CWH Options History — November 2017

In November 2017, CWH traded between $41.02 and $46.72. ATM implied volatility averaged 39.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.5% (HV 20d: 38.6%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.07.

Notable Days

  • 2017-11-03: Highest Volume — 4,626 contracts
  • 2017-11-06: Largest IV spike — 122.9% change
  • 2017-11-06: Highest IV Rank — 44.1%
  • 2017-11-01: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.06$41.02$46.72$42.21$46.38
Max Pain$34.52$30.00$40.00$40.00$40.00
ATM IV39.1%23.9%107.6%49.2%33.0%
Expected Move9.8%6.8%14.1%14.1%9.4%
HV 20d38.6%27.5%42.5%40.9%38.7%
HV 60d34.1%31.9%37.0%36.9%36.2%
IV Rank8.6%0.4%44.1%14.4%5.5%
IV Percentile30.4%0.8%92.5%57.9%23.4%
Term Structure0.2%-10.1%5.0%-10.1%1.9%
VWIV33.8%26.3%42.8%42.8%33.8%
Skew 25d5.1%-4.4%9.7%7.5%3.2%
Skew 10d11.7%-5.8%24.0%24.0%6.3%
Call IV 25d33.1%25.5%45.0%45.0%32.3%
Put IV 25d38.2%22.1%52.5%52.5%35.4%
Bid-Ask Spread %90.0671.14100.97100.97100.68
Gamma HHI0.760.480.950.900.91
Net GEX514.7K53.6K846.4K124.3K702.4K
Net DEX-7.3M-13.4M-2.3M-2.3M-12.6M
Net VEX-19.9K-27.4K-9.1K-9.1K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.1423.860.180.72
Total Volume1,617.193794,6263,654514
Total OI6,737.4762,3909,5852,3905,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$42.21$40.0049.2%14.1%40.9%14.4%42.8%7.5%-10.1%124.3K-2.3M-9.1K0.18100.97N/AN/A3,0955591,449941
2017-11-02$42.21$30.0049.1%11.8%40.4%13.5%41.9%7.2%3.3%473.1K-8.3M-25.3K0.2685.72N/AN/A2,0935494,449941
2017-11-03$42.74$30.0048.3%11.0%40.6%13.1%39.7%6.9%-3.7%488.8K-8.7M-24.8K1.2286.79N/AN/A2,0882,5384,454945
2017-11-06$43.00$30.00107.6%11.6%40.4%44.1%40.9%-2.4%-3.2%392.0K-8.4M-27.4K23.8699.81N/AN/A1072,5534,4672,947
2017-11-07$42.30$30.0057.4%11.9%41.0%17.9%40.6%4.4%-1.3%444.3K-8.0M-23.9K19.4389.30N/AN/A1292,5074,4882,967
2017-11-08$43.41$30.0036.3%10.4%41.8%6.8%38.0%4.1%0.8%550.3K-9.4M-23.5K1.2088.25N/AN/A1,3191,5844,5342,993
2017-11-09$41.93$35.0034.4%9.9%41.7%6.3%32.4%8.8%0.8%452.0K-6.2M-24.2K2.5082.44N/AN/A2055135,3924,063
2017-11-10$41.02$35.0033.6%9.6%42.3%5.9%31.8%9.2%0.9%53.6K-4.0M-21.2K3.2080.68N/AN/A1645255,4784,090
2017-11-13$41.37$35.0034.6%9.9%42.5%6.5%33.2%6.5%2.2%291.7K-5.0M-21.0K2.7594.97N/AN/A1915255,4844,090
2017-11-14$41.43$35.0036.3%10.4%41.4%7.4%31.8%8.1%-0.2%266.7K-5.3M-19.9K2.3484.14N/AN/A1463415,4954,090
2017-11-15$41.93$35.0037.8%10.8%41.0%8.3%32.8%9.7%-0.6%397.6K-6.6M-21.0K2.1693.57N/AN/A1603465,5064,078
2017-11-16$42.50$35.0032.3%9.3%40.5%5.2%31.6%1.8%3.2%582.9K-7.4M-19.2K0.1687.43N/AN/A2,1513435,4934,071
2017-11-17$42.49$35.0033.8%9.7%38.9%6.0%31.3%4.7%2.6%344.3K-3.8M-12.8K0.1494.29N/AN/A2,6423613,8984,071
2017-11-20$43.60$35.0023.9%6.8%37.8%0.4%26.6%1.4%1.2%731.4K-6.5M-18.0K1.0179.41N/AN/A1891903,918898
2017-11-21$43.61$35.0027.7%8.0%37.5%2.6%28.1%7.0%0.5%746.7K-6.9M-18.3K0.6195.75N/AN/A3141913,961898
2017-11-22$42.85$35.0024.9%7.1%28.7%1.0%28.6%4.4%1.9%665.6K-6.1M-17.4K0.9790.91N/AN/A1981934,099899
2017-11-24$43.60$35.0026.2%7.5%29.1%1.7%26.3%-4.4%3.7%846.4K-6.6M-17.0K0.6599.19N/AN/A4332834,178901
2017-11-27$43.03$35.0024.1%6.9%27.5%0.5%26.7%7.5%5.0%798.5K-6.2M-17.9K0.25100.50N/AN/A9972514,506982
2017-11-28$46.72$35.0037.1%10.6%39.0%7.9%36.9%7.9%-5.4%738.3K-13.4M-18.8K0.2385.35N/AN/A1,5623664,190992
2017-11-29$46.00$40.0032.7%9.4%38.7%5.4%34.1%3.5%-0.4%717.1K-11.5M-19.3K0.6771.14N/AN/A3262203,9581,088
2017-11-30$46.38$40.0033.0%9.4%38.7%5.5%33.8%3.2%1.9%702.4K-12.6M-18.9K0.72100.68N/AN/A2982164,0501,095