CWH Options History — May 2017

In May 2017, CWH traded between $26.57 and $31.98. ATM implied volatility averaged 36.5%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.2% (HV 20d: 31.4%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-05-30: Highest Volume — 635 contracts
  • 2017-05-26: Largest IV spike — 29.5% change
  • 2017-05-02: Highest IV Rank — 19.3%
  • 2017-05-02: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.48$26.57$31.98$31.67$27.01
Max Pain$25.11$22.50$35.00$30.00$30.00
ATM IV36.5%29.6%47.5%37.5%37.1%
Expected Move10.5%8.5%13.6%10.8%10.6%
HV 20d31.4%24.5%40.0%40.0%32.8%
HV 60d41.1%40.3%41.6%41.2%40.3%
IV Rank14.0%10.6%19.3%14.4%14.2%
IV Percentile48.1%35.3%61.9%52.0%48.8%
Term Structure2.4%-5.3%13.2%10.0%6.1%
VWIV36.4%28.0%47.4%34.5%39.9%
Skew 25d6.3%-0.7%16.9%10.9%16.9%
Skew 10d10.7%-4.7%46.3%46.3%33.2%
Call IV 25d32.8%24.9%45.8%40.4%24.9%
Put IV 25d39.2%31.8%51.3%51.3%41.8%
Bid-Ask Spread %90.2853.32106.32106.3282.58
Gamma HHI0.480.180.710.430.71
Net GEX9.1K-23.3K18.1K17.6K-23.3K
Net DEX-385.7K-821.0K268.8K-821.0K-36.8K
Net VEX-2.0K-2.9K-1.7K-2.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.212.110.351.88
Total Volume352.045185635185556
Total OI769.6825951,1726931,172

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$31.67$30.0037.5%10.8%40.0%14.4%34.5%10.9%10.0%17.6K-821.0K-2.3K0.35106.32N/AN/A13748494199
2017-05-02$31.33$30.0047.5%13.6%32.2%19.3%47.4%3.8%-5.3%16.1K-772.5K-2.3K0.35105.09N/AN/A13748490198
2017-05-03$31.16$30.0038.2%11.0%26.0%14.8%33.0%8.4%7.9%15.4K-729.7K-2.2K0.2190.90N/AN/A23448480198
2017-05-04$31.04$22.5047.4%12.7%24.5%19.2%43.5%-0.7%-5.1%15.4K-627.5K-2.1K0.2853.32N/AN/A20759464198
2017-05-05$31.98$22.5033.6%9.8%25.9%12.5%32.7%2.7%3.7%15.7K-754.3K-2.0K0.2675.76N/AN/A22357467213
2017-05-08$31.66$22.5039.2%10.9%26.5%15.3%35.3%6.0%-1.7%16.4K-778.1K-1.9K0.3091.08N/AN/A20962483216
2017-05-09$30.62$22.5032.7%10.5%29.8%12.1%37.3%2.8%0.1%14.2K-621.3K-1.9K0.3392.47N/AN/A21169490220
2017-05-10$30.29$22.5035.3%10.1%30.2%13.4%35.0%7.5%1.9%14.3K-500.1K-1.9K0.3099.08N/AN/A27282490222
2017-05-11$29.49$22.5036.1%10.3%31.9%13.7%35.8%2.0%3.4%15.3K-413.2K-2.0K0.34101.52N/AN/A27392530245
2017-05-12$29.06$22.5034.4%9.9%31.5%12.9%35.1%8.3%4.8%12.8K-349.2K-1.9K0.37101.79N/AN/A273101529246
2017-05-15$30.16$22.5035.5%10.2%34.0%13.5%31.7%3.5%2.2%17.1K-480.2K-2.0K0.5299.20N/AN/A206107529256
2017-05-16$30.17$22.5035.7%10.2%31.3%13.5%33.6%7.7%0.9%18.1K-486.1K-2.0K0.5097.33N/AN/A216107535265
2017-05-17$29.19$22.5038.6%11.1%32.7%15.0%39.4%11.3%-1.4%13.9K-320.7K-1.9K0.5096.86N/AN/A215107537265
2017-05-18$29.33$22.5035.8%10.3%32.2%13.6%37.1%13.3%0.9%17.2K-330.4K-1.9K0.4895.55N/AN/A224107551265
2017-05-19$29.28$22.5035.0%10.0%31.6%13.2%35.3%2.0%1.6%6.2K-212.9K-1.8K0.5397.39N/AN/A218116545265
2017-05-22$28.98$22.5033.6%9.6%30.7%12.6%34.0%2.0%-0.3%4.6K-259.8K-1.7K0.72101.48N/AN/A149107379216
2017-05-23$27.67$25.0029.6%8.5%33.5%10.6%30.6%9.9%0.7%1.8K-154.3K-1.7K0.6975.46N/AN/A190131390239
2017-05-24$27.82$25.0031.1%8.9%33.2%11.4%37.7%4.1%-1.7%-45-100.6K-1.8K1.0573.80N/AN/A185194402270
2017-05-25$27.26$35.0032.8%9.4%33.4%12.2%28.0%3.7%13.2%-721268.8K-2.0K1.58104.21N/AN/A203320437459
2017-05-26$26.57$30.0042.5%12.2%33.4%16.8%43.2%1.8%-1.8%94087.6K-2.2K1.9086.48N/AN/A210400492417
2017-05-30$26.93$25.0034.7%10.0%32.6%13.1%40.1%11.5%12.6%-8.0K-93.8K-2.6K2.1158.53N/AN/A204431508467
2017-05-31$27.01$30.0037.1%10.6%32.8%14.2%39.9%16.9%6.1%-23.3K-36.8K-2.9K1.8882.58N/AN/A193363522650