CWH Options History — February 2013

In February 2013, CWH traded between $15.85 and $25.25. ATM implied volatility averaged 26.9%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 16.9% (HV 20d: 43.9%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2013-02-27: Highest Volume — 16,582 contracts
2013-02-26: Largest IV spike — 368.9% change
2013-02-26: Highest IV Rank — 100.0%
2013-02-27: Largest Expected Move — 25.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.28	$15.85	$25.25	$16.93	$25.25
Max Pain	$18.16	$17.50	$25.00	$17.50	$25.00
ATM IV	26.9%	13.8%	87.2%	13.8%	58.3%
Expected Move	8.0%	4.6%	25.0%	5.1%	16.7%
HV 20d	43.9%	17.0%	169.6%	21.3%	169.6%
HV 60d	29.5%	15.3%	97.8%	17.5%	97.8%
IV Rank	33.5%	12.4%	100.0%	12.4%	63.1%
IV Percentile	40.9%	3.2%	100.0%	3.2%	99.2%
Term Structure	-0.6%	-20.0%	30.3%	1.6%	30.3%
VWIV	36.2%	17.7%	89.1%	17.7%	62.4%
Skew 25d	30.3%	-1.8%	89.5%	7.3%	15.4%
Skew 10d	47.5%	-2.4%	137.3%	10.7%	24.6%
Call IV 25d	24.3%	16.7%	82.0%	17.2%	82.0%
Put IV 25d	54.6%	14.9%	107.6%	24.5%	97.4%
Bid-Ask Spread %	11.36	7.13	23.71	10.03	23.71
Gamma HHI	0.50	0.25	0.81	0.81	0.28
Net GEX	23.4K	-75.0K	63.0K	22.9K	-53.2K
Net DEX	-2.3M	-10.2M	70.5K	-1.2M	-10.2M
Net VEX	-9.6K	-40.0K	-6.1K	-6.2K	-31.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.00	4.74	0.00	0.57
Total Volume	2,397.579	3	16,582	125	12,248
Total OI	5,166	3,122	23,452	3,122	23,452

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
2013-02-01	$16.93	$17.50	13.8%	5.1%	21.3%	12.4%	17.7%	7.3%	1.6%	22.9K	-1.2M	-6.2K	0.00	10.03	N/A	N/A	125	0	1,780	1,342
2013-02-04	$16.91	$17.50	15.2%	5.4%	21.2%	16.0%	0.0%	-1.6%	1.0%	31.2K	-1.2M	-6.5K	0.16	10.80	N/A	N/A	25	4	1,873	1,342
2013-02-05	$17.03	$17.50	14.7%	5.6%	21.2%	14.6%	19.4%	-0.8%	-1.8%	27.5K	-1.3M	-6.3K	0.60	8.94	N/A	N/A	25	15	1,881	1,342
2013-02-06	$17.06	$17.50	14.4%	5.3%	20.1%	14.0%	0.0%	-0.4%	1.0%	27.5K	-1.3M	-6.3K	0.00	11.80	N/A	N/A	130	0	1,882	1,337
2013-02-07	$17.04	$17.50	18.2%	5.2%	19.4%	23.5%	0.0%	-0.5%	0.0%	34.9K	-1.3M	-6.5K	0.29	10.19	N/A	N/A	34	10	1,957	1,337
2013-02-08	$17.12	$17.50	18.4%	5.3%	18.4%	23.9%	0.0%	0.4%	-0.0%	33.8K	-1.4M	-6.5K	2.50	9.38	N/A	N/A	10	25	1,991	1,347
2013-02-11	$17.09	$17.50	18.4%	5.3%	18.4%	24.0%	0.0%	89.5%	-0.2%	34.7K	-1.4M	-6.4K	0.00	9.52	N/A	N/A	7	0	2,001	1,367
2013-02-12	$17.34	$17.50	17.8%	5.1%	18.7%	22.3%	17.7%	83.3%	0.4%	25.9K	-1.6M	-6.1K	0.00	7.13	N/A	N/A	231	0	1,996	1,367
2013-02-13	$17.33	$17.50	18.2%	5.2%	18.7%	23.5%	0.0%	2.1%	0.0%	38.6K	-1.8M	-7.0K	0.00	10.50	N/A	N/A	0	3	2,207	1,367
2013-02-14	$17.36	$17.50	18.3%	5.2%	18.8%	23.6%	0.0%	85.9%	0.1%	37.3K	-1.8M	-6.9K	0.19	8.74	N/A	N/A	86	16	2,207	1,369
2013-02-15	$17.46	$17.50	19.6%	5.6%	18.6%	26.9%	19.6%	80.9%	-0.3%	35.5K	-1.9M	-7.0K	2.44	12.14	N/A	N/A	9	22	2,256	1,369
2013-02-19	$17.40	$17.50	19.8%	5.7%	18.2%	27.4%	19.8%	0.9%	-0.4%	46.2K	-1.9M	-6.9K	0.27	11.87	N/A	N/A	49	13	2,255	1,321
2013-02-20	$17.60	$17.50	21.5%	6.2%	17.1%	31.7%	0.0%	79.0%	-2.7%	42.5K	-2.1M	-6.7K	2.13	9.97	N/A	N/A	23	49	2,262	1,329
2013-02-21	$17.67	$17.50	21.0%	6.0%	17.0%	30.4%	21.0%	76.6%	-2.0%	43.5K	-2.1M	-6.4K	4.74	11.12	N/A	N/A	19	90	2,273	1,280
2013-02-22	$18.03	$17.50	25.4%	7.3%	18.0%	41.5%	25.5%	7.0%	-4.5%	26.6K	-2.4M	-6.5K	1.98	12.00	N/A	N/A	196	389	2,280	1,370
2013-02-25	$15.85	$17.50	16.1%	4.6%	50.3%	18.1%	19.5%	-1.8%	6.5%	63.0K	70.5K	-7.0K	1.82	7.64	N/A	N/A	214	390	2,426	1,743
2013-02-26	$24.40	$17.50	75.3%	21.6%	162.3%	100.0%	86.4%	22.3%	-19.6%	1.5K	-5.4M	-6.8K	1.75	19.28	N/A	N/A	5,274	9,241	2,584	1,819
2013-02-27	$22.51	$22.50	87.2%	25.0%	166.0%	100.0%	89.1%	15.4%	-20.0%	-75.0K	-3.2M	-40.0K	2.44	11.00	N/A	N/A	4,814	11,768	6,185	8,658
2013-02-28	$25.25	$25.00	58.3%	16.7%	169.6%	63.1%	62.4%	0.0%	30.3%	-53.2K	-10.2M	-31.2K	0.57	23.71	N/A	N/A	7,777	4,471	8,658	14,794