CWH Options History — April 2014

In April 2014, CWH traded between $25.33 and $26.61. ATM implied volatility averaged 27.8%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 13.5% (HV 20d: 14.4%). 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 7 of 21 days. Put/call ratio averaged 10.27.

Notable Days

  • 2014-04-11: Highest Volume — 55,154 contracts
  • 2014-04-02: Largest IV spike — 39.4% change
  • 2014-04-11: Highest IV Rank — 37.0%
  • 2014-04-14: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.93$25.33$26.61$26.35$25.41
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.8%18.6%34.4%21.2%29.1%
Expected Move7.3%6.4%7.8%7.1%7.3%
HV 20d14.4%12.4%16.3%15.1%12.5%
HV 60d17.5%15.7%18.3%18.2%15.7%
IV Rank23.1%3.7%37.0%9.0%25.8%
IV Percentile26.7%1.6%54.4%5.6%25.8%
Term Structure-1.4%-6.5%4.5%0.4%-1.4%
VWIV35.6%23.0%45.1%23.0%26.7%
Skew 25d11.2%0.2%27.0%5.6%27.0%
Skew 10d20.6%0.7%48.3%37.6%48.2%
Call IV 25d24.5%19.3%31.1%25.5%24.8%
Put IV 25d35.7%27.0%51.8%31.1%51.8%
Bid-Ask Spread %85.3550.47115.7572.9761.13
Gamma HHI0.500.400.650.610.42
Net GEX1.4M413.3K3.2M2.3M547.5K
Net DEX-29.2M-52.4M-806.6K-47.2M-5.4M
Net VEX-247.6K-288.2K-222.3K-243.1K-240.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.270.00104.0865.170.41
Total Volume3,179.6673055,1544,16986
Total OI88,860.76266,120111,15796,71267,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$26.35$25.0021.2%7.1%15.1%9.0%0.0%5.6%0.4%2.3M-47.2M-243.1K65.1772.97N/AN/A634,10653,27643,436
2014-04-02$26.25$25.0029.5%7.1%15.0%26.6%0.0%3.2%1.9%2.2M-44.1M-248.1K104.0879.25N/AN/A242,49853,21444,890
2014-04-03$26.42$25.0018.6%6.6%15.3%3.7%0.0%9.8%4.5%2.3M-47.1M-248.7K0.0087.14N/AN/A83053,21845,847
2014-04-04$26.43$25.0020.2%7.7%15.3%7.0%0.0%9.8%2.2%2.5M-47.5M-247.1K0.0095.37N/AN/A30053,28445,847
2014-04-07$26.18$25.0025.2%7.7%15.2%17.5%0.0%8.0%-3.7%2.2M-43.6M-237.5K0.00115.75N/AN/A45053,30345,847
2014-04-08$26.41$25.0022.1%6.9%15.6%11.1%0.0%8.0%0.7%2.2M-44.5M-226.0K0.1793.49N/AN/A1682853,34345,847
2014-04-09$26.60$25.0020.9%7.3%15.9%8.5%0.0%7.6%1.6%2.8M-49.3M-227.3K0.00115.54N/AN/A101053,35045,850
2014-04-10$26.61$25.0026.1%7.1%15.5%19.5%0.0%10.7%0.1%3.2M-52.4M-230.0K1.0290.13N/AN/A979953,37245,850
2014-04-11$25.97$25.0034.4%7.3%16.3%37.0%0.0%2.2%-4.7%1.7M-36.7M-222.3K0.1585.04N/AN/A47,8007,35453,36745,839
2014-04-14$25.82$25.0033.5%7.8%16.3%35.0%0.0%0.2%-6.5%1.1M-40.6M-288.2K2.81112.57N/AN/A6819158,38252,698
2014-04-15$25.73$25.0032.8%7.0%15.7%33.5%0.0%7.3%-2.9%475.8K-33.4M-276.5K0.2676.45N/AN/A1784758,39652,761
2014-04-16$25.81$25.0031.6%7.3%13.6%31.0%0.0%4.7%-2.3%624.2K-36.8M-274.1K2.2394.11N/AN/A10323057,69551,907
2014-04-17$25.78$25.0030.7%7.3%13.2%29.2%0.0%14.5%-1.2%637.0K-36.7M-268.7K0.6981.64N/AN/A1198257,74451,978
2014-04-21$25.60$25.0032.0%7.3%13.3%31.8%0.0%5.5%-2.7%815.8K-9.7M-261.7K0.1382.45N/AN/A2563436,28329,837
2014-04-22$25.34$25.0031.5%6.4%13.5%30.7%23.0%11.3%-4.2%413.3K-806.6K-242.9K0.7279.26N/AN/A18213136,46429,847
2014-04-23$25.33$25.0030.2%7.8%13.4%28.1%44.2%6.0%-2.0%440.2K-3.7M-246.4K3.7967.02N/AN/A23388436,60629,960
2014-04-24$25.50$25.0027.7%7.4%12.6%22.7%45.1%23.0%-1.1%493.8K-5.2M-243.7K5.8971.73N/AN/A3621236,79329,823
2014-04-25$25.65$25.0027.1%7.6%12.9%21.6%0.0%21.7%-1.6%435.5K-8.3M-240.2K12.2873.21N/AN/A4049136,82030,035
2014-04-28$25.72$25.0029.9%7.2%12.9%27.4%39.2%24.7%-3.3%848.4K-11.3M-240.5K14.3150.47N/AN/A3651536,83630,517
2014-04-29$25.58$25.0029.8%7.6%12.4%27.3%0.0%23.4%-2.5%809.5K-9.3M-246.0K1.62107.58N/AN/A477636,86930,950
2014-04-30$25.41$25.0029.1%7.3%12.5%25.8%26.7%27.0%-1.4%547.5K-5.4M-240.6K0.4161.13N/AN/A612536,88031,015