CWH Options History — March 2013

In March 2013, CWH traded between $21.72 and $23.90. ATM implied volatility averaged 49.3%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 105.7% (HV 20d: 155.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-03-15: Highest Volume — 58,516 contracts
  • 2013-03-04: Largest IV spike — 56.7% change
  • 2013-03-04: Highest IV Rank — 90.0%
  • 2013-03-04: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.65$21.72$23.90$23.77$22.44
Max Pain$20.13$20.00$22.50$22.50$20.00
ATM IV49.3%31.1%79.3%50.6%31.1%
Expected Move13.0%8.9%16.9%14.5%8.9%
HV 20d155.0%37.0%174.6%171.2%37.0%
HV 60d100.0%98.8%100.5%98.9%100.4%
IV Rank51.7%28.4%90.0%53.3%28.4%
IV Percentile94.6%85.7%99.6%98.8%85.7%
Term Structure-0.6%-13.0%11.3%-6.6%11.3%
VWIV45.9%31.2%58.4%52.3%31.2%
Skew 25d5.0%-1.9%11.2%11.2%4.5%
Skew 10d7.9%-11.1%30.0%30.0%5.8%
Call IV 25d43.6%33.1%55.7%45.0%33.1%
Put IV 25d48.6%37.6%60.4%56.2%37.6%
Bid-Ask Spread %40.4112.7048.7012.7048.70
Gamma HHI0.390.300.490.350.47
Net GEX846.9K-295.7K2.6M101.1K2.6M
Net DEX-21.5M-53.1M4.6M-11.2M-48.1M
Net VEX-178.3K-324.9K-79.4K-83.5K-324.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.006.360.581.32
Total Volume7,434.158458,5161,8322,353
Total OI61,661.7530,440109,53630,440109,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$23.77$22.5050.6%14.5%171.2%53.3%52.3%11.2%-6.6%101.1K-11.2M-83.5K0.5812.70N/AN/A1,15867414,96415,476
2013-03-04$23.90$20.0079.3%16.9%171.2%90.0%58.4%4.7%-13.0%72.8K-11.6M-87.8K0.4243.46N/AN/A14,3516,00415,21515,498
2013-03-05$23.12$20.0061.6%15.3%172.1%67.3%50.5%10.3%-10.3%154.9K-6.4M-93.6K0.4938.55N/AN/A1,60577923,33119,831
2013-03-06$22.10$20.0061.1%14.4%173.4%66.6%49.1%6.6%-8.5%-99.9K1.1M-86.4K0.3044.77N/AN/A2,16265322,75720,011
2013-03-07$21.72$20.0063.7%14.8%173.7%70.1%50.1%2.5%-7.7%-214.4K4.6M-83.9K0.0740.45N/AN/A4,75432122,30120,323
2013-03-08$22.18$20.0060.0%14.3%173.6%65.2%46.1%8.0%-6.2%10.3K-352.9K-90.9K0.3743.15N/AN/A1,86069425,96820,445
2013-03-11$22.15$20.0057.8%14.1%173.7%62.4%49.2%6.6%-3.4%-190.0K2.0M-83.8K0.5042.31N/AN/A26013125,40220,980
2013-03-12$21.75$20.0052.0%14.5%174.0%55.1%50.8%4.8%-6.4%-295.7K4.6M-79.4K0.0546.48N/AN/A5,51230025,42120,978
2013-03-13$22.00$20.0054.0%13.7%174.0%57.7%50.0%4.4%-4.3%-137.0K-499.7K-103.2K0.5941.75N/AN/A1,7771,05430,54721,042
2013-03-14$21.97$20.0042.0%12.0%174.0%42.3%43.8%8.7%1.5%-139.9K-1.1M-96.5K0.6243.21N/AN/A67942230,59419,796
2013-03-15$22.90$20.0048.4%13.9%174.2%50.5%50.9%-0.1%-0.3%-277.7K-13.1M-103.2K0.0344.74N/AN/A56,5431,97330,83519,787
2013-03-18$23.11$20.0045.7%13.1%174.2%47.0%46.5%1.3%4.6%2.0M-48.8M-318.3K0.1242.10N/AN/A7388772,8328,999
2013-03-19$23.31$20.0045.9%13.2%174.1%47.3%47.4%5.8%1.8%2.1M-53.1M-323.1K0.3037.44N/AN/A6,4211,94773,1299,062
2013-03-20$23.28$20.0041.1%11.8%174.2%41.1%41.7%3.9%5.7%2.0M-48.7M-298.6K0.2339.28N/AN/A2114870,50210,631
2013-03-21$22.81$20.0038.0%10.9%174.6%37.2%43.2%0.3%6.8%1.9M-45.6M-289.1K6.3639.31N/AN/A1791,13970,6578,876
2013-03-22$23.00$20.0039.6%11.4%174.6%39.3%37.8%5.1%4.1%2.0M-42.0M-266.5K0.0040.74N/AN/A84070,6928,671
2013-03-25$22.68$20.0038.9%11.2%166.9%38.4%39.3%-1.9%6.1%1.9M-38.7M-250.5K0.2641.16N/AN/A1132970,6878,571
2013-03-26$22.55$20.0037.9%10.9%63.1%37.1%37.8%5.8%6.6%1.8M-38.0M-258.5K0.0940.22N/AN/A4243770,7358,580
2013-03-27$22.19$20.0037.7%10.8%56.5%36.8%41.0%7.4%6.8%1.7M-34.7M-243.3K0.0037.68N/AN/A31,1396871,0028,571
2013-03-28$22.44$20.0031.1%8.9%37.0%28.4%31.2%4.5%11.3%2.6M-48.1M-324.9K1.3248.70N/AN/A1,0141,339100,9508,586