CWH Options History — August 2013

In August 2013, CWH traded between $23.33 and $26.26. ATM implied volatility averaged 25.3%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.2% (HV 20d: 25.4%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2013-08-08: Highest Volume — 24,654 contracts
  • 2013-08-09: Largest IV drop — 41.1% change
  • 2013-08-05: Highest IV Rank — 43.4%
  • 2013-08-06: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.79$23.33$26.26$23.33$24.55
Max Pain$23.41$20.00$25.00$22.50$22.50
ATM IV25.3%16.9%42.9%37.8%21.3%
Expected Move7.6%5.4%13.0%10.8%6.1%
HV 20d25.4%15.2%30.2%15.4%28.3%
HV 60d28.1%25.4%29.0%28.7%28.4%
IV Rank20.9%10.2%43.4%37.0%15.9%
IV Percentile46.0%14.3%89.3%77.4%38.9%
Term Structure5.7%0.3%8.6%3.6%6.3%
VWIV27.3%19.0%47.1%37.8%20.4%
Skew 25d2.4%-2.2%15.0%-1.0%0.6%
Skew 10d3.8%-8.5%25.3%-7.0%1.9%
Call IV 25d24.3%17.2%42.7%37.6%20.1%
Put IV 25d26.7%17.6%50.9%36.6%20.7%
Bid-Ask Spread %70.5625.7688.3266.5180.31
Gamma HHI0.350.300.460.330.36
Net GEX1.7M944.7K2.5M944.7K2.0M
Net DEX-70.8M-87.8M-46.6M-46.6M-68.7M
Net VEX-205.5K-243.9K-174.2K-213.8K-186.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.007.831.930.47
Total Volume2,334.3642824,6541,21359
Total OI71,768.72759,73077,02259,73075,761

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$23.33$22.5037.8%10.8%15.4%37.0%37.8%-1.0%3.6%944.7K-46.6M-213.8K1.9366.51N/AN/A41479942,56817,162
2013-08-02$23.61$22.5037.4%10.7%15.8%36.4%36.6%6.0%1.9%1.0M-48.6M-215.4K0.3978.88N/AN/A1164542,90517,894
2013-08-05$23.69$20.0042.9%12.2%15.7%43.4%42.7%2.9%4.3%1.0M-50.3M-206.5K1.8549.32N/AN/A40775342,95717,871
2013-08-06$23.82$22.5041.2%13.0%15.5%41.2%47.1%15.0%0.3%1.0M-51.9M-214.5K0.8925.76N/AN/A1,6411,45543,26918,459
2013-08-07$23.94$22.5038.6%12.5%15.2%38.0%43.9%12.5%1.8%1.1M-52.7M-217.5K0.3633.93N/AN/A441644,73819,773
2013-08-08$25.38$22.5028.6%7.7%25.2%25.2%27.2%4.9%7.5%1.7M-75.4M-174.2K0.3642.49N/AN/A18,1046,55044,74119,762
2013-08-09$26.26$25.0016.9%7.2%27.4%10.2%24.4%-2.2%4.3%1.6M-86.3M-218.4K0.2973.48N/AN/A4,2501,23451,27821,426
2013-08-12$26.04$25.0021.5%7.3%27.8%16.1%25.3%0.7%5.4%1.7M-85.3M-243.9K0.1286.19N/AN/A2282754,20722,456
2013-08-13$25.74$25.0018.6%7.1%28.2%12.4%24.5%4.2%5.4%1.8M-85.7M-226.0K0.0277.70N/AN/A42154,33122,469
2013-08-14$25.86$25.0022.1%6.8%28.2%16.9%23.5%0.4%6.7%1.8M-87.8M-220.6K0.0083.64N/AN/A606254,32922,470
2013-08-15$25.64$25.0023.2%6.6%28.4%18.2%0.0%1.5%8.6%1.9M-86.0M-208.4K0.0486.51N/AN/A27154,06722,014
2013-08-16$25.12$25.0022.5%6.5%29.1%17.4%23.2%-2.0%7.6%2.5M-80.2M-210.7K0.0475.65N/AN/A171654,07122,015
2013-08-19$24.57$25.0020.7%5.9%30.2%15.1%20.7%6.4%6.1%1.9M-68.3M-204.4K0.9674.44N/AN/A1,01196653,08819,253
2013-08-20$24.62$25.0021.2%6.1%30.1%15.8%21.2%-0.6%6.1%1.9M-71.5M-199.3K1.0587.10N/AN/A565953,93320,061
2013-08-21$24.67$25.0019.4%5.6%28.8%13.5%34.2%-0.3%6.9%2.0M-69.7M-208.6K0.0673.19N/AN/A2,95017853,95820,100
2013-08-22$24.93$22.5021.8%6.2%28.4%16.5%21.8%2.1%5.9%1.9M-80.2M-202.2K0.0072.30N/AN/A8,7241356,76320,259
2013-08-23$25.01$22.5019.6%5.6%28.0%13.6%19.5%2.6%7.8%2.0M-77.1M-196.2K7.8373.25N/AN/A129455,41620,272
2013-08-26$24.76$22.5019.0%5.4%28.4%12.9%19.0%0.7%7.7%2.0M-74.5M-188.2K2.0088.32N/AN/A265255,46620,322
2013-08-27$24.61$22.5020.6%5.9%28.7%15.0%20.3%-0.1%7.3%2.0M-69.9M-188.7K0.2763.93N/AN/A481355,29020,334
2013-08-28$24.60$22.5021.7%6.2%28.6%16.4%21.7%-1.1%6.5%2.0M-69.3M-193.1K0.3571.57N/AN/A832955,32820,347
2013-08-29$24.63$22.5019.3%5.5%28.5%13.3%19.3%-0.1%7.3%2.0M-70.8M-184.5K1.1087.81N/AN/A212355,37820,351
2013-08-30$24.55$22.5021.3%6.1%28.3%15.9%20.4%0.6%6.3%2.0M-68.7M-186.2K0.4780.31N/AN/A401955,38920,372