CWH Options History — January 2014

In January 2014, CWH traded between $22.40 and $24.58. ATM implied volatility averaged 26.3%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.0% (HV 20d: 16.4%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 9.54.

Notable Days

  • 2014-01-15: Highest Volume — 33,867 contracts
  • 2014-01-30: Largest IV spike — 100.8% change
  • 2014-01-30: Highest IV Rank — 32.0%
  • 2014-01-03: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.30$22.40$24.58$23.30$24.58
Max Pain$27.38$25.00$27.50$27.50$25.00
ATM IV26.3%17.4%37.3%33.3%29.2%
Expected Move8.2%7.0%8.9%8.6%8.4%
HV 20d16.4%14.1%19.0%17.8%19.0%
HV 60d21.5%21.1%22.4%21.6%22.4%
IV Rank17.6%4.9%32.0%27.3%21.0%
IV Percentile23.6%5.2%59.5%44.4%22.6%
Term Structure2.8%-1.0%6.8%-1.0%6.4%
VWIV23.0%22.2%24.5%22.2%22.3%
Skew 25d4.5%-1.1%15.2%1.5%10.3%
Skew 10d11.3%-3.1%42.6%3.5%26.3%
Call IV 25d24.5%14.1%33.1%32.5%26.7%
Put IV 25d29.0%15.4%38.4%34.0%37.0%
Bid-Ask Spread %65.8132.4294.7861.2183.00
Gamma HHI0.680.440.790.480.44
Net GEX1.8M1.0M2.8M1.8M1.7M
Net DEX-31.1M-53.5M-6.7M-20.4M-53.5M
Net VEX-95.7K-130.9K-42.7K-60.4K-126.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.540.00159.005.221.61
Total Volume3,540.192533,8675721,656
Total OI61,328.71447,26791,89755,26755,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$23.30$27.5033.3%8.6%17.8%27.3%0.0%1.5%-1.0%1.8M-20.4M-60.4K5.2261.21N/AN/A9248032,14723,120
2014-01-03$23.15$27.5031.0%8.9%17.7%24.2%0.0%5.3%0.5%1.8M-16.5M-57.3K12.3860.36N/AN/A2632232,19623,403
2014-01-06$23.09$27.5029.2%8.6%16.6%21.8%0.0%5.7%-0.4%1.9M-14.7M-47.4K2.5336.17N/AN/A8621832,22023,536
2014-01-07$23.21$27.5032.7%8.7%15.4%26.5%0.0%4.8%-0.3%1.9M-15.3M-47.8K0.3032.42N/AN/A1324032,26823,590
2014-01-08$22.75$27.5031.0%8.6%16.9%24.3%0.0%5.5%0.5%1.8M-6.7M-42.7K0.9033.39N/AN/A6,5875,93832,37123,584
2014-01-09$22.40$27.5030.0%8.3%17.3%22.9%0.0%4.7%-0.2%2.1M-9.9M-70.0K0.7042.61N/AN/A5,9154,13738,03829,522
2014-01-10$22.64$27.5027.8%8.2%15.6%20.0%0.0%5.1%1.4%2.6M-18.9M-106.7K4.6673.46N/AN/A6228943,85833,629
2014-01-13$22.69$27.5030.6%8.1%15.6%23.7%0.0%3.5%2.5%2.8M-22.3M-96.7K159.0053.11N/AN/A463643,87533,832
2014-01-14$23.17$27.5020.1%8.2%16.7%9.6%0.0%-1.1%3.6%2.1M-40.8M-78.8K3.4572.50N/AN/A4461,53843,87834,431
2014-01-15$23.20$27.5022.7%8.8%16.7%13.0%0.0%0.3%3.1%1.8M-41.5M-76.5K0.3374.77N/AN/A25,4088,45943,55235,403
2014-01-16$23.40$27.5025.6%8.4%16.8%17.0%0.0%1.6%2.8%1.4M-43.7M-130.9K0.0065.47N/AN/A25048,03143,851
2014-01-17$23.37$27.5023.5%8.3%15.4%14.1%0.0%-0.0%4.4%1.4M-44.8M-130.5K1.7475.22N/AN/A16027948,04443,853
2014-01-21$23.25$27.5021.5%7.9%14.3%11.1%0.0%15.2%6.8%1.6M-34.2M-120.2K1.3061.79N/AN/A57875126,30420,963
2014-01-22$23.35$27.5022.6%8.0%14.1%12.0%0.0%8.9%3.8%1.5M-35.6M-125.7K0.0177.78N/AN/A147126,76821,629
2014-01-23$23.81$27.5017.4%7.0%15.4%4.9%0.0%4.8%3.5%1.7M-41.3M-108.6K2.4594.44N/AN/A9523326,90521,620
2014-01-24$23.56$27.5023.2%7.9%15.8%12.8%0.0%2.3%5.0%1.5M-38.5M-120.9K2.9937.94N/AN/A17351826,99121,813
2014-01-27$23.35$27.5022.5%7.3%16.2%11.9%22.2%2.8%5.2%1.8M-36.1M-113.3K0.0186.74N/AN/A89127,12421,967
2014-01-28$23.46$27.5023.0%7.8%16.3%12.5%0.0%8.1%5.3%1.6M-38.1M-116.6K0.0176.77N/AN/A116127,20921,968
2014-01-29$23.59$27.5018.6%8.0%16.3%6.5%24.5%0.3%4.7%1.7M-40.2M-109.6K0.7388.04N/AN/A151127,27321,969
2014-01-30$24.03$27.5037.3%8.3%17.5%32.0%22.3%4.7%1.3%1.0M-41.0M-123.1K0.0794.78N/AN/A8,11756327,28821,963
2014-01-31$24.58$25.0029.2%8.4%19.0%21.0%0.0%10.3%6.4%1.7M-53.5M-126.4K1.6183.00N/AN/A6341,02233,41122,506