CWH Options History — December 2013

In December 2013, CWH traded between $22.49 and $23.64. ATM implied volatility averaged 31.5%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.4% (HV 20d: 23.2%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.30.

Notable Days

  • 2013-12-18: Highest Volume — 7,186 contracts
  • 2013-12-30: Largest IV spike — 17.7% change
  • 2013-12-04: Highest IV Rank — 29.6%
  • 2013-12-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.19$22.49$23.64$23.61$23.31
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV31.5%26.7%35.0%32.2%29.7%
Expected Move9.0%8.3%9.9%9.5%8.7%
HV 20d23.2%17.9%29.0%29.0%17.9%
HV 60d23.9%21.6%25.2%24.2%21.6%
IV Rank24.9%18.4%29.6%25.9%22.4%
IV Percentile36.7%23.8%52.0%41.3%25.8%
Term Structure1.1%-2.0%5.4%2.8%-0.7%
VWIV30.8%28.3%33.7%30.4%33.7%
Skew 25d4.2%-1.9%17.7%-1.6%-1.9%
Skew 10d5.7%-2.9%20.4%0.4%0.3%
Call IV 25d29.8%17.7%35.3%33.3%29.3%
Put IV 25d34.0%27.3%38.9%31.7%27.4%
Bid-Ask Spread %51.8625.9978.1641.6666.30
Gamma HHI0.410.300.500.300.50
Net GEX1.4M1.0M1.9M1.2M1.9M
Net DEX-20.0M-26.4M-8.5M-25.5M-19.9M
Net VEX-95.5K-135.2K-63.2K-135.2K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.0024.260.311.41
Total Volume712.905167,186113386
Total OI60,716.90553,54966,02962,83955,124

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$23.61$27.5032.2%9.5%29.0%25.9%0.0%-1.6%2.8%1.2M-25.5M-135.2K0.3141.66N/AN/A862736,41726,422
2013-12-03$23.64$27.5031.3%9.0%29.0%24.6%0.0%1.0%2.1%1.4M-26.4M-123.7K0.0245.35N/AN/A205536,43026,444
2013-12-04$23.43$27.5035.0%9.9%29.0%29.6%0.0%3.2%1.3%1.3M-24.1M-124.5K0.1557.29N/AN/A47736,36026,448
2013-12-05$23.03$27.5032.9%9.3%26.9%26.8%30.4%1.1%-0.3%1.2M-18.3M-117.7K0.2248.16N/AN/A491136,37426,453
2013-12-06$23.44$27.5032.4%8.5%26.4%26.1%28.3%3.9%-1.0%1.4M-23.6M-118.4K0.0077.92N/AN/A17036,39326,458
2013-12-09$23.36$27.5032.6%9.3%26.4%26.5%0.0%3.9%-2.0%1.3M-22.3M-110.0K1.0030.67N/AN/A8836,40626,458
2013-12-10$23.10$27.5030.7%9.1%23.3%23.9%0.0%4.8%-0.6%1.3M-19.9M-106.7K0.0059.04N/AN/A147036,41226,465
2013-12-11$22.55$27.5031.0%8.9%23.8%24.2%0.0%3.5%-0.6%1.0M-11.2M-103.6K24.2663.64N/AN/A1253,03336,47126,465
2013-12-12$22.49$27.5032.5%8.9%23.8%26.2%0.0%5.9%1.9%1.2M-8.5M-98.3K14.2953.68N/AN/A5882936,44426,556
2013-12-13$22.78$27.5032.3%9.2%24.3%26.0%0.0%4.9%1.4%1.3M-12.2M-98.0K3.7832.64N/AN/A3714036,43726,823
2013-12-16$22.83$27.5032.6%9.1%24.0%26.4%0.0%5.7%1.2%1.3M-14.0M-93.4K0.0428.46N/AN/A67336,45026,805
2013-12-17$22.98$27.5033.1%9.0%24.2%27.0%0.0%4.7%0.5%1.4M-17.0M-90.3K0.1678.16N/AN/A1382236,42226,803
2013-12-18$23.41$27.5033.2%9.7%22.3%27.2%33.7%17.7%0.8%1.5M-24.0M-89.6K0.5378.13N/AN/A4,6942,49236,47526,803
2013-12-19$23.03$27.5031.6%9.0%21.8%25.0%0.0%7.8%1.6%1.5M-20.1M-89.5K0.7259.57N/AN/A473437,00628,995
2013-12-20$23.22$27.5031.5%8.9%22.1%25.0%0.0%7.0%2.0%1.5M-23.4M-87.1K0.1125.99N/AN/A38437,03328,996
2013-12-23$23.42$27.5031.0%8.8%18.8%24.2%0.0%6.8%1.2%1.7M-22.7M-80.0K0.0071.28N/AN/A59031,00222,547
2013-12-24$23.30$27.5030.1%8.8%18.5%23.0%0.0%7.1%2.4%1.7M-21.3M-76.3K15.2137.10N/AN/A2436531,05422,547
2013-12-26$23.35$27.5026.7%8.6%18.5%18.4%0.0%1.9%5.4%1.8M-22.0M-68.0K5.1035.61N/AN/A4120931,07822,769
2013-12-27$23.35$27.5027.4%8.3%18.3%19.3%0.0%1.1%3.1%1.8M-21.7M-67.1K2.0042.41N/AN/A183631,06822,921
2013-12-30$23.31$27.5032.2%8.6%18.2%25.9%0.0%0.0%0.7%1.7M-21.5M-65.4K0.0556.07N/AN/A1,3857031,07422,947
2013-12-31$23.31$27.5029.7%8.7%17.9%22.4%0.0%-1.9%-0.7%1.9M-19.9M-63.2K1.4166.30N/AN/A16022632,12622,998