CWH Options History — November 2013

In November 2013, CWH traded between $22.54 and $24.74. ATM implied volatility averaged 40.5%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 16.5% (HV 20d: 24.0%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-11-21: Highest Volume — 8,732 contracts
  • 2013-11-19: Largest IV drop — 46.2% change
  • 2013-11-18: Highest IV Rank — 58.1%
  • 2013-11-14: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.70$22.54$24.74$24.60$23.87
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV40.5%29.2%56.1%43.4%31.4%
Expected Move9.6%8.5%10.4%10.0%8.8%
HV 20d24.0%16.2%29.3%16.5%29.1%
HV 60d22.4%19.8%24.4%21.1%24.1%
IV Rank37.1%21.8%58.1%41.0%24.8%
IV Percentile64.4%33.3%90.1%81.3%39.3%
Term Structure-1.8%-7.9%5.1%3.7%0.6%
VWIV32.5%30.9%33.9%33.9%30.9%
Skew 25d5.7%-3.2%9.2%4.3%3.1%
Skew 10d14.8%-1.4%29.0%3.0%2.8%
Call IV 25d39.8%25.2%53.6%42.4%30.8%
Put IV 25d45.5%28.4%59.4%46.7%33.8%
Bid-Ask Spread %68.0531.69115.4267.1238.95
Gamma HHI0.280.210.320.280.31
Net GEX1.2M525.6K1.7M1.6M1.3M
Net DEX-27.5M-41.8M-13.7M-41.8M-30.0M
Net VEX-159.9K-190.0K-136.4K-190.0K-138.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.026.360.510.25
Total Volume1,961.5558,7323,9065
Total OI65,326.455,79072,13765,64562,838

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$24.60$27.5043.4%10.0%16.5%41.0%0.0%4.3%3.7%1.6M-41.8M-190.0K0.5167.12N/AN/A2,5811,32544,76720,878
2013-11-04$24.63$27.5042.1%9.5%16.5%39.2%0.0%7.9%-3.1%1.7M-41.4M-188.6K0.0292.16N/AN/A1,5392945,83021,667
2013-11-05$24.74$27.5043.0%10.2%16.2%40.5%0.0%8.1%-4.4%1.7M-41.6M-189.9K0.0661.71N/AN/A9956045,51121,694
2013-11-06$23.88$27.5038.4%9.8%20.3%34.2%33.9%8.1%-2.7%1.4M-32.6M-176.8K0.0690.03N/AN/A1,3278045,22421,753
2013-11-07$23.31$27.5045.4%10.1%21.1%43.6%0.0%9.2%-5.0%1.1M-21.3M-169.9K0.1982.39N/AN/A4508545,74121,794
2013-11-08$23.36$27.5045.9%10.1%21.0%44.4%0.0%9.1%-1.3%1.1M-20.5M-167.0K0.3567.90N/AN/A2147546,03121,875
2013-11-11$22.54$27.5048.6%10.0%24.2%48.0%0.0%8.4%-7.9%649.7K-13.7M-154.8K0.9486.32N/AN/A1,1741,10146,07421,932
2013-11-12$23.00$27.5048.3%9.7%25.6%47.6%0.0%6.9%-7.0%616.9K-16.2M-162.0K0.6883.53N/AN/A1,42997846,58823,003
2013-11-13$23.03$27.5044.3%10.0%25.6%42.2%0.0%4.9%-6.4%540.3K-17.6M-169.8K0.2150.90N/AN/A2054348,21023,927
2013-11-14$23.00$27.5054.9%10.4%22.5%56.5%0.0%6.5%-3.8%525.6K-18.8M-166.1K0.1659.37N/AN/A821348,17423,557
2013-11-15$23.22$27.5055.5%9.9%23.0%57.4%0.0%7.5%-7.4%617.9K-19.9M-164.9K0.3246.68N/AN/A2929248,23023,515
2013-11-18$23.22$27.5056.1%9.7%23.0%58.1%32.7%8.2%-7.5%939.4K-22.9M-159.1K1.2531.69N/AN/A35544536,98218,808
2013-11-19$23.95$27.5030.2%9.4%25.7%23.1%0.0%2.1%5.1%1.5M-31.8M-136.4K1.82101.63N/AN/A2,3544,28037,22419,151
2013-11-20$23.45$27.5031.2%8.5%26.6%24.5%0.0%-0.8%2.6%1.1M-21.3M-140.6K0.93115.42N/AN/A3,4613,23237,75921,412
2013-11-21$23.40$27.5030.9%9.4%26.5%24.1%0.0%-3.2%3.5%1.4M-24.6M-143.2K0.4387.16N/AN/A6,0852,64741,03424,402
2013-11-22$24.17$27.5029.2%8.8%29.2%21.8%0.0%5.6%2.9%1.3M-32.1M-150.8K6.3640.34N/AN/A1681,06936,16226,616
2013-11-25$24.35$27.5031.1%9.4%29.3%24.3%0.0%7.5%0.0%1.5M-36.3M-141.4K0.0455.08N/AN/A8093536,28226,293
2013-11-26$24.24$27.5030.2%9.1%29.3%23.1%30.9%6.7%1.4%1.4M-34.3M-144.4K0.0241.74N/AN/A95236,33126,423
2013-11-27$24.00$27.5030.3%8.9%29.0%23.3%0.0%3.4%1.2%1.3M-30.6M-142.5K0.1860.92N/AN/A17336,41226,424
2013-11-29$23.87$27.5031.4%8.8%29.1%24.8%0.0%3.1%0.6%1.3M-30.0M-138.9K0.2538.95N/AN/A4136,41726,421