CWH Options History — February 2014

In February 2014, CWH traded between $25.25 and $27.45. ATM implied volatility averaged 30.4%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.0% (HV 20d: 19.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 6.36.

Notable Days

  • 2014-02-11: Highest Volume — 13,034 contracts
  • 2014-02-13: Largest IV spike — 45.9% change
  • 2014-02-20: Highest IV Rank — 29.9%
  • 2014-02-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.47$25.25$27.45$25.25$27.15
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV30.4%20.1%37.3%29.6%29.4%
Expected Move7.8%6.7%8.5%8.4%7.4%
HV 20d19.4%17.7%20.5%20.5%20.1%
HV 60d20.0%18.5%23.0%23.0%18.8%
IV Rank20.6%7.8%29.9%21.6%20.1%
IV Percentile33.7%7.9%59.5%23.8%19.8%
Term Structure0.9%-3.0%14.2%3.4%1.8%
VWIV28.9%26.2%30.8%30.1%29.8%
Skew 25d8.6%4.4%29.4%6.9%11.2%
Skew 10d21.1%2.7%65.1%9.4%16.7%
Call IV 25d28.7%18.1%35.1%21.2%23.3%
Put IV 25d37.3%23.7%51.4%28.0%34.4%
Bid-Ask Spread %64.5334.08112.2495.8840.83
Gamma HHI0.360.310.540.410.54
Net GEX1.4M1.2M1.8M1.3M1.8M
Net DEX-69.2M-83.6M-55.3M-56.5M-75.7M
Net VEX-126.0K-160.3K-94.1K-115.5K-132.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.360.0036.850.150.23
Total Volume2,67311013,0341,161602
Total OI63,770.10555,08170,96655,11670,966

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$25.25$25.0029.6%8.4%20.5%21.6%0.0%6.9%3.4%1.3M-56.5M-115.5K0.1595.88N/AN/A1,00815331,58823,528
2014-02-04$25.54$25.0026.5%7.7%20.5%16.5%0.0%29.4%5.3%1.3M-60.3M-99.8K0.0181.95N/AN/A3,4964531,68723,653
2014-02-05$25.66$25.0026.2%8.5%20.5%16.2%30.1%23.7%9.2%1.2M-62.3M-97.4K0.0186.65N/AN/A4,9715831,39223,689
2014-02-06$25.91$25.0020.1%8.4%18.3%7.8%0.0%5.7%14.2%1.6M-71.5M-105.7K0.0471.01N/AN/A8533635,74523,736
2014-02-07$25.62$25.0025.7%7.8%17.7%13.5%0.0%5.4%-2.7%1.8M-70.5M-94.1K33.4959.77N/AN/A672,24435,79923,768
2014-02-10$25.68$25.0024.3%8.0%17.7%11.7%0.0%6.2%-1.7%1.4M-67.9M-119.4K36.8564.94N/AN/A612,24835,77525,937
2014-02-11$26.39$25.0026.5%6.7%19.1%14.7%0.0%5.4%-2.1%1.2M-73.9M-107.4K0.0377.08N/AN/A12,71631835,81627,967
2014-02-12$26.83$25.0022.3%8.3%18.7%8.8%27.4%4.4%0.1%1.5M-77.0M-114.9K0.1449.03N/AN/A1,49521437,83227,975
2014-02-13$27.00$25.0032.5%7.3%18.6%23.2%26.2%5.6%0.3%1.6M-77.2M-134.0K0.6963.53N/AN/A654538,95228,127
2014-02-14$27.38$25.0031.2%7.6%18.7%21.3%0.0%4.6%0.5%1.5M-83.6M-113.4K8.1281.09N/AN/A9173938,66728,170
2014-02-18$27.45$25.0035.7%8.2%18.5%27.6%0.0%6.6%-3.0%1.6M-80.1M-125.8K0.8534.98N/AN/A1,2681,07738,72428,706
2014-02-19$27.02$25.0036.1%7.8%19.9%28.2%0.0%4.9%-2.4%1.6M-76.9M-141.7K3.0960.27N/AN/A4151,28239,83729,742
2014-02-20$27.03$25.0037.3%7.3%20.0%29.9%0.0%6.2%-2.7%1.6M-79.2M-124.2K0.0073.38N/AN/A131039,97730,844
2014-02-21$26.96$25.0034.7%7.3%19.8%26.2%0.0%5.6%-0.3%1.5M-75.7M-141.7K25.3650.47N/AN/A2516,36640,09230,844
2014-02-24$26.59$25.0036.2%7.8%20.2%28.4%0.0%5.6%-1.3%1.2M-57.3M-160.3K3.8034.08N/AN/A6123235,13227,602
2014-02-25$26.43$25.0034.9%7.7%19.9%26.5%0.0%8.8%0.0%1.2M-55.3M-158.1K7.1542.48N/AN/A2014335,18927,787
2014-02-26$26.46$25.0035.4%8.3%20.0%26.4%30.8%10.1%-0.3%1.2M-55.3M-159.2K0.2846.46N/AN/A1504235,20827,927
2014-02-27$26.61$25.0032.4%7.7%20.0%22.1%0.0%7.7%-0.4%1.3M-58.9M-148.2K0.55112.24N/AN/A5,0372,78735,29327,959
2014-02-28$27.15$25.0029.4%7.4%20.1%20.1%29.8%11.2%1.8%1.8M-75.7M-132.5K0.2340.83N/AN/A48911340,32530,641