CWH Options History — February 2018

In February 2018, CWH traded between $39.32 and $44.75. ATM implied volatility averaged 47.4%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 8.6% (HV 20d: 38.8%). Max pain ranged from $39.80 to $39.80. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2018-02-01: Highest Volume — 502 contracts
  • 2018-02-28: Largest IV drop — 28.4% change
  • 2018-02-27: Highest IV Rank — 34.5%
  • 2018-02-27: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$39.32$44.75$44.75$41.92
Max Pain$39.80$39.80$39.80$39.80$39.80
ATM IV47.4%37.0%58.0%39.5%41.6%
Expected Move13.9%11.9%16.6%12.4%11.9%
HV 20d38.8%29.7%43.2%29.7%43.2%
HV 60d34.1%30.9%36.1%30.9%32.7%
IV Rank24.0%13.7%34.5%16.2%18.2%
IV Percentile74.1%48.4%91.3%56.0%62.3%
Term Structure-6.6%-15.7%-2.9%-2.9%-4.6%
VWIV47.4%36.6%53.8%44.2%36.6%
Skew 25d6.4%-2.5%11.6%4.3%4.7%
Skew 10d17.8%-6.3%37.5%10.2%9.9%
Call IV 25d45.0%36.3%52.6%40.8%36.3%
Put IV 25d51.4%40.9%59.3%45.0%40.9%
Bid-Ask Spread %87.2370.9499.5770.9499.57
Gamma HHI0.430.290.620.320.62
Net GEX147.3K54.2K248.5K248.5K222.2K
Net DEX-2.1M-5.2M-736.8K-5.2M-1.7M
Net VEX-16.5K-22.2K-12.4K-22.2K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.341.071.831.521.10
Total Volume389.263298502502390
Total OI4,058.4213,3844,4884,1993,569

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$44.75$39.8039.5%12.4%29.7%16.2%44.2%4.3%-2.9%248.5K-5.2M-22.2K1.5270.94N/AN/A1993032,9571,242
2018-02-02$42.10$39.8037.0%13.7%36.2%13.7%36.7%5.5%-4.7%154.5K-3.0M-21.0K1.3085.50N/AN/A1682192,9771,252
2018-02-05$40.34$39.8047.0%14.2%38.8%23.6%49.3%1.1%-4.6%63.7K-736.8K-17.8K1.1493.20N/AN/A1912172,9791,385
2018-02-06$41.84$39.8046.8%14.9%39.5%23.4%52.0%11.0%-9.4%127.0K-2.2M-20.0K1.2986.85N/AN/A1802333,0121,387
2018-02-07$42.27$39.8049.6%14.2%39.7%26.2%47.7%2.8%-7.8%87.4K-2.5M-19.0K1.4182.62N/AN/A1752463,0231,400
2018-02-08$41.05$39.8052.4%15.0%40.9%29.0%53.2%10.8%-7.1%54.2K-1.3M-18.2K1.5093.85N/AN/A1652473,0321,413
2018-02-09$41.28$39.8052.1%14.9%39.3%28.7%51.4%6.4%-6.6%61.9K-1.3M-17.7K1.1193.41N/AN/A2032263,0321,414
2018-02-12$42.18$39.8047.4%13.6%40.0%24.0%47.5%-2.5%-5.6%152.5K-2.5M-17.9K1.1882.72N/AN/A2042413,0021,431
2018-02-13$42.21$39.8048.1%13.8%37.4%24.7%44.5%11.6%-4.7%146.1K-2.4M-17.4K1.3389.09N/AN/A1752323,0401,428
2018-02-14$41.66$39.8045.3%13.0%37.6%22.0%43.7%7.2%-4.6%63.7K-1.8M-16.0K1.1275.66N/AN/A1862083,0411,429
2018-02-15$41.68$39.8045.3%13.0%37.6%21.9%44.6%7.9%-4.5%164.7K-2.1M-15.5K1.0772.13N/AN/A1952093,0531,435
2018-02-16$40.41$39.8045.7%13.1%37.5%22.4%48.5%2.5%-4.4%148.7K-1.4M-14.2K1.2183.07N/AN/A1932343,0441,424
2018-02-20$39.32$39.8050.6%14.5%37.8%27.2%50.1%8.2%-8.8%128.9K-1.0M-12.4K1.5692.90N/AN/A1261972,613771
2018-02-21$40.38$39.8050.9%14.6%38.8%27.5%51.1%6.2%-9.1%153.6K-1.5M-13.4K1.5593.33N/AN/A1201862,625783
2018-02-22$40.81$39.8046.0%13.2%38.0%22.6%44.3%4.5%-3.4%167.4K-1.4M-13.3K1.6691.92N/AN/A1121862,639801
2018-02-23$42.43$39.8043.6%12.5%40.8%20.3%47.3%10.3%-3.2%224.5K-2.5M-14.6K1.8394.29N/AN/A1091992,656801
2018-02-26$42.94$39.8053.6%15.4%41.0%30.2%53.5%10.1%-13.7%235.7K-3.2M-15.2K1.2396.55N/AN/A1702092,666815
2018-02-27$41.36$39.8058.0%16.6%42.7%34.5%53.8%9.4%-15.7%193.9K-2.2M-14.4K1.2979.82N/AN/A1501932,712827
2018-02-28$41.92$39.8041.6%11.9%43.2%18.2%36.6%4.7%-4.6%222.2K-1.7M-12.7K1.1099.57N/AN/A1862042,737832