CWH Options History — January 2013

In January 2013, CWH traded between $15.71 and $16.97. ATM implied volatility averaged 19.5%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.9% (HV 20d: 15.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.28.

Notable Days

  • 2013-01-16: Highest Volume — 5,620 contracts
  • 2013-01-08: Largest IV spike — 63.6% change
  • 2013-01-08: Highest IV Rank — 61.0%
  • 2013-01-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.30$15.71$16.97$16.06$16.44
Max Pain$16.31$15.00$17.50$17.50$17.50
ATM IV19.5%13.0%33.1%32.1%16.6%
Expected Move5.1%3.7%9.2%9.2%4.8%
HV 20d15.7%12.8%18.8%13.8%18.8%
HV 60d18.0%15.7%19.4%19.4%16.6%
IV Rank26.8%10.4%61.0%58.3%19.5%
IV Percentile33.9%1.6%95.2%94.0%15.1%
Term Structure1.0%-24.2%9.1%-17.2%0.2%
VWIV24.3%14.5%39.7%23.5%14.5%
Skew 25d0.6%-7.3%10.1%0.6%-3.1%
Skew 10d1.9%-17.0%14.9%14.9%-1.9%
Call IV 25d16.2%9.6%24.7%24.7%19.5%
Put IV 25d16.8%11.2%25.3%25.3%16.4%
Bid-Ask Spread %13.986.3926.367.429.38
Gamma HHI0.780.640.890.770.83
Net GEX40.6K19.9K68.3K56.9K26.5K
Net DEX-159.9K-1.2M1.0M301.1K-859.2K
Net VEX-7.4K-9.2K-6.2K-9.0K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.280.0056.007.6356.00
Total Volume340.85755,62069171
Total OI4,747.3813,0155,9305,9303,190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$16.06$17.5032.1%9.2%13.8%58.3%23.5%0.6%-17.2%56.9K301.1K-9.0K7.637.42N/AN/A8613,0152,915
2013-01-03$16.15$17.5030.2%8.6%13.4%53.5%39.7%-5.1%-24.2%51.8K168.6K-9.2K0.618.33N/AN/A59363,0212,876
2013-01-04$16.28$15.0020.4%4.1%12.8%29.1%0.0%-2.2%5.4%46.6K103.3K-9.2K0.178.90N/AN/A3052,9782,877
2013-01-07$16.38$15.0020.3%3.8%12.8%28.6%0.0%-0.9%6.1%43.1K-31.8K-8.6K5.629.26N/AN/A261462,9602,873
2013-01-08$16.11$15.0033.1%5.8%14.3%61.0%0.0%-3.1%-6.4%52.0K228.9K-8.6K3.829.42N/AN/A17652,9672,864
2013-01-09$15.92$15.0029.1%5.0%14.7%51.0%0.0%6.2%7.2%60.0K212.9K-7.9K0.2612.27N/AN/A1952,9842,864
2013-01-10$15.71$15.0019.4%5.6%15.5%26.6%19.6%3.1%3.3%68.3K677.6K-8.2K0.9611.61N/AN/A52502,9872,864
2013-01-11$15.71$15.0018.7%5.4%15.5%24.8%0.0%2.2%3.8%65.3K675.6K-8.1K0.0515.28N/AN/A6033,0022,876
2013-01-14$15.86$15.0021.7%6.2%15.7%32.3%0.0%5.0%1.6%60.5K402.1K-7.9K0.3011.58N/AN/A44133,0372,876
2013-01-15$15.98$15.0018.2%5.2%15.9%23.5%0.0%4.6%6.9%59.2K280.3K-7.6K0.0017.41N/AN/A1403,0432,863
2013-01-16$16.05$15.0021.5%6.2%15.7%31.7%0.0%-7.3%-10.7%57.0K133.6K-7.4K0.019.47N/AN/A5,582383,0422,863
2013-01-17$16.00$15.0013.0%3.7%15.5%10.4%14.5%-1.8%9.1%24.2K1.0M-6.8K5.776.39N/AN/A13752,1912,853
2013-01-18$16.27$17.5013.3%3.8%16.4%11.0%0.0%0.6%4.7%25.0K815.4K-6.5K1.847.08N/AN/A49902,2042,829
2013-01-22$16.63$17.5014.3%4.1%17.8%13.7%0.0%0.7%4.8%19.9K-1.0M-6.2K0.5610.13N/AN/A80451,6561,359
2013-01-23$16.59$17.5015.2%4.4%17.8%16.0%0.0%-1.5%3.1%21.6K-966.5K-6.7K0.3325.70N/AN/A42141,6941,370
2013-01-24$16.65$17.5015.1%4.3%17.8%15.8%0.0%-0.8%3.2%22.8K-1.0M-6.2K0.1326.07N/AN/A3241,6981,377
2013-01-25$16.84$17.5014.2%4.1%18.0%13.5%0.0%1.7%4.0%23.6K-1.1M-6.2K1.1826.36N/AN/A22261,7301,381
2013-01-28$16.85$17.5014.8%4.3%15.5%15.0%0.0%1.6%4.2%22.1K-1.1M-6.2K0.0025.28N/AN/A4601,7411,401
2013-01-29$16.97$17.5014.6%4.2%15.5%14.4%0.0%10.1%7.9%23.1K-1.2M-6.3K0.3110.27N/AN/A85261,7871,401
2013-01-30$16.92$17.5013.9%4.0%15.6%12.6%0.0%2.2%3.2%23.0K-1.1M-6.2K0.0025.99N/AN/A051,7831,403
2013-01-31$16.44$17.5016.6%4.8%18.8%19.5%0.0%-3.1%0.2%26.5K-859.2K-6.7K56.009.38N/AN/A31681,7831,407