CWH Options History — March 2018

In March 2018, CWH traded between $30.49 and $40.31. ATM implied volatility averaged 55.5%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 1.3% (HV 20d: 56.8%). Max pain ranged from $35.00 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 0.53.

Notable Days

  • 2018-03-13: Highest Volume — 16,704 contracts
  • 2018-03-14: Largest IV drop — 53.0% change
  • 2018-03-13: Highest IV Rank — 67.2%
  • 2018-03-29: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.52$30.49$40.31$39.41$32.30
Max Pain$36.89$35.00$40.00$39.80$35.00
ATM IV55.5%37.8%80.9%48.3%69.6%
Expected Move15.0%10.9%20.0%13.9%20.0%
HV 20d56.8%43.1%68.9%47.9%66.2%
HV 60d42.4%34.8%49.7%34.8%49.7%
IV Rank36.3%17.0%67.2%24.9%54.1%
IV Percentile86.2%51.2%98.0%78.6%98.0%
Term Structure0.7%-18.1%14.7%-6.8%-18.1%
VWIV52.5%38.6%65.8%51.1%60.2%
Skew 25d4.4%-3.4%17.0%4.3%17.0%
Skew 10d12.2%-5.1%67.2%7.7%46.2%
Call IV 25d50.7%40.4%63.9%51.7%48.1%
Put IV 25d55.1%41.2%75.8%56.0%65.1%
Bid-Ask Spread %78.2855.51102.02102.0282.60
Gamma HHI0.290.220.610.490.23
Net GEX390.2K40.3K1.0M112.4K424.4K
Net DEX-9.5M-38.5M413.8K-584.8K-10.9M
Net VEX-80.5K-163.4K-10.9K-11.3K-126.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.031.590.150.05
Total Volume2,434.28642316,7041,6802,910
Total OI15,164.1433,60125,5993,60124,474

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$39.41$39.8048.3%13.9%47.9%24.9%51.1%4.3%-6.8%112.4K-584.8K-11.3K0.15102.02N/AN/A1,4592212,766835
2018-03-02$38.51$39.8052.1%14.9%48.2%28.7%54.7%14.5%-3.3%142.6K-1.0M-14.8K0.6297.35N/AN/A3462143,927863
2018-03-05$37.16$40.0059.8%14.1%45.2%36.3%46.9%4.3%-3.2%80.8K-62.1K-11.7K0.4562.87N/AN/A4722144,094878
2018-03-06$38.72$40.0048.9%11.4%46.0%25.5%47.9%0.0%3.7%137.9K-1.1M-14.7K0.5186.24N/AN/A3891994,241901
2018-03-07$38.35$40.0052.8%12.4%43.7%29.3%47.0%3.9%0.1%115.5K-752.6K-14.4K0.5876.48N/AN/A3502034,245903
2018-03-08$38.42$40.0045.6%13.4%43.5%22.3%50.4%1.3%-4.2%100.8K-773.9K-13.7K0.5878.30N/AN/A3391984,267909
2018-03-09$37.52$40.0037.8%11.6%43.1%17.0%45.6%-0.7%5.1%60.4K-172.8K-11.5K0.7776.40N/AN/A4043124,272901
2018-03-12$36.32$35.0053.9%13.2%44.0%35.8%44.6%-1.0%1.6%40.3K413.8K-10.9K0.1183.65N/AN/A2,9953184,3181,037
2018-03-13$36.56$35.0080.9%13.8%43.1%67.2%47.4%-1.1%0.8%463.7K-7.0M-17.7K0.0355.51N/AN/A16,1715337,1051,133
2018-03-14$40.31$35.0038.0%10.9%56.9%17.3%38.6%0.8%1.3%1.0M-38.5M-163.4K0.0875.92N/AN/A6,12149722,4141,459
2018-03-15$36.34$40.0052.5%15.0%67.3%34.1%52.7%-3.4%9.8%946.7K-21.7M-136.1K0.2178.57N/AN/A4,65098721,4211,510
2018-03-16$36.14$35.0048.8%14.0%67.3%29.9%48.5%2.7%-2.4%702.1K-27.1M-148.8K0.8777.10N/AN/A60753123,3712,228
2018-03-19$34.21$35.0056.5%16.2%68.9%38.8%57.3%4.2%10.3%592.6K-15.4M-136.6K0.1063.88N/AN/A1,82018618,9261,659
2018-03-20$33.91$35.0054.4%15.6%68.6%36.4%54.3%5.9%9.7%575.2K-15.0M-136.9K0.1268.78N/AN/A1,40416619,4531,730
2018-03-21$33.73$35.0051.8%14.9%67.4%33.4%53.8%6.1%14.7%563.8K-14.6M-137.8K0.5381.08N/AN/A29715719,3801,772
2018-03-22$32.45$35.0060.5%17.4%67.8%43.5%54.4%0.9%-8.0%488.0K-11.4M-123.9K0.4379.89N/AN/A43018319,5351,814
2018-03-23$32.26$35.0060.9%17.5%65.2%44.0%58.4%6.0%4.7%481.2K-10.6M-120.7K1.1075.87N/AN/A20122219,5891,905
2018-03-26$31.98$35.0067.0%19.2%64.5%51.1%60.4%6.6%-6.0%455.3K-9.9M-117.2K0.7976.64N/AN/A84066119,5911,928
2018-03-27$30.89$35.0061.1%17.5%64.4%44.2%61.7%8.6%3.9%380.3K-7.6M-108.7K1.4379.59N/AN/A9811,39920,0762,388
2018-03-28$30.49$35.0064.5%18.5%63.5%48.2%65.8%11.9%0.6%320.9K-6.3M-113.0K1.5985.14N/AN/A20632720,7523,477
2018-03-29$32.30$35.0069.6%20.0%66.2%54.1%60.2%17.0%-18.1%424.4K-10.9M-126.9K0.0582.60N/AN/A2,77513520,8483,626