CWH Options History — July 2013

In July 2013, CWH traded between $22.75 and $24.02. ATM implied volatility averaged 35.7%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 4.2% (HV 20d: 31.5%). 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 12 of 22 days. Put/call ratio averaged 15.68.

Notable Days

  • 2013-07-12: Highest Volume — 15,783 contracts
  • 2013-07-19: Largest IV spike — 20.6% change
  • 2013-07-15: Highest IV Rank — 40.9%
  • 2013-07-09: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.39$22.75$24.02$23.39$23.07
Max Pain$22.16$20.00$22.50$20.00$22.50
ATM IV35.7%32.4%40.9%36.6%34.7%
Expected Move10.6%9.3%12.2%10.5%10.0%
HV 20d31.5%18.7%37.7%35.3%18.7%
HV 60d30.6%28.8%31.4%30.9%28.8%
IV Rank34.3%30.0%40.9%35.4%33.0%
IV Percentile72.8%60.3%86.9%77.0%67.9%
Term Structure0.9%-3.3%7.2%4.9%6.5%
VWIV35.0%21.5%43.9%39.6%34.4%
Skew 25d4.4%-5.1%13.0%3.3%-0.7%
Skew 10d5.2%-9.2%13.3%10.9%-4.9%
Call IV 25d34.2%24.4%39.2%36.7%33.4%
Put IV 25d38.6%27.6%47.5%40.0%32.7%
Bid-Ask Spread %71.7360.4979.3260.4971.84
Gamma HHI0.550.260.810.740.26
Net GEX3.6M734.1K8.3M4.5M734.1K
Net DEX-54.1M-78.5M-34.9M-64.7M-37.9M
Net VEX-161.5K-190.1K-127.5K-175.3K-177.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.680.00329.500.120.03
Total Volume1,874.56415,7837056,403
Total OI107,163.04546,162151,402131,89753,677

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$23.39$20.0036.6%10.5%35.3%35.4%39.6%3.3%4.9%4.5M-64.7M-175.3K0.1260.49N/AN/A63273115,80416,093
2013-07-02$23.93$20.0034.0%9.8%34.6%32.1%25.5%-1.9%5.0%5.7M-72.1M-178.2K4.0860.67N/AN/A2631,072115,84816,104
2013-07-03$23.17$20.0032.9%9.4%37.5%30.7%35.3%-3.2%7.2%4.2M-56.4M-150.6K0.2171.02N/AN/A5311115,89616,027
2013-07-05$23.05$22.5034.3%11.4%37.7%32.4%43.9%4.1%-1.8%3.8M-51.9M-136.9K0.3872.53N/AN/A5822115,94716,036
2013-07-08$23.19$22.5033.5%12.1%37.6%31.4%0.0%6.3%-2.8%3.8M-51.1M-127.5K0.0070.44N/AN/A3,5962115,94016,053
2013-07-09$23.41$22.5035.6%12.2%37.6%34.1%40.5%13.0%-2.1%4.8M-59.5M-149.4K0.0771.04N/AN/A957119,42816,054
2013-07-10$23.23$22.5034.6%12.0%37.4%32.9%36.5%7.4%-3.3%4.4M-56.3M-145.3K0.1074.67N/AN/A11612119,44116,055
2013-07-11$23.46$22.5040.2%11.5%37.1%40.0%35.3%8.1%-1.0%4.6M-56.0M-135.2K0.8574.59N/AN/A164140119,48016,066
2013-07-12$23.53$22.5040.0%11.5%36.6%39.8%35.8%8.0%-1.4%5.4M-60.3M-139.5K1.1273.31N/AN/A7,4448,339119,42616,093
2013-07-15$23.58$22.5040.9%11.7%35.3%40.9%0.0%7.2%-1.4%5.4M-66.6M-188.1K1.8974.71N/AN/A3668126,82924,412
2013-07-16$23.89$22.5035.1%10.1%35.0%33.5%36.4%7.6%0.9%7.1M-75.0M-190.1K0.0075.01N/AN/A2551126,84124,434
2013-07-17$24.02$22.5035.4%10.2%35.0%33.9%37.4%-0.6%2.2%8.3M-78.5M-187.1K0.0370.45N/AN/A1184126,96724,435
2013-07-18$23.93$22.5033.2%9.5%34.9%31.0%33.9%6.4%2.2%8.2M-75.6M-176.0K0.5762.98N/AN/A276158126,37924,424
2013-07-19$23.60$22.5040.0%11.5%35.5%39.8%34.6%8.4%-1.9%1.3M-56.7M-157.3K0.0272.29N/AN/A1,52537126,47124,494
2013-07-22$23.85$22.5034.9%10.0%32.4%33.3%40.1%6.4%1.3%1.2M-44.4M-151.9K1.0070.60N/AN/A49048834,44011,722
2013-07-23$23.72$22.5036.9%10.6%26.1%35.8%37.1%0.9%0.8%1.1M-44.2M-153.7K0.0974.87N/AN/A91835,02812,203
2013-07-24$23.20$22.5037.9%10.9%23.9%37.0%37.8%6.4%-2.2%1.0M-39.1M-157.7K1.5770.94N/AN/A1,5822,48534,59212,202
2013-07-25$22.94$22.5032.4%9.3%23.2%30.0%32.9%6.7%3.5%1.0M-38.5M-162.9K329.5074.34N/AN/A41,31836,00214,483
2013-07-26$22.75$22.5033.0%9.5%21.1%30.8%26.1%3.3%-0.3%879.4K-34.9M-168.3K0.0779.19N/AN/A7475636,09315,392
2013-07-29$22.78$22.5034.8%10.0%20.8%33.1%21.5%3.8%1.3%790.3K-35.2M-168.6K1.6679.32N/AN/A6741,12135,97815,442
2013-07-30$22.85$22.5034.9%10.0%20.3%33.2%0.0%-5.1%2.5%775.1K-35.6M-175.3K1.6472.75N/AN/A45274336,39916,457
2013-07-31$23.07$22.5034.7%10.0%18.7%33.0%34.4%-0.7%6.5%734.1K-37.9M-177.7K0.0371.84N/AN/A6,21718636,67317,004