CWH Options History — June 2017

In June 2017, CWH traded between $27.17 and $31.23. ATM implied volatility averaged 34.2%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 1.8% (HV 20d: 36.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-06-01: Highest Volume — 641 contracts
  • 2017-06-07: Largest IV spike — 38.8% change
  • 2017-06-07: Highest IV Rank — 20.0%
  • 2017-06-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.32$27.17$31.23$27.17$30.98
Max Pain$26.36$25.00$30.00$30.00$30.00
ATM IV34.2%28.1%49.1%38.5%28.1%
Expected Move9.5%8.0%11.1%11.1%8.1%
HV 20d36.0%32.1%39.1%33.2%36.0%
HV 60d37.0%32.5%40.2%40.2%32.5%
IV Rank12.8%9.9%20.0%14.9%9.9%
IV Percentile40.6%27.8%63.5%50.0%27.8%
Term Structure4.1%-9.7%12.7%2.5%12.7%
VWIV33.5%27.3%41.8%41.8%27.3%
Skew 25d12.8%0.4%29.7%16.8%29.7%
Skew 10d23.9%2.3%71.2%14.5%71.2%
Call IV 25d28.4%22.9%33.9%24.2%26.2%
Put IV 25d41.2%30.5%55.8%41.0%55.8%
Bid-Ask Spread %94.6579.69107.5682.98107.56
Gamma HHI0.640.320.910.670.91
Net GEX29.6K-20.1K96.9K-20.1K96.9K
Net DEX-678.5K-1.6M-27.2K-27.2K-1.4M
Net VEX-4.1K-5.8K-2.6K-2.9K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.302.252.251.90
Total Volume387.727247641641307
Total OI1,310.4099911,5381,1901,538

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$27.17$30.0038.5%11.1%33.2%14.9%41.8%16.8%2.5%-20.1K-27.2K-2.9K2.2582.98N/AN/A197444515675
2017-06-02$27.33$30.0036.3%10.4%33.5%13.8%30.8%11.9%-9.7%-17.5K-93.0K-2.8K1.4987.32N/AN/A213318523679
2017-06-05$27.85$25.0033.8%9.8%32.1%12.6%34.6%1.3%2.3%-7.2K-211.8K-2.6K0.7989.79N/AN/A217172545673
2017-06-06$29.15$25.0035.4%10.2%37.1%13.4%37.8%13.9%1.7%-603-423.8K-2.9K0.6879.69N/AN/A314213563678
2017-06-07$28.36$25.0049.1%9.9%36.5%20.0%36.9%6.7%3.5%-7.9K-206.4K-3.0K0.7592.03N/AN/A284213551690
2017-06-08$28.03$25.0037.6%9.6%36.5%14.5%35.7%1.9%1.9%-4.6K-169.2K-2.9K0.8496.34N/AN/A241202558690
2017-06-09$29.27$25.0040.8%10.0%39.1%16.1%35.4%11.4%0.6%2.9K-481.3K-3.1K0.9990.21N/AN/A218216596692
2017-06-12$28.91$25.0039.5%10.1%39.0%15.4%35.5%8.5%1.7%7.4K-424.6K-3.3K1.2291.93N/AN/A169206654683
2017-06-13$29.73$25.0029.7%9.8%37.9%10.7%34.5%13.8%4.3%7.8K-559.8K-3.6K1.1094.18N/AN/A155171689720
2017-06-14$29.51$25.0033.7%9.7%38.0%12.6%33.7%1.8%2.9%8.7K-366.2K-3.7K0.5984.62N/AN/A275163618726
2017-06-15$29.02$25.0033.8%9.7%36.6%12.7%34.2%10.6%3.0%22.3K-417.5K-4.1K0.6790.62N/AN/A275183755723
2017-06-16$28.50$25.0033.1%9.5%37.1%12.3%33.4%4.4%3.4%24.0K-237.9K-3.9K0.7397.39N/AN/A275201755710
2017-06-19$28.80$25.0034.2%9.8%37.3%12.9%34.6%8.6%2.9%24.6K-455.5K-4.0K0.4096.98N/AN/A23494595396
2017-06-20$28.85$25.0032.3%9.3%37.2%11.9%32.3%0.4%6.6%27.0K-465.1K-4.0K0.3099.61N/AN/A31394611396
2017-06-21$30.00$25.0035.0%10.0%35.4%13.2%34.8%6.6%1.3%55.9K-1.1M-4.9K0.8299.22N/AN/A165136839396
2017-06-22$29.98$25.0032.6%9.3%35.5%12.1%35.6%19.0%3.9%64.3K-1.1M-5.6K0.8589.77N/AN/A136116901443
2017-06-23$30.11$25.0031.2%8.9%34.3%11.4%31.2%26.7%5.1%68.7K-1.1M-5.5K0.9397.85N/AN/A136127906448
2017-06-26$30.98$25.0029.7%8.5%33.3%10.6%30.1%25.2%11.4%78.6K-1.4M-5.3K1.08102.25N/AN/A119128906460
2017-06-27$30.40$30.0028.1%8.0%34.5%9.9%28.7%9.7%7.3%74.1K-1.3M-5.4K0.92104.23N/AN/A144132911477
2017-06-28$31.23$30.0030.2%8.7%35.3%10.9%28.5%27.0%12.6%69.3K-1.6M-5.8K0.94100.36N/AN/A141132975498
2017-06-29$30.80$30.0028.7%8.2%36.0%10.2%29.9%25.0%8.9%75.8K-1.5M-5.7K1.35107.46N/AN/A145196974498
2017-06-30$30.98$30.0028.1%8.1%36.0%9.9%27.3%29.7%12.7%96.9K-1.4M-5.7K1.90107.56N/AN/A106201969569