CWH Options History — August 2017

In August 2017, CWH traded between $31.69 and $36.92. ATM implied volatility averaged 39.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.2% (HV 20d: 37.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.85.

Notable Days

  • 2017-08-11: Highest Volume — 650 contracts
  • 2017-08-11: Largest IV drop — 31.6% change
  • 2017-08-08: Highest IV Rank — 26.1%
  • 2017-08-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.52$31.69$36.92$32.20$36.75
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV39.6%26.7%61.6%57.4%31.3%
Expected Move10.6%7.7%16.5%16.5%9.0%
HV 20d37.4%25.0%40.0%37.5%38.7%
HV 60d36.6%34.7%38.8%35.7%35.7%
IV Rank15.4%9.2%26.1%24.0%11.4%
IV Percentile38.8%17.9%71.4%67.9%23.4%
Term Structure-0.2%-11.6%6.6%-11.1%5.1%
VWIV36.2%26.6%51.5%51.5%28.7%
Skew 25d6.9%-0.8%18.1%4.9%2.5%
Skew 10d16.6%-4.6%48.2%23.4%2.1%
Call IV 25d32.3%23.3%49.3%39.7%28.6%
Put IV 25d39.2%26.8%54.4%44.6%31.1%
Bid-Ask Spread %87.6665.5898.9594.8692.32
Gamma HHI0.710.430.940.500.71
Net GEX52.0K20.3K175.9K21.4K31.8K
Net DEX-1.6M-2.6M-800.4K-889.3K-1.7M
Net VEX-4.2K-5.2K-3.4K-4.9K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.363.961.462.38
Total Volume340.043220650251321
Total OI1,685.6961,4492,0061,5421,533

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$32.20$30.0057.4%16.5%37.5%24.0%51.5%4.9%-11.1%21.4K-889.3K-4.9K1.4694.86N/AN/A102149775767
2017-08-02$31.71$30.0053.9%15.5%37.4%22.4%50.8%5.1%-11.6%20.3K-800.4K-5.0K1.4595.59N/AN/A101146785764
2017-08-03$32.02$30.0055.9%12.7%34.7%23.3%42.9%8.3%-5.5%21.2K-850.4K-5.0K1.0187.67N/AN/A144146802768
2017-08-04$32.04$30.0057.2%13.0%34.7%24.0%41.4%10.3%-3.9%25.1K-937.6K-5.2K0.9988.27N/AN/A143142837768
2017-08-07$33.17$30.0059.5%12.9%36.2%25.1%42.7%-0.8%-6.4%32.1K-1.3M-4.3K0.3684.60N/AN/A379135839768
2017-08-08$32.87$30.0061.6%12.2%36.1%26.1%48.9%4.5%-3.7%53.0K-1.6M-5.1K0.8888.17N/AN/A1541351,060773
2017-08-09$32.26$30.0044.5%12.8%37.1%17.8%41.5%7.3%-2.7%45.1K-1.3M-5.1K1.2690.19N/AN/A1191501,053771
2017-08-10$31.69$30.0046.7%13.4%25.0%18.9%43.5%4.2%-6.1%43.8K-1.1M-5.0K0.4368.50N/AN/A4531951,096789
2017-08-11$34.65$30.0032.0%9.2%40.0%11.8%30.4%-0.4%5.9%93.7K-2.3M-4.0K0.5373.34N/AN/A4262241,088844
2017-08-14$35.18$30.0033.0%9.5%39.6%12.3%33.7%12.6%3.6%94.3K-2.3M-4.3K0.8065.58N/AN/A2972381,050884
2017-08-15$35.70$30.0032.7%9.4%39.5%12.1%30.7%2.1%3.5%114.1K-2.6M-4.0K2.2289.14N/AN/A1072381,033973
2017-08-16$35.31$30.0033.2%9.5%39.3%12.3%34.0%11.1%2.1%108.3K-2.3M-4.2K1.8888.61N/AN/A1212271,019970
2017-08-17$35.08$30.0032.0%9.2%39.1%11.8%32.1%15.8%3.8%175.9K-2.3M-4.2K1.5183.45N/AN/A1502271,033972
2017-08-18$35.15$30.0032.9%9.4%38.6%12.2%32.5%7.1%2.8%31.9K-2.5M-3.6K2.7590.20N/AN/A85234986999
2017-08-21$34.70$30.0032.3%9.2%38.1%11.9%32.4%10.2%3.9%35.3K-1.2M-3.6K1.9791.76N/AN/A74146640809
2017-08-22$35.01$30.0035.2%10.1%38.0%13.3%34.9%4.3%-0.9%34.5K-1.2M-3.6K2.6695.50N/AN/A68181643809
2017-08-23$35.71$30.0033.6%9.6%38.2%12.6%36.5%18.1%-3.0%33.5K-1.5M-4.1K3.7482.91N/AN/A54202661852
2017-08-24$36.36$30.0032.2%9.2%38.4%11.9%31.6%9.9%0.8%32.1K-1.6M-4.1K3.9683.44N/AN/A50198663853
2017-08-25$36.64$30.0026.7%7.7%38.4%9.2%26.6%3.3%5.6%34.6K-1.6M-3.9K2.5895.63N/AN/A81209657850
2017-08-28$36.19$30.0030.3%8.7%38.8%11.0%30.9%7.1%1.8%34.4K-1.5M-4.0K2.9696.86N/AN/A70207662856
2017-08-29$36.92$30.0028.7%8.2%39.1%10.2%28.0%3.0%5.5%51.6K-1.7M-3.4K2.5998.95N/AN/A80207657856
2017-08-30$36.57$30.0028.0%8.0%38.7%9.8%26.7%8.0%6.6%28.7K-1.6M-3.8K2.0990.63N/AN/A99207648856
2017-08-31$36.75$30.0031.3%9.0%38.7%11.4%28.7%2.5%5.1%31.8K-1.7M-3.5K2.3892.32N/AN/A95226677856