CWH Options History — May 2013

In May 2013, CWH traded between $20.03 and $22.29. ATM implied volatility averaged 39.9%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 8.8% (HV 20d: 31.1%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.12.

Notable Days

  • 2013-05-09: Highest Volume — 36,929 contracts
  • 2013-05-16: Largest IV spike — 45.0% change
  • 2013-05-07: Highest IV Rank — 67.5%
  • 2013-05-08: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.70$20.03$22.29$22.29$20.44
Max Pain$20.80$20.00$30.00$22.50$20.00
ATM IV39.9%25.4%61.7%40.9%34.3%
Expected Move11.5%9.7%17.6%11.7%9.8%
HV 20d31.1%26.1%34.9%28.4%32.0%
HV 60d80.2%28.4%102.8%101.1%28.4%
IV Rank39.7%21.2%67.5%40.9%32.4%
IV Percentile82.7%63.9%98.4%88.9%77.0%
Term Structure3.6%-6.1%7.1%1.2%5.9%
VWIV39.7%26.2%60.5%40.1%29.3%
Skew 25d6.3%1.5%19.9%19.9%8.7%
Skew 10d12.1%-16.7%39.1%39.1%6.7%
Call IV 25d36.7%23.3%62.1%30.3%23.3%
Put IV 25d43.0%32.0%63.9%50.2%32.0%
Bid-Ask Spread %37.955.2861.5138.9632.65
Gamma HHI0.410.320.970.320.35
Net GEX1.4M-1.0M2.8M341.9K2.8M
Net DEX-27.6M-46.8M13.0M-22.9M-46.8M
Net VEX-297.8K-403.5K-35.4K-391.0K-295.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0021.370.990.54
Total Volume6,786.04515536,92913,616341
Total OI170,373.68241,276199,973149,070179,809

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$22.29$22.5040.9%11.7%28.4%40.9%40.1%19.9%1.2%341.9K-22.9M-391.0K0.9938.96N/AN/A6,8386,77897,93051,140
2013-05-02$21.77$22.5052.1%14.9%28.1%55.2%60.5%1.5%-1.2%410.1K-22.1M-402.7K0.1620.80N/AN/A18,9373,076104,53757,727
2013-05-03$21.04$22.5060.4%17.3%26.4%65.8%60.1%1.8%-6.1%242.5K-6.8M-403.5K21.3722.03N/AN/A1,15424,661115,74360,605
2013-05-06$21.63$20.0061.4%13.9%26.1%67.0%55.9%8.1%1.8%1.5M-35.9M-381.0K0.1727.52N/AN/A3,001504120,89545,856
2013-05-07$21.31$20.0061.7%14.1%26.4%67.5%52.7%7.0%0.5%1.2M-28.6M-353.3K0.0340.49N/AN/A2,66271119,91746,083
2013-05-08$21.33$30.0061.3%17.6%26.1%67.0%0.0%0.0%0.0%379.8K-3.2M-35.4K0.005.28N/AN/A155040,686590
2013-05-09$20.03$20.0035.6%11.6%33.4%34.1%42.9%3.7%4.7%-1.0M13.0M-237.3K0.8024.22N/AN/A20,52316,406122,92247,516
2013-05-10$20.07$20.0033.5%10.8%33.5%31.5%38.6%4.0%4.7%-84.1K-162.1K-263.5K0.7334.35N/AN/A10,3357,530131,61048,258
2013-05-13$20.11$20.0032.8%10.5%33.3%30.6%40.5%3.9%4.1%208.4K-14.9M-310.2K3.0150.91N/AN/A67202144,26253,007
2013-05-14$20.13$20.0030.6%10.7%32.8%27.7%37.6%4.5%3.3%269.1K-17.1M-305.5K2.3552.69N/AN/A133312144,24551,686
2013-05-15$20.70$20.0025.4%11.0%34.9%21.2%35.3%6.9%4.1%1.1M-24.4M-257.2K0.0054.87N/AN/A7,64828144,21851,668
2013-05-16$20.43$20.0036.9%10.6%34.4%35.8%36.8%3.3%4.9%963.5K-39.1M-356.2K0.0537.30N/AN/A1,14756148,75751,216
2013-05-17$20.49$20.0035.0%10.0%33.1%33.4%35.2%2.0%5.9%1.4M-32.5M-302.4K0.5139.07N/AN/A493249145,57751,243
2013-05-20$20.59$20.0034.5%9.9%31.6%32.8%34.5%3.5%4.3%2.6M-44.2M-295.0K4.2326.38N/AN/A4551,924130,91336,975
2013-05-21$20.77$20.0034.7%10.0%31.9%33.0%34.7%4.7%4.2%2.5M-46.0M-300.6K5.0127.35N/AN/A155777131,23638,150
2013-05-22$20.53$20.0033.9%9.7%31.9%32.0%32.0%6.1%5.1%2.4M-39.1M-276.3K0.2549.16N/AN/A483121131,25538,797
2013-05-23$20.62$20.0034.3%9.8%31.9%32.5%34.2%5.4%5.8%2.6M-44.8M-292.7K0.5661.51N/AN/A12469131,70438,853
2013-05-24$20.49$20.0036.1%10.3%31.8%34.7%35.8%7.4%2.8%2.5M-41.7M-291.2K3.7256.71N/AN/A54201131,79138,786
2013-05-28$20.23$20.0034.5%9.9%31.7%32.7%36.3%3.6%5.3%2.3M-33.7M-248.3K0.7649.31N/AN/A8968131,83238,800
2013-05-29$20.06$20.0034.1%9.8%31.7%32.2%34.1%13.9%6.1%2.5M-32.8M-264.0K1.1633.97N/AN/A4,8925,668131,82738,804
2013-05-30$20.43$20.0034.6%9.9%32.8%32.9%26.2%13.3%7.1%2.7M-43.3M-289.6K0.1949.37N/AN/A762144136,47244,323
2013-05-31$20.44$20.0034.3%9.8%32.0%32.4%29.3%8.7%5.9%2.8M-46.8M-295.5K0.5432.65N/AN/A222119135,88043,929