CWH Options History — July 2014

In July 2014, CWH traded between $25.91 and $27.23. ATM implied volatility averaged 22.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.5% (HV 20d: 16.1%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2014-07-09: Highest Volume — 52,869 contracts
  • 2014-07-07: Largest IV spike — 58.9% change
  • 2014-07-09: Highest IV Rank — 40.3%
  • 2014-07-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.72$25.91$27.23$26.48$26.86
Max Pain$25.80$25.00$27.50$25.00$27.50
ATM IV22.5%16.3%34.8%24.4%24.6%
Expected Move6.2%5.5%6.8%6.6%6.0%
HV 20d16.1%11.4%17.9%16.7%16.1%
HV 60d16.1%14.7%16.6%15.6%16.4%
IV Rank15.5%2.9%40.3%19.3%19.7%
IV Percentile22.6%0.4%73.4%28.2%35.3%
Term Structure-0.6%-5.2%7.2%-4.1%-5.2%
VWIV22.9%19.0%26.5%22.5%19.0%
Skew 25d15.5%-2.6%43.0%1.3%-2.6%
Skew 10d27.4%-4.4%60.5%40.5%-4.4%
Call IV 25d21.5%18.3%25.0%24.9%25.0%
Put IV 25d37.0%16.4%65.7%26.2%22.4%
Bid-Ask Spread %63.9148.3094.3263.1065.12
Gamma HHI0.940.650.980.950.95
Net GEX4.0M1.7M8.3M3.9M3.2M
Net DEX-32.0M-50.2M-8.0M-22.2M-33.5M
Net VEX-149.4K-201.9K-67.3K-92.3K-169.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.006.833.006.83
Total Volume3,211.5352,86910094
Total OI55,977.90933,16980,26465,21234,386

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$26.48$25.0024.4%6.6%16.7%19.3%0.0%1.3%-4.1%3.9M-22.2M-92.3K3.0063.10N/AN/A257537,57427,638
2014-07-02$26.35$25.0021.2%6.4%16.4%12.8%0.0%1.7%-2.7%4.0M-23.1M-94.5K1.6257.99N/AN/A132137,59927,713
2014-07-03$26.30$25.0016.3%6.3%13.3%2.9%0.0%-1.9%7.2%3.4M-18.5M-90.0K0.2194.32N/AN/A1262737,61227,734
2014-07-07$26.00$25.0025.9%6.8%12.5%22.3%22.5%2.1%-1.4%3.4M-15.6M-71.0K2.0948.30N/AN/A8918637,45527,761
2014-07-08$26.00$25.0029.1%6.7%12.6%28.8%0.0%1.5%-2.5%2.9M-13.1M-70.2K0.4071.21N/AN/A5237,52327,942
2014-07-09$25.91$25.0034.8%6.1%11.4%40.3%0.0%1.6%-2.8%1.7M-8.0M-67.3K0.0360.54N/AN/A51,5191,35037,50527,944
2014-07-10$26.84$25.0021.4%6.6%17.6%13.3%22.8%1.1%-0.3%5.9M-41.2M-180.4K0.0064.46N/AN/A4,506250,40327,598
2014-07-11$26.87$25.0021.6%6.3%17.4%13.6%22.0%4.4%0.4%6.4M-48.8M-201.9K0.0872.82N/AN/A72652,66427,600
2014-07-14$27.10$25.0022.8%6.4%17.4%16.0%0.0%3.8%-1.0%8.3M-50.2M-194.4K0.0051.54N/AN/A10,6354051,90227,575
2014-07-15$26.75$25.0022.1%6.3%17.9%14.7%0.0%4.1%0.6%4.8M-40.4M-180.0K0.3649.46N/AN/A1716146,60727,614
2014-07-16$26.57$25.0022.6%6.2%17.9%15.7%0.0%3.4%1.4%4.1M-38.9M-179.8K0.0051.37N/AN/A4046,73427,628
2014-07-17$26.57$25.0022.5%5.5%17.5%15.4%26.5%4.4%1.0%3.9M-35.9M-171.2K1.5058.87N/AN/A101546,55527,532
2014-07-18$26.58$25.0020.5%6.2%17.4%11.4%22.1%4.3%1.8%3.9M-37.6M-170.0K0.1653.80N/AN/A741246,54527,537
2014-07-21$26.81$25.0018.3%6.2%17.8%6.9%25.8%36.2%2.9%3.2M-29.3M-161.0K0.4070.32N/AN/A2128431,2771,892
2014-07-22$26.93$25.0019.2%6.3%17.8%8.8%22.2%36.5%1.0%3.1M-32.3M-166.4K0.3265.01N/AN/A2989631,3881,946
2014-07-23$27.03$27.5019.6%6.3%16.7%9.7%0.0%37.1%-0.6%3.3M-33.4M-170.6K0.6659.24N/AN/A875731,6372,032
2014-07-24$27.14$27.5020.6%6.0%16.2%11.5%0.0%37.8%-0.5%3.5M-35.1M-171.2K0.0184.87N/AN/A361531,7232,011
2014-07-25$27.23$27.5021.4%6.3%16.1%13.3%0.0%38.6%-0.7%3.6M-36.5M-173.6K4.0058.15N/AN/A52032,0682,012
2014-07-28$27.20$27.5022.8%5.6%15.8%16.0%0.0%40.6%-3.3%3.5M-36.6M-172.0K0.0462.67N/AN/A56232,0732,032
2014-07-29$27.22$27.5020.9%5.9%15.5%12.1%0.0%43.0%-0.8%3.5M-37.0M-171.8K0.4165.58N/AN/A1616632,1252,033
2014-07-30$27.19$27.5023.3%5.5%15.5%17.0%19.0%41.9%-2.8%3.7M-35.8M-169.0K0.0077.32N/AN/A3032,2862,099
2014-07-31$26.86$27.5024.6%6.0%16.1%19.7%0.0%-2.6%-5.2%3.2M-33.5M-169.3K6.8365.12N/AN/A128232,2872,099