CWH Options History — February 2017

In February 2017, CWH traded between $31.31 and $35.35. ATM implied volatility averaged 75.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 43.6% (HV 20d: 31.6%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2017-02-13: Highest Volume — 112 contracts
2017-02-28: Largest IV spike — 117.5% change
2017-02-28: Highest IV Rank — 43.4%
2017-02-28: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.13	$31.31	$35.35	$31.86	$34.89
Max Pain	$23.16	$22.50	$35.00	$35.00	$22.50
ATM IV	75.2%	44.8%	97.4%	66.6%	97.4%
Expected Move	21.0%	12.8%	27.9%	19.1%	27.9%
HV 20d	31.6%	27.9%	34.3%	31.2%	34.3%
HV 60d	33.6%	31.7%	37.1%	37.1%	31.9%
IV Rank	32.7%	17.9%	43.4%	28.5%	43.4%
IV Percentile	82.9%	70.6%	88.9%	84.1%	88.9%
Term Structure	-26.5%	-79.0%	10.3%	-28.4%	-37.4%
VWIV	81.2%	43.4%	117.6%	64.4%	97.0%
Skew 25d	-1.0%	-51.3%	42.9%	23.6%	-9.9%
Skew 10d	13.7%	-27.6%	108.2%	22.1%	62.7%
Call IV 25d	61.4%	38.3%	95.1%	40.4%	67.5%
Put IV 25d	60.5%	35.4%	83.7%	64.0%	57.6%
Bid-Ask Spread %	133.88	118.75	155.88	130.74	126.36
Gamma HHI	0.52	0.37	0.85	0.37	0.61
Net GEX	3.9K	-837	10.0K	-837	6.6K
Net DEX	-216.0K	-366.1K	-93.1K	-110.6K	-351.0K
Net VEX	-897	-1.0K	-784	-836	-975
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.44	1.08	1.08	0.51
Total Volume	86.158	69	112	79	86
Total OI	229.316	209	287	209	223

Daily Data (19 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
2017-02-01	$31.86	$35.00	66.6%	19.1%	31.2%	28.5%	64.4%	23.6%	-28.4%	-837	-110.6K	-836	1.08	130.74	N/A	N/A	38	41	105	104
2017-02-02	$31.81	$22.50	70.1%	25.0%	28.8%	30.2%	80.8%	16.3%	-50.0%	404	-114.7K	-885	1.08	131.67	N/A	N/A	38	41	109	104
2017-02-03	$31.91	$22.50	64.3%	13.7%	28.3%	27.4%	53.3%	-6.3%	-3.2%	673	-106.9K	-853	1.08	134.30	N/A	N/A	38	41	109	104
2017-02-06	$31.75	$22.50	88.8%	25.3%	27.9%	39.2%	90.4%	1.6%	-79.0%	736	-93.1K	-807	0.89	146.11	N/A	N/A	46	41	109	104
2017-02-07	$31.31	$22.50	90.5%	15.3%	28.0%	40.0%	70.2%	-10.7%	-5.6%	796	-98.7K	-828	0.89	145.91	N/A	N/A	46	41	117	104
2017-02-08	$31.58	$22.50	92.7%	26.6%	28.2%	41.1%	91.3%	18.1%	-75.9%	1.2K	-109.5K	-823	0.70	140.81	N/A	N/A	46	32	117	104
2017-02-09	$32.98	$22.50	52.2%	15.0%	32.3%	21.5%	80.8%	33.5%	6.5%	1.3K	-153.6K	-802	0.70	140.09	N/A	N/A	46	32	117	104
2017-02-10	$33.01	$22.50	48.1%	13.8%	31.8%	19.5%	52.5%	8.1%	-2.5%	2.2K	-156.2K	-784	0.61	155.88	N/A	N/A	51	31	117	104
2017-02-13	$32.74	$22.50	91.2%	26.2%	30.3%	40.4%	85.2%	-27.3%	-25.9%	653	-162.9K	-829	0.44	152.42	N/A	N/A	78	34	129	104
2017-02-14	$33.05	$22.50	89.5%	25.7%	30.1%	39.6%	117.6%	-11.0%	-30.6%	2.5K	-219.3K	-962	0.68	134.07	N/A	N/A	50	34	159	104
2017-02-15	$34.36	$22.50	89.1%	25.6%	32.7%	39.4%	104.0%	-24.1%	-34.2%	8.1K	-285.1K	-902	0.49	122.07	N/A	N/A	69	34	161	104
2017-02-16	$33.68	$22.50	74.1%	21.2%	32.9%	32.1%	104.3%	-0.9%	-34.7%	5.5K	-294.6K	-1.0K	0.51	136.53	N/A	N/A	69	35	182	104
2017-02-17	$32.98	$22.50	66.3%	19.0%	33.9%	28.4%	86.3%	16.8%	-22.9%	6.3K	-300.1K	-975	0.51	135.85	N/A	N/A	69	35	182	105
2017-02-21	$33.74	$22.50	49.8%	14.3%	34.2%	20.4%	59.8%	9.7%	10.3%	9.7K	-286.4K	-956	0.68	121.32	N/A	N/A	41	28	158	54
2017-02-22	$34.10	$22.50	89.1%	25.6%	34.1%	39.4%	90.1%	42.9%	-38.9%	6.0K	-295.1K	-1.0K	0.67	127.44	N/A	N/A	42	28	159	54
2017-02-23	$33.75	$22.50	69.3%	19.9%	34.0%	29.8%	78.6%	-37.8%	-23.7%	6.7K	-282.5K	-1.0K	0.45	118.75	N/A	N/A	62	28	160	54
2017-02-24	$34.63	$22.50	95.2%	27.3%	33.4%	42.3%	92.9%	-51.3%	-35.3%	6.4K	-318.0K	-916	0.60	118.75	N/A	N/A	52	31	159	54
2017-02-27	$35.35	$22.50	44.8%	12.8%	34.0%	17.9%	43.4%	-9.7%	8.5%	10.0K	-366.1K	-839	0.60	124.71	N/A	N/A	52	31	159	57
2017-02-28	$34.89	$22.50	97.4%	27.9%	34.3%	43.4%	97.0%	-9.9%	-37.4%	6.6K	-351.0K	-975	0.51	126.36	N/A	N/A	57	29	166	57