CWH Options History — October 2017

In October 2017, CWH traded between $39.56 and $44.40. ATM implied volatility averaged 40.4%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.9% (HV 20d: 33.6%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.20.

Notable Days

  • 2017-10-24: Highest Volume — 872 contracts
  • 2017-10-25: Largest IV spike — 48.2% change
  • 2017-10-25: Highest IV Rank — 27.5%
  • 2017-10-25: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.74$39.56$44.40$40.04$42.13
Max Pain$38.64$35.00$45.00$40.00$40.00
ATM IV40.4%27.3%64.6%31.3%45.6%
Expected Move12.0%7.8%18.5%9.0%13.1%
HV 20d33.6%29.3%41.8%32.2%41.8%
HV 60d33.7%31.3%37.2%35.0%37.0%
IV Rank15.1%9.5%27.5%11.4%12.6%
IV Percentile40.0%10.3%73.4%20.2%51.2%
Term Structure-5.0%-39.0%11.9%7.2%-8.2%
VWIV39.9%27.6%47.3%32.5%44.8%
Skew 25d2.9%-6.9%12.8%12.1%-0.9%
Skew 10d8.7%-14.8%20.9%20.1%6.6%
Call IV 25d40.7%28.2%49.6%29.2%49.5%
Put IV 25d43.6%29.6%54.9%41.3%48.6%
Bid-Ask Spread %88.4269.44103.00102.3296.03
Gamma HHI0.750.490.890.820.89
Net GEX135.5K43.4K235.6K154.1K125.3K
Net DEX-2.7M-4.7M-875.5K-2.2M-2.3M
Net VEX-6.2K-9.3K-3.9K-6.4K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.445.702.915.65
Total Volume533.773340872340658
Total OI2,120.4091,6252,5431,8922,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$40.04$40.0031.3%9.0%32.2%11.4%32.5%12.1%7.2%154.1K-2.2M-6.4K2.91102.32N/AN/A872531,115777
2017-10-03$40.40$40.0033.3%9.6%31.3%12.4%32.8%12.8%6.3%155.4K-2.3M-6.5K2.01100.38N/AN/A1262531,132827
2017-10-04$39.56$40.0027.3%7.8%29.6%9.5%27.6%1.4%11.9%180.5K-2.0M-6.2K2.01103.00N/AN/A1262531,128827
2017-10-05$40.40$35.0032.8%11.2%29.8%12.2%38.6%4.5%-1.9%180.7K-2.3M-6.0K1.6280.58N/AN/A1572541,125837
2017-10-06$40.40$35.0031.4%11.7%29.3%11.5%41.1%6.3%-4.4%168.9K-2.4M-6.2K1.7285.21N/AN/A1482541,124839
2017-10-09$40.16$35.0028.7%11.9%29.5%10.2%41.3%6.5%-5.1%206.5K-2.3M-5.8K1.7286.09N/AN/A1482541,126839
2017-10-10$40.54$35.0033.9%11.2%29.6%12.7%39.0%6.4%-4.8%195.4K-2.4M-5.7K2.4991.05N/AN/A1022541,126839
2017-10-11$40.59$35.0039.6%11.4%29.5%15.5%38.6%5.0%-4.7%235.6K-2.5M-5.4K2.1293.14N/AN/A1202541,126839
2017-10-12$42.21$35.0040.7%11.7%32.4%16.0%39.0%5.4%-2.8%134.5K-3.4M-4.7K1.9491.02N/AN/A1272461,126839
2017-10-13$42.26$35.0039.3%11.3%31.2%15.3%39.7%0.9%-2.5%118.6K-3.2M-5.0K0.9094.01N/AN/A2742461,117838
2017-10-16$42.41$35.0043.1%12.4%31.2%17.1%40.8%3.6%-3.9%105.9K-3.7M-3.9K0.9586.95N/AN/A2662531,319838
2017-10-17$43.43$40.0040.4%11.6%31.7%15.8%40.8%6.2%-3.1%131.9K-4.1M-4.2K1.3775.17N/AN/A1782441,320849
2017-10-18$44.26$40.0042.8%12.3%29.7%17.0%42.4%-0.2%-5.7%151.9K-4.7M-4.3K1.0680.10N/AN/A2302441,430855
2017-10-19$43.13$40.0041.7%12.0%32.0%16.5%41.7%1.6%-5.0%43.4K-4.1M-4.4K0.6974.75N/AN/A3542451,514856
2017-10-20$44.40$40.0042.5%12.2%32.8%16.9%41.5%-5.8%-4.8%68.1K-4.7M-5.3K0.4469.44N/AN/A5672471,685858
2017-10-23$42.77$40.0042.4%12.2%35.4%16.8%39.9%-5.6%-1.6%65.6K-1.8M-5.2K0.4472.06N/AN/A590261822803
2017-10-24$43.38$40.0043.6%12.5%35.5%17.4%41.9%-6.9%-6.1%127.2K-2.8M-8.5K0.4693.66N/AN/A5972751,322837
2017-10-25$40.55$40.0064.6%18.5%41.1%27.5%47.3%1.6%-39.0%95.0K-2.0M-8.1K3.5792.41N/AN/A1394961,335841
2017-10-26$40.50$45.0045.5%13.0%40.7%18.3%44.2%1.7%-9.7%96.9K-875.5K-8.2K4.6195.73N/AN/A1105071,3651,103
2017-10-27$41.86$45.0050.3%14.4%40.9%15.0%43.1%5.4%-12.1%113.7K-1.8M-8.9K4.0791.65N/AN/A1365531,3951,023
2017-10-30$42.96$40.0048.4%13.9%41.1%14.0%39.4%1.2%-10.1%126.1K-2.5M-9.3K5.7090.60N/AN/A985591,413948
2017-10-31$42.13$40.0045.6%13.1%41.8%12.6%44.8%-0.9%-8.2%125.3K-2.3M-9.1K5.6596.03N/AN/A995591,431941