CWH Options History — June 2014

In June 2014, CWH traded between $26.32 and $28.06. ATM implied volatility averaged 20.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.4% (HV 20d: 17.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-06-06: Highest Volume — 1,425 contracts
  • 2014-06-05: Largest IV spike — 42.0% change
  • 2014-06-06: Highest IV Rank — 15.4%
  • 2014-06-03: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.35$26.32$28.06$26.87$26.32
Max Pain$23.57$22.50$25.00$22.50$25.00
ATM IV20.1%14.9%22.5%16.7%18.6%
Expected Move6.6%6.4%6.9%6.7%6.8%
HV 20d17.7%16.3%18.8%17.2%16.5%
HV 60d15.5%14.8%16.1%15.2%15.5%
IV Rank10.2%0.0%15.4%0.0%7.5%
IV Percentile9.1%0.0%19.0%0.4%3.2%
Term Structure1.2%-1.8%4.6%4.6%-1.8%
VWIV21.7%13.5%26.0%20.5%23.2%
Skew 25d12.2%-3.8%48.0%42.4%4.1%
Skew 10d17.6%-5.6%63.7%57.9%4.0%
Call IV 25d19.5%16.4%23.9%20.7%21.7%
Put IV 25d31.7%18.6%65.2%63.1%25.7%
Bid-Ask Spread %52.5937.7866.8339.0957.03
Gamma HHI0.880.750.940.750.85
Net GEX4.7M3.4M5.8M3.4M3.6M
Net DEX-44.6M-59.3M-23.1M-34.7M-23.1M
Net VEX-145.4K-181.7K-104.5K-181.7K-104.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.008.360.060.46
Total Volume264101,425190969
Total OI66,020.1965,28066,57265,89965,565

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$26.87$22.5016.7%6.7%17.2%0.0%0.0%42.4%4.6%3.4M-34.7M-181.7K0.0639.09N/AN/A1791138,04827,851
2014-06-03$26.85$22.5016.7%6.9%16.7%0.0%0.0%44.9%2.6%3.5M-36.0M-174.5K0.0345.16N/AN/A30138,11027,860
2014-06-04$27.07$22.5014.9%6.5%16.8%0.0%0.0%48.0%3.6%4.4M-37.6M-157.9K0.0162.82N/AN/A119138,10827,861
2014-06-05$27.74$22.5021.1%6.7%18.4%12.6%20.5%36.7%-0.6%4.7M-51.6M-165.6K0.2753.46N/AN/A3349038,01227,862
2014-06-06$28.06$22.5022.5%6.4%18.3%15.4%26.0%2.5%2.7%4.5M-58.0M-167.4K0.0444.80N/AN/A1,3745138,13527,931
2014-06-09$27.93$22.5020.8%6.4%17.5%12.0%0.0%-3.8%2.1%5.0M-58.5M-158.8K0.0049.81N/AN/A73038,60327,936
2014-06-10$27.43$22.5022.3%6.8%18.8%14.9%0.0%5.1%0.6%4.9M-48.3M-159.4K0.1766.83N/AN/A30538,63627,936
2014-06-11$27.56$22.5020.3%6.5%18.1%11.0%0.0%5.7%1.2%5.0M-46.7M-153.9K0.3047.15N/AN/A1133438,62627,941
2014-06-12$27.34$22.5022.5%6.6%18.6%15.4%0.0%7.6%-0.6%4.5M-44.6M-155.8K0.5042.05N/AN/A201038,51627,952
2014-06-13$27.57$22.5020.9%6.7%18.2%12.1%0.0%7.3%1.6%4.9M-48.5M-155.3K8.3647.19N/AN/A3630138,52327,962
2014-06-16$27.56$22.5021.4%6.6%18.0%13.2%0.0%7.9%0.8%5.2M-47.7M-147.2K0.0041.88N/AN/A60038,54227,992
2014-06-17$27.70$22.5021.7%6.5%17.7%13.9%13.5%1.4%0.3%5.1M-52.3M-146.7K1.2137.78N/AN/A141738,56227,992
2014-06-18$27.90$25.0020.7%6.4%17.7%11.8%22.4%8.3%1.7%5.6M-56.5M-142.3K0.0661.20N/AN/A68438,51128,009
2014-06-19$27.99$25.0020.7%6.5%17.6%11.8%0.0%7.5%0.5%5.4M-59.3M-139.2K0.1357.24N/AN/A2162838,22227,890
2014-06-20$27.77$25.0020.8%6.5%16.7%11.9%0.0%7.9%1.3%5.7M-54.0M-137.7K0.0059.45N/AN/A11038,22227,918
2014-06-23$27.62$25.0020.7%6.8%16.3%11.8%24.9%7.5%2.5%5.8M-50.8M-131.9K0.1160.72N/AN/A871037,75027,530
2014-06-24$27.12$25.0020.7%6.5%17.8%11.9%0.0%5.1%0.9%5.3M-39.1M-124.5K0.1060.95N/AN/A1551637,75027,540
2014-06-25$26.79$25.0018.3%6.7%18.4%7.0%0.0%1.0%0.1%4.8M-34.1M-119.3K0.0046.05N/AN/A01037,81727,556
2014-06-26$26.69$25.0022.3%6.6%17.9%15.0%0.0%4.4%-0.2%4.1M-28.8M-115.8K0.5960.66N/AN/A1166837,71627,566
2014-06-27$26.48$25.0016.9%6.8%18.1%4.1%0.0%5.1%0.9%3.8M-26.7M-114.7K0.3563.17N/AN/A65323037,75627,609
2014-06-30$26.32$25.0018.6%6.8%16.5%7.5%23.2%4.1%-1.8%3.6M-23.1M-104.5K0.4657.03N/AN/A66330637,75627,809