CWH Options History — December 2017

In December 2017, CWH traded between $44.74 and $47.22. ATM implied volatility averaged 33.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 2.3% (HV 20d: 35.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-12-18: Highest Volume — 1,482 contracts
  • 2017-12-26: Largest IV drop — 25.9% change
  • 2017-12-12: Highest IV Rank — 12.7%
  • 2017-12-22: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.91$44.74$47.22$45.66$44.74
Max Pain$44.65$40.00$45.00$40.00$44.80
ATM IV33.3%25.3%42.1%29.8%25.3%
Expected Move9.1%7.2%10.7%8.6%7.2%
HV 20d35.6%22.4%39.4%39.4%22.6%
HV 60d36.1%34.7%36.9%36.2%34.7%
IV Rank6.3%1.4%12.7%3.8%1.4%
IV Percentile26.1%2.0%50.4%11.1%2.0%
Term Structure3.1%-5.0%8.3%2.3%7.5%
VWIV30.4%25.9%32.9%30.2%25.9%
Skew 25d5.1%2.4%12.3%6.4%12.3%
Skew 10d12.0%2.0%19.8%16.2%19.8%
Call IV 25d28.2%20.1%33.4%33.4%20.1%
Put IV 25d33.3%30.5%39.8%39.8%32.3%
Bid-Ask Spread %80.9054.7299.1999.1986.19
Gamma HHI0.720.220.950.930.84
Net GEX738.1K181.5K2.1M843.1K652.8K
Net DEX-10.8M-29.1M-4.8M-11.2M-6.4M
Net VEX-19.8K-28.9K-13.6K-19.6K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.113.171.230.29
Total Volume5192051,482766211
Total OI4,946.153,19110,0885,1833,818

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$45.66$40.0029.8%8.6%39.4%3.8%30.2%6.4%2.3%843.1K-11.2M-19.6K1.2399.19N/AN/A3434234,0751,108
2017-12-04$46.09$45.0034.7%9.1%39.3%6.5%32.9%8.0%6.3%789.3K-12.5M-18.8K2.7587.85N/AN/A1223354,1531,103
2017-12-05$46.52$45.0035.4%9.3%39.3%6.9%32.2%4.0%4.0%781.9K-13.3M-17.8K3.1780.98N/AN/A1053334,1631,078
2017-12-06$46.31$45.0039.2%8.8%38.7%9.1%30.2%5.0%4.6%794.8K-12.6M-17.8K3.0869.31N/AN/A1083334,1591,080
2017-12-07$47.22$45.0034.8%9.2%38.3%6.6%32.8%4.1%4.0%688.2K-14.6M-15.9K0.6990.47N/AN/A3262244,1601,081
2017-12-08$46.10$45.0032.7%9.4%37.1%5.4%30.5%5.3%2.4%983.5K-13.3M-17.6K0.9754.72N/AN/A2082014,3211,137
2017-12-11$46.28$45.0036.7%9.0%35.7%7.7%30.0%4.9%3.9%1.0M-13.6M-16.1K1.1469.81N/AN/A1912184,3621,139
2017-12-12$45.56$45.0042.1%8.9%36.5%12.7%31.4%3.1%6.6%1.3M-11.6M-16.1K1.2568.47N/AN/A1802254,3641,159
2017-12-13$46.13$45.0032.4%9.3%36.6%6.2%31.0%3.9%3.3%1.2M-14.3M-14.7K0.6877.79N/AN/A3292254,3651,188
2017-12-14$44.76$45.0027.9%8.0%38.6%3.2%29.4%4.3%8.3%2.1M-6.2M-13.6K0.5979.44N/AN/A3862273,6001,188
2017-12-15$45.30$44.8033.8%9.7%38.5%7.1%29.2%4.3%2.5%181.5K-29.1M-22.5K0.5179.74N/AN/A4642387,8682,220
2017-12-18$46.22$44.8034.6%9.9%39.0%7.7%31.3%4.2%-1.3%191.4K-4.8M-22.0K0.1179.58N/AN/A1,3321502,409948
2017-12-19$46.22$44.8035.3%10.1%38.1%8.1%30.9%6.1%-0.2%375.4K-7.8M-27.5K0.7478.87N/AN/A2091553,439961
2017-12-20$46.32$44.8035.7%10.2%38.1%8.4%31.0%5.8%-4.2%380.8K-7.9M-27.0K0.2783.43N/AN/A6051623,442966
2017-12-21$46.25$44.8036.3%10.4%37.4%8.8%32.9%4.0%-1.3%444.9K-9.0M-28.9K0.6890.44N/AN/A2321583,843979
2017-12-22$45.97$44.8037.3%10.7%37.2%9.5%32.4%6.2%-5.0%464.3K-8.9M-28.7K0.7086.87N/AN/A2101483,848969
2017-12-26$46.00$44.8027.7%7.9%36.7%3.0%27.8%4.5%6.4%434.7K-6.6M-16.9K0.1290.82N/AN/A352432,651540
2017-12-27$45.12$44.8027.3%7.8%22.8%2.7%29.0%3.3%6.0%524.7K-6.2M-18.1K0.2772.94N/AN/A161442,954542
2017-12-28$45.37$44.8026.4%7.6%22.4%2.1%26.8%2.4%6.3%552.8K-6.6M-18.0K0.1491.19N/AN/A407573,002541
2017-12-29$44.74$44.8025.3%7.2%22.6%1.4%25.9%12.3%7.5%652.8K-6.4M-18.7K0.2986.19N/AN/A163483,262556