CWH Options History — June 2013

In June 2013, CWH traded between $20.18 and $23.12. ATM implied volatility averaged 36.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 11.2% (HV 20d: 25.1%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.48.

Notable Days

  • 2013-06-17: Highest Volume — 22,112 contracts
  • 2013-06-24: Largest IV spike — 46.0% change
  • 2013-06-24: Highest IV Rank — 46.4%
  • 2013-06-24: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.39$20.18$23.12$20.56$23.12
Max Pain$20.50$20.00$30.00$20.00$20.00
ATM IV36.4%29.4%45.2%35.9%35.4%
Expected Move10.7%8.9%13.0%10.3%10.1%
HV 20d25.1%17.1%35.3%30.0%35.3%
HV 60d28.7%26.4%32.4%28.3%32.1%
IV Rank35.1%26.3%46.4%34.5%33.8%
IV Percentile78.7%65.1%90.5%80.2%74.2%
Term Structure2.6%-1.6%7.9%6.3%6.2%
VWIV38.6%32.7%48.5%35.5%35.4%
Skew 25d1.5%-5.8%6.3%5.7%4.2%
Skew 10d1.4%-14.7%15.0%15.0%9.3%
Call IV 25d37.8%26.1%47.1%35.6%35.2%
Put IV 25d39.3%31.9%45.1%41.3%39.4%
Bid-Ask Spread %40.6710.4868.5033.2658.50
Gamma HHI0.530.371.000.370.70
Net GEX2.7M2284.1M2.9M4.1M
Net DEX-50.9M-84.8M22.0K-45.9M-60.4M
Net VEX-202.8K-281.5K-52-281.5K-188.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0356.940.120.41
Total Volume2,013.95022,112541836
Total OI158,419.7543180,404179,870131,591

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$20.56$20.0035.9%10.3%30.0%34.5%35.5%5.7%6.3%2.9M-45.9M-281.5K0.1233.26N/AN/A48457135,91343,957
2013-06-04$20.20$20.0035.1%10.1%28.5%33.6%35.1%6.3%5.8%2.8M-39.1M-268.3K1.4813.09N/AN/A71105135,99643,974
2013-06-05$20.30$20.0036.2%10.4%28.3%34.9%36.2%6.0%4.1%2.5M-35.0M-244.4K0.6810.48N/AN/A13089136,02444,051
2013-06-06$20.31$20.0032.7%9.4%28.3%30.4%32.7%-5.8%7.9%2.8M-37.8M-252.7K0.9322.11N/AN/A180167136,07944,100
2013-06-07$20.36$20.0031.5%11.3%17.1%28.9%41.0%-0.4%-1.0%3.0M-41.6M-256.3K1.0722.33N/AN/A107114136,19344,197
2013-06-10$20.55$20.0035.3%11.2%17.3%33.7%38.5%4.6%-1.2%2.6M-41.5M-215.0K4.7130.68N/AN/A2771,306136,17244,232
2013-06-11$20.30$20.0035.4%10.6%18.0%33.9%36.4%3.4%0.4%2.8M-36.3M-216.2K8.1320.11N/AN/A1741,414136,41343,508
2013-06-12$20.18$20.0029.4%10.8%18.1%26.3%37.9%2.8%-0.6%3.3M-34.2M-202.8K2.2639.06N/AN/A76172136,43142,540
2013-06-13$20.66$20.0039.5%11.3%17.3%39.1%39.0%5.0%-1.6%3.2M-50.4M-212.4K0.0349.85N/AN/A1525136,42042,529
2013-06-14$21.34$20.0036.6%10.5%20.0%35.4%37.1%-3.0%1.2%2.6M-67.2M-207.5K5.6829.06N/AN/A1961,114136,48942,463
2013-06-17$21.79$20.0037.9%10.9%21.1%37.1%41.8%-1.7%-0.1%2.3M-80.9M-195.4K0.0314.02N/AN/A21,428684136,51042,785
2013-06-18$21.95$20.0036.8%10.5%21.1%35.6%40.4%-1.1%1.9%2.4M-83.3M-195.4K0.0657.62N/AN/A81750136,85343,398
2013-06-19$21.83$20.0038.0%10.9%21.3%37.2%37.9%-1.8%0.3%2.2M-81.2M-204.7K56.9460.65N/AN/A1166,605136,50943,400
2013-06-20$21.90$20.0038.0%10.9%20.6%37.3%39.6%-0.1%1.1%2.6M-84.8M-182.3K0.5758.57N/AN/A242138136,22237,553
2013-06-21$22.88$30.0031.0%8.9%25.1%28.2%0.0%0.0%0.0%22822.0K-520.0036.14N/AN/A003211
2013-06-24$21.76$20.0045.2%13.0%31.8%46.4%48.5%-2.0%1.9%2.4M-42.1M-183.0K0.4568.50N/AN/A1,380627115,74815,385
2013-06-25$22.66$20.0040.6%11.7%33.8%40.6%42.2%1.2%5.1%3.3M-53.4M-190.2K0.6068.42N/AN/A260156115,62515,908
2013-06-26$22.24$20.0040.0%11.5%34.6%39.8%41.0%2.6%4.1%2.8M-46.5M-176.1K0.7761.51N/AN/A190146115,77515,834
2013-06-27$22.89$20.0036.9%10.6%35.3%35.8%37.0%2.4%7.2%3.6M-56.2M-183.6K0.2359.45N/AN/A17440115,69015,885
2013-06-28$23.12$20.0035.4%10.1%35.3%33.8%35.4%4.2%6.2%4.1M-60.4M-188.2K0.4158.50N/AN/A591245115,70715,884