CWH Options History — May 2014

In May 2014, CWH traded between $25.09 and $26.36. ATM implied volatility averaged 25.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 12.1% (HV 20d: 13.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2014-05-22: Highest Volume — 14,116 contracts
  • 2014-05-23: Largest IV drop — 20.0% change
  • 2014-05-05: Highest IV Rank — 38.2%
  • 2014-05-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.62$25.09$26.36$25.62$26.31
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV25.3%16.7%35.0%27.5%16.7%
Expected Move7.1%6.8%7.4%7.2%6.8%
HV 20d13.2%11.7%15.8%12.9%15.7%
HV 60d14.6%13.8%15.6%15.6%14.6%
IV Rank17.8%0.0%38.2%22.4%0.0%
IV Percentile21.3%0.0%65.5%24.2%0.0%
Term Structure0.8%-5.5%9.3%-1.9%9.3%
VWIV25.9%22.7%27.9%22.7%25.3%
Skew 25d8.2%-0.4%24.7%20.7%9.7%
Skew 10d18.7%-2.7%51.8%48.7%23.4%
Call IV 25d20.9%13.3%25.2%23.4%13.3%
Put IV 25d29.1%22.5%48.7%44.1%23.0%
Bid-Ask Spread %52.3639.8097.5547.5447.16
Gamma HHI0.480.340.700.410.70
Net GEX949.3K-998.2K2.9M399.3K2.9M
Net DEX-10.5M-25.2M-1.7M-6.3M-25.2M
Net VEX-199.6K-233.4K-163.6K-233.4K-176.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.006.670.000.38
Total Volume875.952114,116109
Total OI67,532.95265,35369,87767,94965,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$25.62$22.5027.5%7.2%12.9%22.4%0.0%20.7%-1.9%399.3K-6.3M-233.4K0.0047.54N/AN/A10036,91831,031
2014-05-02$25.63$22.5031.0%7.4%12.6%29.8%0.0%24.2%-5.5%761.5K-6.2M-231.1K1.1046.50N/AN/A687536,91831,031
2014-05-05$25.41$22.5035.0%7.3%12.9%38.2%0.0%4.0%0.3%662.5K-6.3M-227.8K0.2397.55N/AN/A1854236,91931,081
2014-05-06$25.57$22.5034.1%7.1%12.9%36.3%0.0%6.2%0.8%782.7K-9.1M-226.9K0.4361.27N/AN/A512237,09231,091
2014-05-07$25.77$22.5028.3%7.3%12.8%24.2%22.7%6.9%-1.2%970.4K-12.8M-227.8K0.8453.10N/AN/A14011737,12931,103
2014-05-08$25.66$22.5025.9%7.4%12.4%19.1%0.0%-0.4%0.1%891.1K-12.0M-218.3K0.5859.32N/AN/A1,24472037,24931,138
2014-05-09$25.32$22.5027.2%7.1%13.0%21.8%0.0%6.1%-2.6%707.1K-8.1M-217.5K6.6758.42N/AN/A1510038,22031,574
2014-05-12$25.72$22.5027.8%7.2%11.8%22.9%0.0%2.3%-1.4%447.6K-9.3M-205.2K0.0047.82N/AN/A0138,22031,584
2014-05-13$25.47$22.5028.0%7.1%12.1%23.4%27.1%3.9%0.3%656.7K-10.0M-212.6K1.5245.37N/AN/A629438,22031,551
2014-05-14$25.47$22.5027.5%7.2%12.1%22.3%0.0%9.1%-1.3%-42.2K-5.5M-201.2K0.6739.80N/AN/A302038,24631,631
2014-05-15$25.30$22.5025.7%7.3%12.2%18.5%26.4%8.6%-1.0%-367.6K-2.4M-189.8K0.8646.62N/AN/A373238,13931,276
2014-05-16$25.16$22.5026.6%7.1%12.3%20.4%27.9%11.1%-2.1%-998.2K-3.4M-199.0K0.8642.99N/AN/A282438,16631,306
2014-05-19$25.09$22.5023.3%7.0%12.1%13.6%0.0%7.3%-0.9%503.7K-1.7M-172.6K0.2048.96N/AN/A1773637,82227,646
2014-05-20$25.14$22.5023.8%7.2%11.7%14.7%0.0%8.2%-1.2%784.5K-3.2M-163.6K1.5566.92N/AN/A111737,88127,679
2014-05-21$25.10$22.5021.8%6.9%11.7%10.4%26.2%24.7%0.5%778.4K-3.1M-168.3K0.5448.20N/AN/A814437,89227,696
2014-05-22$25.71$22.5023.7%7.0%14.4%14.3%0.0%5.1%-0.5%1.7M-13.4M-183.5K0.0058.33N/AN/A14,0793737,97327,740
2014-05-23$26.15$22.5018.9%7.0%15.4%4.3%0.0%1.3%7.8%1.8M-19.3M-181.5K0.0541.89N/AN/A5702937,60227,751
2014-05-27$26.08$22.5019.6%7.0%15.5%5.9%0.0%0.2%6.6%2.4M-21.5M-181.2K3.2143.66N/AN/A144538,12227,759
2014-05-28$25.99$22.5019.9%6.9%15.4%6.4%25.8%9.5%9.3%1.9M-17.4M-185.2K2.3643.34N/AN/A337838,12627,785
2014-05-29$26.36$22.5018.9%6.9%15.8%4.4%25.3%3.2%1.5%2.3M-24.7M-188.6K0.3854.82N/AN/A13538,12827,853
2014-05-30$26.31$22.5016.7%6.8%15.7%0.0%0.0%9.7%9.3%2.9M-25.2M-176.4K0.0047.16N/AN/A0938,04827,856