CWH Options History — October 2013

In October 2013, CWH traded between $22.55 and $25.02. ATM implied volatility averaged 53.8%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 29.9% (HV 20d: 23.9%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.46.

Notable Days

2013-10-18: Highest Volume — 27,583 contracts
2013-10-03: Largest IV spike — 24.0% change
2013-10-09: Highest IV Rank — 69.3%
2013-10-09: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.20	$22.55	$25.02	$22.55	$24.37
Max Pain	$27.50	$27.50	$27.50	$27.50	$27.50
ATM IV	53.8%	38.6%	64.4%	39.7%	42.1%
Expected Move	9.9%	9.2%	10.6%	9.6%	9.8%
HV 20d	23.9%	19.0%	28.4%	22.5%	20.1%
HV 60d	23.9%	22.8%	24.2%	22.9%	24.2%
IV Rank	55.3%	38.0%	69.3%	39.4%	39.2%
IV Percentile	90.5%	77.4%	98.8%	81.0%	79.8%
Term Structure	-5.9%	-13.3%	5.0%	1.2%	3.1%
VWIV	33.8%	31.5%	36.2%	31.5%	36.2%
Skew 25d	6.2%	-1.0%	13.2%	1.0%	5.3%
Skew 10d	18.7%	2.3%	42.6%	2.3%	17.3%
Call IV 25d	51.1%	41.8%	58.2%	41.8%	43.2%
Put IV 25d	57.2%	42.9%	67.1%	42.9%	48.5%
Bid-Ask Spread %	98.18	72.78	110.24	98.66	97.92
Gamma HHI	0.38	0.27	0.89	0.46	0.29
Net GEX	2.7M	1.5M	11.2M	2.4M	1.5M
Net DEX	-68.5M	-108.0M	-38.0M	-45.4M	-38.0M
Net VEX	-191.9K	-275.1K	-152.8K	-159.0K	-197.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.01	7.78	0.01	0.01
Total Volume	3,619.826	169	27,583	2,779	1,013
Total OI	82,140.826	63,760	96,665	78,314	66,158

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$22.55	$27.50	39.7%	9.6%	22.5%	39.4%	31.5%	1.0%	1.2%	2.4M	-45.4M	-159.0K	0.01	98.66	N/A	N/A	2,757	22	59,669	18,645
2013-10-02	$22.70	$27.50	38.6%	9.4%	22.5%	38.0%	0.0%	3.8%	5.0%	2.7M	-52.1M	-159.8K	0.88	98.99	N/A	N/A	4,766	4,183	61,555	18,665
2013-10-03	$22.96	$27.50	47.9%	10.1%	22.8%	47.1%	0.0%	7.3%	-3.0%	2.6M	-58.3M	-180.2K	1.81	110.24	N/A	N/A	313	567	65,583	21,603
2013-10-04	$23.76	$27.50	55.5%	9.8%	26.1%	57.3%	0.0%	-1.0%	-9.1%	2.4M	-72.0M	-175.8K	0.27	105.64	N/A	N/A	9,006	2,442	61,985	18,630
2013-10-07	$23.75	$27.50	57.8%	10.3%	25.8%	60.4%	0.0%	-0.2%	-7.1%	2.6M	-76.3M	-193.4K	2.13	104.92	N/A	N/A	1,287	2,735	69,749	20,724
2013-10-08	$24.01	$27.50	63.7%	10.4%	26.1%	68.3%	0.0%	4.5%	-9.9%	2.6M	-81.0M	-192.7K	0.02	97.54	N/A	N/A	4,738	95	70,392	21,578
2013-10-09	$23.70	$27.50	64.4%	10.6%	26.5%	69.3%	0.0%	2.6%	-8.5%	2.7M	-79.1M	-193.7K	0.14	102.98	N/A	N/A	162	23	73,913	21,527
2013-10-10	$24.10	$27.50	57.8%	10.0%	27.1%	60.3%	0.0%	3.8%	-12.4%	2.8M	-86.6M	-192.3K	1.17	106.21	N/A	N/A	78	91	74,948	21,537
2013-10-11	$24.25	$27.50	57.3%	10.4%	27.2%	59.7%	0.0%	5.0%	-9.9%	2.9M	-89.7M	-185.6K	0.78	105.88	N/A	N/A	824	642	74,972	21,597
2013-10-14	$24.19	$27.50	59.0%	10.0%	27.2%	62.0%	0.0%	7.1%	-12.4%	2.9M	-90.0M	-176.5K	0.48	100.33	N/A	N/A	223	108	74,963	21,554
2013-10-15	$24.20	$27.50	60.6%	9.7%	27.0%	64.1%	0.0%	8.1%	-13.3%	3.1M	-93.6M	-164.4K	0.07	100.42	N/A	N/A	1,756	119	74,940	21,553
2013-10-16	$24.23	$27.50	60.5%	9.2%	26.8%	64.0%	0.0%	8.0%	-12.3%	3.0M	-94.0M	-154.8K	1.26	102.89	N/A	N/A	328	414	74,627	21,639
2013-10-17	$24.97	$27.50	58.0%	10.3%	28.4%	60.7%	0.0%	13.2%	-10.0%	3.0M	-107.0M	-152.8K	0.53	102.67	N/A	N/A	1,220	651	74,202	21,870
2013-10-18	$24.98	$27.50	57.4%	9.5%	22.5%	59.9%	0.0%	10.1%	-10.1%	11.2M	-108.0M	-153.0K	0.49	95.34	N/A	N/A	18,484	9,099	74,486	22,179
2013-10-21	$24.81	$27.50	57.9%	10.2%	22.8%	60.5%	36.2%	9.3%	-8.6%	1.8M	-61.0M	-250.9K	0.90	96.90	N/A	N/A	2,602	2,349	53,115	22,856
2013-10-22	$25.02	$27.50	56.6%	9.9%	22.8%	58.7%	0.0%	8.5%	-6.7%	1.9M	-63.3M	-275.1K	0.43	82.09	N/A	N/A	389	166	55,570	25,178
2013-10-23	$24.86	$27.50	54.4%	10.0%	23.0%	55.7%	0.0%	8.0%	-4.7%	1.8M	-52.8M	-221.1K	7.78	104.47	N/A	N/A	97	755	48,003	17,022
2013-10-24	$24.64	$27.50	52.1%	10.0%	23.2%	52.7%	0.0%	8.9%	-3.0%	1.8M	-50.5M	-218.3K	0.09	97.37	N/A	N/A	3,429	312	48,085	17,663
2013-10-25	$24.58	$27.50	51.0%	9.9%	20.7%	51.2%	0.0%	5.1%	-1.8%	1.7M	-45.4M	-211.6K	3.35	105.80	N/A	N/A	237	795	45,865	17,895
2013-10-28	$24.74	$27.50	53.1%	9.6%	20.7%	54.1%	0.0%	11.0%	-5.5%	1.6M	-44.4M	-205.8K	1.06	73.66	N/A	N/A	85	90	45,365	18,551
2013-10-29	$24.78	$27.50	49.4%	9.6%	19.0%	49.0%	0.0%	9.4%	-1.8%	1.7M	-44.9M	-202.9K	7.36	94.43	N/A	N/A	69	508	45,435	18,640
2013-10-30	$24.41	$27.50	42.8%	10.0%	20.2%	40.1%	0.0%	2.7%	4.2%	1.7M	-41.5M	-195.8K	2.63	72.78	N/A	N/A	889	2,338	45,435	19,118
2013-10-31	$24.37	$27.50	42.1%	9.8%	20.1%	39.2%	0.0%	5.3%	3.1%	1.5M	-38.0M	-197.8K	0.01	97.92	N/A	N/A	1,000	13	45,293	20,865