CWH Options History — April 2013

In April 2013, CWH traded between $22.02 and $23.00. ATM implied volatility averaged 39.6%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 10.8% (HV 20d: 28.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 6.88.

Notable Days

2013-04-08: Highest Volume — 33,244 contracts
2013-04-05: Largest IV spike — 35.3% change
2013-04-10: Highest IV Rank — 48.1%
2013-04-18: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.62	$22.02	$23.00	$22.76	$22.33
Max Pain	$22.05	$20.00	$22.50	$20.00	$22.50
ATM IV	39.6%	31.0%	46.6%	32.4%	39.1%
Expected Move	11.2%	8.9%	12.8%	9.3%	11.2%
HV 20d	28.8%	25.5%	31.4%	31.4%	28.4%
HV 60d	101.0%	100.4%	101.5%	100.4%	101.1%
IV Rank	39.2%	28.2%	48.1%	30.0%	38.7%
IV Percentile	88.9%	84.1%	94.0%	86.1%	86.1%
Term Structure	2.8%	-2.7%	10.8%	10.8%	2.3%
VWIV	42.1%	31.3%	53.4%	31.7%	51.2%
Skew 25d	9.3%	1.6%	16.5%	1.6%	6.8%
Skew 10d	14.2%	2.2%	26.7%	2.2%	15.6%
Call IV 25d	37.3%	34.1%	43.3%	35.6%	41.9%
Put IV 25d	46.6%	37.1%	53.5%	37.2%	48.8%
Bid-Ask Spread %	51.43	22.58	71.99	43.33	46.54
Gamma HHI	0.37	0.30	0.51	0.50	0.32
Net GEX	1.8M	414.9K	3.0M	2.7M	414.9K
Net DEX	-38.4M	-53.9M	-24.3M	-51.8M	-25.5M
Net VEX	-379.6K	-430.0K	-287.5K	-326.5K	-402.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.88	0.00	77.96	0.12	14.17
Total Volume	4,131.409	52	33,244	466	1,092
Total OI	136,147.727	110,918	151,360	110,918	148,012

Daily Data (22 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
2013-04-01	$22.76	$20.00	32.4%	9.3%	31.4%	30.0%	31.7%	1.6%	10.8%	2.7M	-51.8M	-326.5K	0.12	43.33	N/A	N/A	416	50	101,489	9,429
2013-04-02	$22.61	$20.00	31.8%	9.1%	31.4%	29.3%	32.2%	2.8%	8.9%	2.7M	-46.4M	-303.1K	4.49	48.58	N/A	N/A	74	332	101,717	9,448
2013-04-03	$22.48	$20.00	31.0%	8.9%	29.3%	28.2%	31.3%	4.1%	8.7%	2.7M	-47.7M	-321.4K	0.05	49.77	N/A	N/A	599	29	101,683	9,392
2013-04-04	$23.00	$20.00	32.6%	9.3%	25.5%	30.3%	32.8%	5.6%	8.8%	3.0M	-53.9M	-328.0K	0.35	52.88	N/A	N/A	159	55	102,216	9,395
2013-04-05	$22.02	$22.50	44.0%	11.7%	29.5%	44.9%	41.9%	11.4%	-2.7%	2.4M	-39.7M	-287.5K	5.93	61.12	N/A	N/A	688	4,080	102,272	9,304
2013-04-08	$22.69	$22.50	46.2%	12.2%	30.5%	47.7%	48.8%	10.9%	-2.2%	2.6M	-46.0M	-302.0K	77.96	46.30	N/A	N/A	421	32,823	102,658	11,443
2013-04-09	$22.76	$22.50	45.1%	12.2%	30.5%	46.3%	41.0%	9.4%	1.9%	1.7M	-37.4M	-427.3K	0.10	53.24	N/A	N/A	1,380	133	102,931	43,939
2013-04-10	$22.95	$22.50	46.6%	12.1%	29.7%	48.1%	0.0%	11.1%	-0.0%	1.9M	-41.6M	-430.0K	0.00	59.52	N/A	N/A	189	0	103,960	42,784
2013-04-11	$22.95	$22.50	39.4%	11.3%	29.5%	39.0%	38.9%	4.1%	3.6%	1.8M	-43.7M	-409.9K	0.00	59.42	N/A	N/A	230	0	103,958	42,639
2013-04-12	$22.92	$22.50	40.4%	11.6%	29.5%	40.3%	40.0%	11.3%	1.8%	2.1M	-43.9M	-415.5K	0.19	54.21	N/A	N/A	181	34	104,141	42,639
2013-04-15	$22.48	$22.50	40.3%	11.6%	26.5%	40.2%	40.8%	10.8%	1.5%	1.8M	-37.1M	-389.4K	0.57	70.04	N/A	N/A	75	43	104,262	42,659
2013-04-16	$22.73	$22.50	41.3%	11.8%	26.6%	41.4%	43.8%	12.3%	0.3%	2.0M	-41.0M	-390.9K	0.33	71.99	N/A	N/A	177	58	104,244	42,675
2013-04-17	$22.56	$22.50	40.4%	11.6%	26.5%	40.2%	40.3%	7.6%	2.4%	1.9M	-37.3M	-385.4K	0.00	61.65	N/A	N/A	52	0	104,287	42,642
2013-04-18	$22.88	$22.50	44.5%	12.8%	27.0%	45.5%	51.4%	16.5%	0.2%	2.2M	-38.8M	-375.3K	0.64	71.60	N/A	N/A	16,598	10,654	104,186	42,585
2013-04-19	$22.17	$22.50	42.4%	12.2%	28.4%	42.8%	53.4%	10.3%	2.3%	967.5K	-26.1M	-410.1K	11.58	61.98	N/A	N/A	346	4,005	101,948	49,412
2013-04-22	$22.71	$22.50	39.9%	11.4%	29.6%	39.6%	40.3%	8.3%	1.7%	1.2M	-34.8M	-405.8K	0.17	22.58	N/A	N/A	767	129	94,884	41,240
2013-04-23	$22.76	$22.50	41.9%	12.0%	29.2%	42.2%	47.9%	13.8%	-0.5%	1.5M	-38.0M	-410.0K	21.81	37.61	N/A	N/A	144	3,140	95,471	41,312
2013-04-24	$22.78	$22.50	39.0%	11.2%	29.1%	38.5%	38.5%	11.1%	2.7%	1.3M	-35.2M	-406.0K	0.99	33.12	N/A	N/A	2,692	2,670	95,508	44,088
2013-04-25	$22.44	$22.50	39.4%	11.3%	29.0%	39.0%	44.3%	12.4%	1.6%	914.9K	-27.9M	-406.6K	9.46	40.04	N/A	N/A	423	4,000	96,831	46,743
2013-04-26	$22.23	$22.50	35.7%	10.2%	28.9%	34.2%	52.7%	13.1%	4.8%	562.7K	-24.3M	-409.7K	2.29	55.04	N/A	N/A	435	998	97,217	49,902
2013-04-29	$22.35	$22.50	37.9%	10.9%	28.5%	37.0%	41.2%	9.2%	2.5%	591.6K	-26.7M	-407.5K	0.12	30.84	N/A	N/A	464	56	97,514	50,191
2013-04-30	$22.33	$22.50	39.1%	11.2%	28.4%	38.7%	51.2%	6.8%	2.3%	414.9K	-25.5M	-402.3K	14.17	46.54	N/A	N/A	72	1,020	97,886	50,126