CWH Options History — December 2016 In December 2016, CWH traded between $27.16 and $33.17. ATM implied volatility averaged 89.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 52.4% (HV 20d: 37.5%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2016-12-15 : Highest Volume — 267 contracts2016-12-09 : Largest IV spike — 629.2% change2016-12-09 : Highest IV Rank — 92.6%2016-12-14 : Largest Expected Move — 31.7%Monthly Statistics Metric Avg Min Max Open Close Price $30.62 $27.16 $33.17 $27.68 $32.59 Max Pain $25.24 $22.50 $30.00 $22.50 $30.00 ATM IV 89.8% 26.5% 199.3% 103.8% 40.0% Expected Move 22.9% 10.4% 31.7% 29.8% 11.5% HV 20d 37.5% 32.8% 44.2% 43.9% 34.4% HV 60d 50.4% 48.4% 51.5% 48.4% 51.5% IV Rank 39.7% 9.1% 92.6% 46.5% 15.6% IV Percentile 86.7% 34.5% 99.6% 98.0% 72.2% Term Structure -8.5% -95.0% 76.3% -95.0% 24.0% VWIV 78.7% 30.9% 128.8% 102.2% 30.9% Skew 25d 44.9% -11.7% 114.1% 32.6% 8.9% Skew 10d 48.7% 8.1% 116.5% 15.1% 8.9% Call IV 25d 48.8% 21.4% 88.4% 55.7% 21.4% Put IV 25d 93.7% 30.2% 150.1% 88.2% 30.2% Bid-Ask Spread % 138.43 118.03 161.01 145.70 139.23 Gamma HHI 0.61 0.37 0.96 0.44 0.76 Net GEX -392 -32.3K 4.8K 3.5K 2.7K Net DEX -227.7K -400.4K -112.1K -294.3K -152.7K Net VEX -467 -750 -261 -446 -741 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.33 1.19 0.61 0.48 Total Volume 143.095 57 267 122 111 Total OI 176.381 87 269 213 170
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-12-01 $27.68 $22.50 103.8% 29.8% 43.9% 46.5% 102.2% 32.6% -95.0% 3.5K -294.3K -446 0.61 145.70 N/A N/A 76 46 153 60 2016-12-02 $27.18 $22.50 90.0% 25.8% 44.2% 39.8% 128.8% 28.9% 5.0% 4.5K -298.5K -416 0.62 161.01 N/A N/A 76 47 153 60 2016-12-05 $27.16 $22.50 121.6% 17.1% 44.0% 55.1% 82.2% 45.0% -5.4% 2.8K -187.6K -336 0.62 141.31 N/A N/A 76 47 109 61 2016-12-06 $27.17 $22.50 127.5% 19.1% 41.6% 57.9% 90.3% 44.8% 3.6% 2.8K -185.0K -348 0.68 133.40 N/A N/A 76 52 109 61 2016-12-07 $28.00 $25.00 26.5% 10.4% 41.4% 9.1% 92.8% 55.5% 76.3% 2.4K -217.1K -315 0.69 137.47 N/A N/A 75 52 109 66 2016-12-08 $28.76 $25.00 27.3% 21.3% 41.0% 9.5% 100.2% 18.3% -2.3% 2.4K -262.8K -261 0.51 129.98 N/A N/A 101 52 111 66 2016-12-09 $30.13 $25.00 199.3% 20.6% 42.6% 92.6% 85.3% 42.4% -6.6% 3.5K -272.9K -439 0.40 118.03 N/A N/A 131 52 136 66 2016-12-12 $30.92 $25.00 145.4% 20.9% 32.8% 66.6% 87.1% 44.9% -12.4% 997 -380.9K -313 0.82 126.88 N/A N/A 132 108 142 66 2016-12-13 $30.66 $25.00 48.5% 31.1% 33.4% 19.8% 91.2% 50.8% -56.0% -17.1K -342.4K -375 0.79 134.81 N/A N/A 137 108 143 107 2016-12-14 $30.08 $25.00 110.4% 31.7% 33.4% 49.7% 79.2% 18.2% -30.9% -32.3K -292.1K -415 0.80 140.37 N/A N/A 146 117 148 107 2016-12-15 $31.90 $25.00 101.6% 29.1% 36.4% 45.4% 81.9% 79.6% -11.6% -4.2K -359.3K -476 0.78 141.93 N/A N/A 150 117 152 117 2016-12-16 $31.83 $25.00 100.0% 28.7% 36.7% 44.6% 102.8% 35.1% -3.3% 955 -400.4K -494 1.18 141.86 N/A N/A 99 117 151 117 2016-12-19 $31.77 $25.00 102.5% 29.4% 37.0% 45.8% 64.7% 76.1% -27.1% 1.5K -118.8K -403 1.03 143.60 N/A N/A 30 31 59 32 2016-12-20 $31.96 $25.00 62.1% 17.8% 36.7% 26.3% 92.5% 70.8% 12.9% 1.2K -116.9K -447 1.19 144.81 N/A N/A 26 31 59 32 2016-12-21 $32.50 $25.00 102.7% 29.4% 35.9% 45.9% 107.2% 103.1% -7.6% 972 -112.1K -427 1.19 144.91 N/A N/A 26 31 55 32 2016-12-22 $32.31 $25.00 105.7% 30.3% 34.5% 47.4% 41.3% 114.1% -15.2% 1.4K -112.3K -408 0.33 133.45 N/A N/A 70 23 55 32 2016-12-23 $32.40 $25.00 56.5% 16.2% 34.0% 23.6% 44.3% 33.7% -6.6% 3.8K -182.0K -632 0.33 143.63 N/A N/A 72 24 101 34 2016-12-27 $33.17 $25.00 81.0% 23.2% 34.1% 35.4% 46.3% 42.6% 4.4% 4.8K -190.4K -643 0.64 131.55 N/A N/A 72 46 104 35 2016-12-28 $32.71 $30.00 90.0% 25.8% 33.9% 39.8% 60.8% 8.6% -9.8% 2.7K -156.2K -728 0.48 129.43 N/A N/A 75 36 107 57 2016-12-29 $32.16 $30.00 44.3% 12.7% 35.1% 17.7% 40.9% -11.7% -16.1% 2.7K -147.1K -750 0.48 143.65 N/A N/A 75 36 107 63 2016-12-30 $32.59 $30.00 40.0% 11.5% 34.4% 15.6% 30.9% 8.9% 24.0% 2.7K -152.7K -741 0.48 139.23 N/A N/A 75 36 107 63
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