CWH Options History — January 2017

In January 2017, CWH traded between $30.74 and $33.90. ATM implied volatility averaged 91.9%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 62.7% (HV 20d: 29.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2017-01-11: Highest Volume — 216 contracts
2017-01-09: Largest IV spike — 180.7% change
2017-01-09: Highest IV Rank — 79.7%
2017-01-27: Largest Expected Move — 34.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.99	$30.74	$33.90	$32.86	$31.32
Max Pain	$34.50	$30.00	$35.00	$30.00	$35.00
ATM IV	91.9%	35.2%	172.6%	49.1%	35.2%
Expected Move	23.3%	10.1%	34.8%	14.1%	10.1%
HV 20d	29.2%	24.1%	35.2%	33.0%	30.7%
HV 60d	45.8%	35.8%	52.8%	51.4%	37.4%
IV Rank	40.7%	13.3%	79.7%	20.0%	13.3%
IV Percentile	89.4%	68.7%	99.2%	78.6%	68.7%
Term Structure	-36.4%	-126.9%	45.1%	9.9%	-7.6%
VWIV	51.8%	26.0%	77.3%	43.9%	26.0%
Skew 25d	-5.8%	-91.8%	50.2%	1.1%	-64.4%
Skew 10d	-17.2%	-101.8%	60.1%	60.1%	-2.8%
Call IV 25d	85.7%	20.5%	179.4%	34.0%	100.4%
Put IV 25d	79.8%	34.2%	154.1%	35.2%	36.0%
Bid-Ask Spread %	139.27	122.24	151.61	135.21	138.32
Gamma HHI	0.55	0.30	0.91	0.65	0.52
Net GEX	4.0K	-3.6K	16.6K	2.0K	-3.6K
Net DEX	-152.7K	-316.1K	-83.4K	-159.8K	-88.7K
Net VEX	-764	-955	-638	-731	-809
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.22	1.46	0.55	1.27
Total Volume	131.7	58	216	102	84
Total OI	251.85	163	336	170	204

Daily Data (20 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
2017-01-03	$32.86	$30.00	49.1%	14.1%	33.0%	20.0%	43.9%	1.1%	9.9%	2.0K	-159.8K	-731	0.55	135.21	N/A	N/A	66	36	107	63
2017-01-04	$33.90	$30.00	60.1%	17.2%	33.6%	25.4%	36.4%	26.1%	8.2%	2.8K	-172.6K	-685	0.55	122.24	N/A	N/A	66	36	108	63
2017-01-05	$33.29	$35.00	53.5%	11.9%	35.0%	22.1%	40.7%	-3.5%	33.1%	16.6K	-259.0K	-891	0.22	126.22	N/A	N/A	161	36	228	63
2017-01-06	$32.82	$35.00	61.5%	12.4%	35.2%	26.0%	49.9%	27.7%	22.8%	13.5K	-265.7K	-920	0.22	128.75	N/A	N/A	161	35	228	63
2017-01-09	$32.39	$35.00	172.6%	19.4%	35.2%	79.7%	65.6%	37.1%	45.1%	7.1K	-316.1K	-955	0.28	127.79	N/A	N/A	161	45	228	63
2017-01-10	$32.24	$35.00	146.1%	19.8%	31.9%	66.9%	70.8%	50.2%	33.4%	13.3K	-215.8K	-868	0.29	132.87	N/A	N/A	161	46	228	76
2017-01-11	$32.13	$35.00	104.3%	29.9%	30.8%	46.7%	70.8%	-6.5%	-30.8%	12.4K	-212.9K	-916	0.34	141.85	N/A	N/A	161	55	228	77
2017-01-12	$31.70	$35.00	107.7%	30.9%	31.1%	48.4%	68.5%	-0.7%	-85.7%	11.9K	-204.7K	-910	0.34	144.92	N/A	N/A	161	55	236	98
2017-01-13	$30.88	$35.00	106.7%	30.6%	31.8%	47.9%	77.3%	11.0%	-64.3%	-1.9K	-91.1K	-724	0.38	149.50	N/A	N/A	155	59	236	98
2017-01-17	$31.29	$35.00	86.4%	24.8%	24.1%	38.0%	45.7%	41.1%	-64.9%	-962	-86.8K	-673	0.36	137.18	N/A	N/A	155	56	233	94
2017-01-18	$31.29	$35.00	43.0%	12.3%	24.1%	17.1%	37.7%	8.3%	-7.6%	-307	-93.7K	-650	1.46	144.38	N/A	N/A	39	57	235	94
2017-01-19	$30.74	$35.00	103.3%	29.6%	24.8%	46.2%	44.4%	-82.4%	-96.0%	-680	-90.5K	-682	1.22	142.69	N/A	N/A	37	45	239	95
2017-01-20	$31.17	$35.00	119.7%	34.3%	25.3%	54.1%	41.0%	-59.0%	-67.4%	1.4K	-101.9K	-711	0.64	151.61	N/A	N/A	70	45	239	97
2017-01-23	$31.78	$35.00	113.0%	32.4%	25.6%	50.9%	40.1%	-70.1%	-85.8%	1.0K	-115.5K	-661	0.81	145.42	N/A	N/A	32	26	89	74
2017-01-24	$31.60	$35.00	105.8%	30.3%	25.6%	47.4%	36.1%	-91.8%	-79.3%	1.6K	-116.0K	-696	0.81	145.05	N/A	N/A	32	26	89	74
2017-01-25	$31.20	$35.00	115.2%	33.0%	25.8%	52.0%	36.7%	35.3%	-126.9%	1.8K	-83.4K	-666	0.81	146.83	N/A	N/A	32	26	89	74
2017-01-26	$32.19	$35.00	68.3%	19.6%	27.0%	29.3%	57.4%	48.1%	-25.9%	280	-105.3K	-638	1.13	144.39	N/A	N/A	31	35	89	74
2017-01-27	$32.30	$35.00	121.6%	34.8%	26.6%	55.1%	77.3%	24.5%	-111.2%	173	-106.7K	-729	0.90	149.95	N/A	N/A	39	35	94	84
2017-01-30	$32.78	$35.00	65.0%	18.6%	26.4%	27.7%	68.8%	-48.9%	-26.6%	1.2K	-167.7K	-762	1.17	130.20	N/A	N/A	35	41	102	84
2017-01-31	$31.32	$35.00	35.2%	10.1%	30.7%	13.3%	26.0%	-64.4%	-7.6%	-3.6K	-88.7K	-809	1.27	138.32	N/A	N/A	37	47	104	100