CWH Options History — March 2014

In March 2014, CWH traded between $26.04 and $27.68. ATM implied volatility averaged 29.5%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 13.0% (HV 20d: 16.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 8.89.

Notable Days

  • 2014-03-20: Highest Volume — 62,786 contracts
  • 2014-03-19: Largest IV drop — 33.2% change
  • 2014-03-18: Highest IV Rank — 47.0%
  • 2014-03-05: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.99$26.04$27.68$27.35$26.30
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV29.5%23.3%39.2%30.8%23.3%
Expected Move7.4%6.7%7.9%7.6%6.7%
HV 20d16.5%14.4%19.1%19.1%15.5%
HV 60d17.9%17.1%18.8%18.8%18.3%
IV Rank25.9%13.5%47.0%22.3%13.5%
IV Percentile28.0%13.1%71.8%24.6%13.1%
Term Structure-1.6%-10.5%4.1%0.5%-0.6%
VWIV27.1%25.6%28.7%26.7%25.6%
Skew 25d9.2%0.9%16.0%13.5%8.8%
Skew 10d21.3%0.7%35.4%35.4%12.1%
Call IV 25d25.5%20.9%37.6%22.5%26.5%
Put IV 25d34.8%23.7%45.2%36.1%35.3%
Bid-Ask Spread %65.2527.2498.3846.6970.92
Gamma HHI0.630.530.740.530.62
Net GEX2.2M1.7M3.5M1.8M2.4M
Net DEX-70.7M-105.8M-41.5M-74.2M-47.4M
Net VEX-167.2K-271.4K-93.5K-151.0K-254.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.890.0074.470.401.93
Total Volume6,130.4293162,786209164
Total OI83,697.71470,729127,34271,44496,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$27.35$25.0030.8%7.6%19.1%22.3%0.0%13.5%0.5%1.8M-74.2M-151.0K0.4046.69N/AN/A1496040,73730,707
2014-03-04$27.58$25.0029.6%7.6%17.4%20.4%0.0%3.9%1.3%2.0M-83.8M-106.7K1.2934.65N/AN/A8010340,75830,761
2014-03-05$27.68$25.0029.3%7.9%17.2%26.2%0.0%10.5%2.6%1.9M-81.2M-128.7K0.0042.30N/AN/A32040,79630,864
2014-03-06$27.67$25.0025.8%7.6%17.3%18.7%0.0%0.9%4.1%1.9M-84.8M-113.1K59.8933.05N/AN/A1488,86340,82830,864
2014-03-07$27.58$25.0026.2%7.5%17.3%19.7%26.7%6.6%-2.8%1.7M-80.0M-130.6K26.3736.01N/AN/A1950140,90429,825
2014-03-10$27.26$25.0027.3%7.1%17.4%21.9%0.0%9.7%-3.1%1.8M-75.1M-124.1K0.0327.24N/AN/A5051640,91830,278
2014-03-11$27.15$25.0030.1%7.2%17.6%27.8%0.0%13.1%-2.8%2.0M-76.2M-111.6K0.2339.05N/AN/A1,48334241,35930,290
2014-03-12$27.15$25.0032.5%7.1%15.0%32.9%0.0%13.2%-4.0%2.3M-79.0M-108.0K74.4792.05N/AN/A302,23442,82430,314
2014-03-13$26.87$25.0032.1%7.2%14.4%32.1%0.0%13.5%-6.5%1.9M-71.5M-128.1K3.9891.21N/AN/A13252642,84332,231
2014-03-14$27.32$25.0031.3%7.6%15.4%30.3%0.0%16.0%-5.2%2.2M-81.8M-100.5K1.9662.85N/AN/A489442,93232,704
2014-03-17$27.20$25.0037.2%7.3%14.7%42.7%28.7%4.8%-10.5%1.9M-76.9M-121.4K0.0353.70N/AN/A3,88711742,94232,759
2014-03-18$26.81$25.0039.2%7.4%15.5%47.0%0.0%7.5%-8.2%2.1M-70.9M-130.6K9.6890.20N/AN/A1,72916,73147,26832,760
2014-03-19$27.35$25.0026.2%6.8%16.2%19.6%27.2%7.4%0.9%2.6M-82.5M-120.2K3.9987.00N/AN/A4,51117,97848,35748,828
2014-03-20$27.02$25.0026.5%7.3%16.8%20.3%0.0%10.0%-0.4%2.7M-79.5M-93.5K0.6985.02N/AN/A37,18925,59749,85833,378
2014-03-21$26.90$25.0025.1%7.2%16.8%17.3%0.0%10.4%2.0%3.5M-105.8M-269.6K0.2398.38N/AN/A882072,70654,636
2014-03-24$26.75$25.0025.9%7.7%16.2%19.1%0.0%9.9%-0.4%2.5M-55.5M-271.4K0.1265.40N/AN/A4755651,22542,263
2014-03-25$26.57$25.0025.6%7.3%16.2%18.4%25.6%10.1%0.9%2.4M-51.3M-265.4K0.9977.46N/AN/A83182651,24142,263
2014-03-26$26.12$25.0031.5%7.4%17.4%30.8%0.0%7.5%-0.5%2.0M-41.5M-251.5K0.2659.65N/AN/A2,41063650,91042,786
2014-03-27$26.07$25.0031.7%7.5%17.2%31.2%0.0%7.0%0.4%2.1M-42.4M-269.2K0.2493.94N/AN/A791953,22843,337
2014-03-28$26.04$25.0032.3%7.8%15.3%32.5%0.0%9.5%-0.4%2.1M-43.4M-260.6K0.0083.50N/AN/A31053,24643,339
2014-03-31$26.30$25.0023.3%6.7%15.5%13.5%0.0%8.8%-0.6%2.4M-47.4M-254.4K1.9370.92N/AN/A5610853,24643,339