CWH Options History — January 2018

In January 2018, CWH traded between $43.33 and $46.83. ATM implied volatility averaged 34.5%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.5% (HV 20d: 27.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-01-22: Highest Volume — 2,387 contracts
  • 2018-01-17: Largest IV spike — 16.3% change
  • 2018-01-24: Highest IV Rank — 17.7%
  • 2018-01-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.77$43.33$46.83$45.43$44.73
Max Pain$44.03$40.00$45.00$44.80$45.00
ATM IV34.5%27.4%41.0%27.4%38.9%
Expected Move10.0%7.9%11.8%7.9%11.1%
HV 20d27.0%22.7%31.0%22.7%29.8%
HV 60d33.8%31.0%35.9%34.6%31.0%
IV Rank10.5%2.8%17.7%2.8%15.6%
IV Percentile34.8%6.3%60.7%6.3%54.8%
Term Structure3.8%0.8%7.9%5.5%7.9%
VWIV39.0%27.3%48.5%27.3%47.4%
Skew 25d6.6%1.4%16.3%6.9%16.3%
Skew 10d9.8%-1.6%26.1%8.8%26.1%
Call IV 25d32.2%19.2%41.9%19.2%31.8%
Put IV 25d38.8%26.1%48.1%26.1%48.1%
Bid-Ask Spread %91.2968.03102.5296.38102.52
Gamma HHI0.590.290.830.830.30
Net GEX452.7K-8.5K722.8K663.5K218.0K
Net DEX-5.1M-9.5M-937.3K-7.4M-5.1M
Net VEX-19.1K-31.8K-11.9K-17.5K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.054.070.051.76
Total Volume1,010.5242262,3871,170508
Total OI4,194.0483,4865,5363,8204,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$45.43$44.8027.4%7.9%22.7%2.8%27.3%6.9%5.5%663.5K-7.4M-17.5K0.0596.38N/AN/A1,113573,263557
2018-01-03$45.81$44.8029.4%8.4%22.7%4.1%29.1%8.6%3.4%631.7K-8.0M-17.4K0.0891.94N/AN/A714553,274578
2018-01-04$45.05$45.0031.6%10.1%23.1%5.6%38.9%4.6%3.8%569.4K-6.4M-17.1K0.3489.52N/AN/A3511203,107584
2018-01-05$44.99$45.0028.1%9.3%23.1%3.3%34.9%4.1%4.8%561.0K-5.4M-15.9K0.8474.04N/AN/A1311102,855654
2018-01-08$43.33$45.0031.4%9.2%25.0%5.5%34.3%2.5%5.8%461.0K-3.1M-13.8K0.6169.64N/AN/A6483972,870658
2018-01-09$43.55$45.0028.3%9.1%24.1%3.4%35.7%4.0%3.9%509.9K-2.9M-15.0K4.0768.03N/AN/A943832,9351,003
2018-01-10$43.41$45.0032.6%9.4%24.0%7.7%38.4%6.5%2.1%517.4K-2.5M-14.5K2.9588.84N/AN/A1303842,9311,003
2018-01-11$44.68$45.0029.3%8.4%26.0%6.0%34.2%4.5%6.6%684.5K-4.8M-15.0K2.8386.36N/AN/A1393942,9311,004
2018-01-12$45.21$45.0033.5%9.6%26.0%10.2%38.5%9.2%3.1%722.8K-6.0M-14.9K0.9892.63N/AN/A4003912,9301,016
2018-01-16$43.38$45.0031.3%9.0%27.9%8.1%34.7%2.9%4.6%579.1K-2.1M-12.2K0.6989.16N/AN/A134923,1801,012
2018-01-17$43.41$45.0036.4%10.4%27.4%13.1%39.7%12.6%3.5%633.5K-2.6M-12.9K0.4499.54N/AN/A7673413,1801,048
2018-01-18$43.52$40.0033.7%9.7%26.2%10.4%37.3%12.3%1.9%546.7K-1.7M-12.1K1.94100.65N/AN/A1583072,5631,271
2018-01-19$44.61$40.0036.6%10.5%28.0%13.3%39.9%6.2%3.2%-8.5K-937.3K-11.9K0.1999.47N/AN/A1,5873072,5951,261
2018-01-22$45.11$40.0038.0%10.9%28.3%14.7%37.5%1.4%1.1%164.9K-4.3M-20.4K0.1490.17N/AN/A2,0863012,3041,182
2018-01-23$45.85$40.0041.0%11.7%29.0%17.6%41.1%3.9%0.8%397.6K-7.8M-30.5K0.2994.65N/AN/A1,0793124,0941,185
2018-01-24$46.83$45.0041.0%11.8%29.9%17.7%45.4%9.4%2.0%418.4K-9.5M-31.8K1.9693.43N/AN/A1583104,2931,210
2018-01-25$45.82$45.0037.9%10.9%31.0%14.6%45.5%4.7%5.2%388.1K-7.9M-31.2K2.4596.72N/AN/A1192914,2971,220
2018-01-26$45.11$45.0038.7%11.1%30.7%15.4%46.9%7.3%2.4%390.3K-7.3M-30.2K0.1898.64N/AN/A1,7853244,3161,220
2018-01-29$45.24$45.0037.5%10.8%30.7%14.2%44.1%4.7%6.2%232.2K-5.8M-22.9K0.1897.00N/AN/A1,7843242,9201,242
2018-01-30$45.01$45.0041.0%11.8%30.3%17.7%48.5%6.2%2.5%225.0K-5.4M-22.7K0.1897.69N/AN/A1,8123242,9221,242
2018-01-31$44.73$45.0038.9%11.1%29.8%15.6%47.4%16.3%7.9%218.0K-5.1M-22.3K1.76102.52N/AN/A1843242,9231,242