CWH Options History — September 2013

In September 2013, CWH traded between $21.81 and $24.18. ATM implied volatility averaged 30.7%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 12.9% (HV 20d: 17.7%). Max pain ranged from $20.00 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2013-09-23: Highest Volume — 12,040 contracts
  • 2013-09-12: Largest IV spike — 41.1% change
  • 2013-09-25: Highest IV Rank — 45.0%
  • 2013-09-20: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.25$21.81$24.18$24.18$21.91
Max Pain$24.34$20.00$27.50$22.50$27.50
ATM IV30.7%19.0%44.1%22.9%38.0%
Expected Move9.2%5.6%11.5%6.6%9.6%
HV 20d17.7%10.9%29.5%29.0%19.3%
HV 60d25.7%22.1%28.8%28.7%22.1%
IV Rank27.8%12.9%45.0%18.0%37.1%
IV Percentile57.3%22.2%89.7%47.2%76.2%
Term Structure5.7%-0.7%12.4%5.2%5.4%
VWIV30.0%23.1%43.6%23.1%32.7%
Skew 25d4.6%-7.1%11.2%-4.0%11.2%
Skew 10d10.2%-4.9%22.8%-4.5%14.0%
Call IV 25d30.7%22.5%42.3%23.0%33.6%
Put IV 25d35.4%15.4%48.0%19.0%44.8%
Bid-Ask Spread %85.2757.33108.6082.07108.60
Gamma HHI0.360.310.450.350.45
Net GEX1.8M372.0K2.2M1.9M2.0M
Net DEX-49.3M-61.0M-34.4M-61.0M-35.0M
Net VEX-157.2K-184.8K-130.3K-178.2K-154.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.120.010.12
Total Volume1,463.552012,04076645
Total OI75,907.667,45081,15675,79176,358

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$24.18$22.5022.9%6.6%29.0%18.0%23.1%-4.0%5.2%1.9M-61.0M-178.2K0.0182.07N/AN/A75155,41020,381
2013-09-04$23.88$22.5019.4%5.6%29.3%13.5%25.3%-7.1%4.4%1.9M-57.3M-171.3K0.0072.33N/AN/A1,129455,44020,382
2013-09-05$23.63$22.5022.4%6.4%29.5%17.3%25.9%0.5%12.4%1.7M-48.2M-184.3K0.3461.39N/AN/A622155,50320,382
2013-09-06$23.63$20.0019.0%8.7%19.6%12.9%29.7%7.4%7.6%1.8M-53.8M-168.0K0.0583.64N/AN/A55355,48720,394
2013-09-09$23.89$20.0026.5%8.0%14.8%22.5%28.0%9.0%7.9%1.8M-55.2M-162.0K2.1271.70N/AN/A418755,51520,395
2013-09-10$23.84$20.0022.3%7.7%14.8%17.2%28.9%7.8%8.8%1.9M-56.0M-156.5K0.2180.36N/AN/A24555,53720,415
2013-09-11$23.78$20.0022.8%8.1%14.6%17.8%27.5%4.5%6.1%1.9M-54.5M-158.8K0.7077.73N/AN/A463255,55020,412
2013-09-12$23.73$20.0032.1%9.2%14.2%29.7%27.7%5.6%5.8%1.8M-53.3M-148.5K0.0077.53N/AN/A20055,53420,418
2013-09-13$23.72$20.0031.0%8.9%14.2%28.3%23.4%3.6%6.6%1.8M-52.9M-145.1K0.0267.95N/AN/A45155,55220,418
2013-09-16$23.74$0.0031.5%10.7%12.8%28.9%34.1%4.1%6.7%1.9M-54.9M-136.9K0.3089.61N/AN/A1354155,61820,120
2013-09-17$23.54$27.5031.1%10.2%10.9%28.3%0.0%4.9%6.4%1.8M-50.8M-135.5K0.8197.55N/AN/A322655,63520,155
2013-09-18$23.77$27.5028.1%11.1%11.6%24.6%0.0%6.5%6.6%1.9M-53.0M-134.4K0.4368.62N/AN/A873755,67020,171
2013-09-19$23.55$27.5031.3%10.4%11.8%28.6%37.4%5.1%7.3%1.8M-51.9M-130.3K0.20100.04N/AN/A7,6941,52255,57020,125
2013-09-20$22.54$27.5031.4%11.5%18.1%28.8%43.6%6.9%5.0%372.0K-39.1M-141.6K1.9657.33N/AN/A32964459,50921,647
2013-09-23$22.54$27.5039.5%10.5%17.9%39.1%32.2%2.9%-0.7%1.7M-37.8M-145.7K0.10104.42N/AN/A10,9931,04749,57117,879
2013-09-24$22.54$27.5043.5%10.0%17.9%44.2%0.0%5.7%0.4%2.2M-51.3M-184.8K0.70107.65N/AN/A31121860,14218,313
2013-09-25$22.48$27.5044.1%10.7%17.9%45.0%0.0%5.9%0.1%2.0M-43.3M-175.9K0.0582.78N/AN/A5272657,54818,455
2013-09-26$22.34$27.5041.6%9.9%17.8%41.8%32.7%5.4%4.2%2.0M-42.9M-171.8K0.69106.88N/AN/A20514257,71718,466
2013-09-27$21.81$27.5034.6%10.1%18.9%32.8%0.0%6.6%8.4%2.0M-34.4M-160.8K0.02107.14N/AN/A2,9085157,79018,568
2013-09-30$21.91$27.5038.0%9.6%19.3%37.1%0.0%11.2%5.4%2.0M-35.0M-154.1K0.12108.60N/AN/A5786757,79018,568