CWH Options History — September 2017

In September 2017, CWH traded between $37.05 and $40.75. ATM implied volatility averaged 30.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.7% (HV 20d: 29.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2017-09-08: Highest Volume — 850 contracts
  • 2017-09-11: Largest IV spike — 31.0% change
  • 2017-09-05: Highest IV Rank — 16.0%
  • 2017-09-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.58$37.05$40.75$37.71$40.75
Max Pain$35.00$30.00$40.00$30.00$40.00
ATM IV30.5%23.2%40.8%32.7%32.9%
Expected Move8.7%7.4%9.4%9.4%9.4%
HV 20d29.8%23.9%40.2%39.2%32.2%
HV 60d35.0%34.3%35.8%35.8%34.7%
IV Rank11.0%7.5%16.0%12.1%12.2%
IV Percentile20.7%9.9%43.7%26.2%26.2%
Term Structure3.4%-3.3%11.3%-3.3%5.1%
VWIV30.7%28.1%34.7%33.1%29.3%
Skew 25d5.4%1.1%14.8%2.9%13.6%
Skew 10d12.9%-4.2%40.2%15.3%22.7%
Call IV 25d28.6%24.9%34.0%29.7%26.1%
Put IV 25d34.0%30.1%39.9%32.7%39.7%
Bid-Ask Spread %92.2874.44101.6792.5093.67
Gamma HHI0.840.510.960.630.80
Net GEX109.5K26.2K197.5K26.2K141.9K
Net DEX-1.9M-3.2M-1.0M-1.8M-2.4M
Net VEX-5.3K-6.5K-3.4K-3.6K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.373.610.632.11
Total Volume387.3267850590308
Total OI1,848.451,5572,3381,5571,871

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$37.71$30.0032.7%9.4%39.2%12.1%33.1%2.9%-3.3%26.2K-1.8M-3.6K0.6392.50N/AN/A362228688869
2017-09-05$37.05$30.0040.8%9.2%38.9%16.0%34.7%1.1%6.1%49.5K-1.7M-3.9K1.3893.51N/AN/A162224850871
2017-09-06$38.54$30.0033.8%9.1%40.2%12.6%31.9%2.6%3.1%67.0K-2.1M-3.4K1.3374.44N/AN/A163216867857
2017-09-07$37.97$30.0023.6%9.1%39.9%7.7%31.6%1.6%3.2%54.3K-2.0M-3.5K1.4482.22N/AN/A162233894859
2017-09-08$38.62$30.0023.2%9.2%38.8%7.5%32.2%7.0%2.1%70.4K-2.1M-3.4K0.3785.96N/AN/A621229895859
2017-09-11$38.82$30.0030.4%8.8%25.0%11.0%30.3%8.9%4.3%160.2K-3.0M-5.9K3.1592.12N/AN/A862711,425860
2017-09-12$38.99$30.0038.0%8.7%24.8%14.7%29.9%7.1%4.2%180.4K-3.1M-5.9K3.6194.19N/AN/A752711,429905
2017-09-13$39.25$30.0030.9%8.8%24.5%11.2%30.6%8.9%2.7%191.9K-3.2M-6.0K3.4794.55N/AN/A903121,433905
2017-09-14$39.25$35.0030.1%8.6%23.9%10.9%29.9%6.5%3.7%197.5K-2.2M-6.1K2.5093.23N/AN/A1072671,193937
2017-09-15$38.50$35.0030.3%8.7%25.1%11.0%30.3%3.6%2.8%93.0K-1.9M-5.7K2.2589.68N/AN/A1172631,202945
2017-09-18$38.52$35.0031.5%9.0%25.2%11.6%30.8%4.4%1.5%95.5K-1.5M-5.7K3.5393.94N/AN/A59208881714
2017-09-19$38.40$35.0032.6%9.3%24.5%12.0%32.3%1.9%0.5%93.2K-1.4M-5.7K1.91100.08N/AN/A114218888714
2017-09-20$37.42$40.0028.0%8.0%26.8%9.9%29.1%1.7%11.3%87.6K-1.0M-5.6K2.76101.67N/AN/A84232940735
2017-09-21$37.80$40.0026.8%7.7%26.2%9.3%28.4%1.5%-1.7%91.1K-1.2M-5.7K2.6884.12N/AN/A84225977750
2017-09-22$38.47$40.0027.4%7.8%26.2%9.5%28.2%7.1%6.9%119.0K-1.4M-5.9K2.5789.17N/AN/A84216977752
2017-09-25$37.80$40.0026.0%7.4%27.1%8.9%28.1%3.7%7.0%105.0K-1.3M-5.5K3.2299.36N/AN/A67216977751
2017-09-26$38.22$40.0028.1%8.1%26.7%9.9%29.4%1.5%-1.3%102.6K-1.3M-5.3K3.1198.44N/AN/A72224967751
2017-09-27$40.03$40.0031.3%9.0%30.4%11.4%33.5%14.8%4.5%126.4K-2.1M-5.8K0.9791.24N/AN/A223216957761
2017-09-28$39.48$40.0030.9%8.9%30.7%11.3%31.2%8.1%6.1%138.0K-1.8M-6.4K0.89101.45N/AN/A2312061,089774
2017-09-29$40.75$40.0032.9%9.4%32.2%12.2%29.3%13.6%5.1%141.9K-2.4M-6.5K2.1193.67N/AN/A992091,096775