.850.79
Net GEX92.1K58.0K137.9K119.6K58.0K
Net DEX16.8K-661.8K903.4K903.4K546.7K
Net VEX-10.5K-12.1K-8.6K-12.0K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.002.000.000.00
Total Volume71.4503165030
Total OI6,205.555,8006,4336,1775,940

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$15.20$15.0022.1%6.3%17.5%30.9%0.0%-2.0%1.9%119.6K903.4K-12.0K0.0015.41N/AN/A5003,3362,841
2012-12-04$15.39$15.0020.4%5.9%17.5%27.1%0.0%-3.1%1.4%123.8K497.6K-12.1K0.0019.98N/AN/A5203,3482,841
2012-12-05$15.25$15.0020.8%6.0%17.5%27.9%0.0%-3.6%1.0%126.9K615.7K-11.9K0.0017.32N/AN/A303,3792,841
2012-12-06$15.35$15.0016.8%4.8%15.6%18.7%16.2%-5.5%5.0%137.9K495.4K-11.6K0.3819.64N/AN/A96363,3822,841
2012-12-07$15.52$15.0014.9%6.0%15.8%14.1%20.9%4.6%2.1%120.4K24.4K-11.7K0.7912.60N/AN/A33263,4672,841
2012-12-10$15.67$15.0014.2%5.9%15.9%12.5%53.1%4.7%3.0%104.6K-267.8K-11.5K0.0011.52N/AN/A2403,5002,832
2012-12-11$15.60$15.0013.0%5.9%16.2%9.7%0.0%4.2%1.9%110.5K-183.9K-11.3K0.0012.90N/AN/A1203,5172,832
2012-12-12$15.59$15.0015.6%5.9%16.3%15.9%20.6%4.2%2.5%114.7K-113.8K-11.0K0.0011.89N/AN/A6003,5062,832
2012-12-13$15.67$15.0021.6%6.2%15.8%29.8%21.8%4.9%0.7%96.9K-247.9K-10.3K0.0011.97N/AN/A1103,5582,832
2012-12-14$15.67$15.0021.2%6.1%11.6%28.8%21.0%4.1%1.5%103.6K-267.2K-10.2K0.0010.70N/AN/A0203,5612,832
2012-12-17$15.80$15.0021.0%6.0%10.6%30.4%20.9%6.3%3.3%87.9K-487.9K-10.3K0.3311.18N/AN/A36123,5612,852
2012-12-18$15.94$15.0020.3%5.8%10.4%28.7%20.5%5.8%2.4%81.8K-661.8K-9.5K0.0814.79N/AN/A226173,5812,852
2012-12-19$16.07$17.5026.6%7.6%10.3%44.5%34.7%0.8%-11.2%75.8K-602.2K-10.2K0.108.46N/AN/A287293,5582,852
2012-12-20$16.22$17.5027.7%7.9%10.3%47.3%27.7%4.8%-10.5%58.0K-589.8K-10.0K2.008.21N/AN/A10203,4422,860
2012-12-21$16.19$17.5028.6%8.2%10.5%49.6%0.0%4.1%-13.1%60.5K-530.0K-10.0K0.009.08N/AN/A003,4322,860
2012-12-24$16.15$17.5031.1%8.9%10.0%55.9%29.8%3.0%-13.8%58.0K184.6K-9.8K1.007.44N/AN/A10103,0022,835
2012-12-26$16.12$17.5030.1%8.6%9.8%53.5%38.5%0.1%-23.2%59.6K201.6K-9.6K0.008.83N/AN/A8603,0042,835
2012-12-27$15.76$17.5020.6%5.9%13.3%29.6%20.6%5.2%4.2%75.2K452.1K-8.7K0.6016.27N/AN/A133802,9652,835
2012-12-28$15.74$17.5017.5%5.0%13.1%21.7%0.0%5.5%6.4%67.9K367.4K-8.6K1.009.29N/AN/A10103,0212,905
2012-12-31$15.84$17.5024.1%6.9%13.2%38.4%37.3%-6.7%-13.8%58.0K546.7K-9.4K0.007.61N/AN/A3003,0252,915