CWH Options History — June 2018

In June 2018, CWH traded between $18.79 and $26.88. ATM implied volatility averaged 57.6%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 12.5% (HV 20d: 70.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2018-06-08: Highest Volume — 28,918 contracts
  • 2018-06-13: Largest IV drop — 22.6% change
  • 2018-06-12: Highest IV Rank — 56.9%
  • 2018-06-01: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.82$18.79$26.88$18.79$25.00
Max Pain$21.79$20.00$22.50$20.00$22.50
ATM IV57.6%51.8%71.2%59.8%53.9%
Expected Move15.6%14.9%17.1%17.1%15.4%
HV 20d70.1%58.5%85.7%84.6%63.3%
HV 60d70.7%69.0%73.7%69.4%69.2%
IV Rank40.8%33.9%56.9%43.3%36.4%
IV Percentile79.4%66.7%96.4%88.1%72.2%
Term Structure3.7%-4.4%7.4%-4.4%5.9%
VWIV54.8%51.2%59.5%59.5%54.7%
Skew 25d-0.9%-3.7%1.8%-1.6%-3.7%
Skew 10d0.1%-6.7%6.7%-6.7%-1.8%
Call IV 25d56.5%51.9%61.1%61.1%58.1%
Put IV 25d55.6%52.0%62.7%59.5%54.4%
Bid-Ask Spread %20.7911.7950.2822.6127.72
Gamma HHI0.260.190.330.190.27
Net GEX760.5K199.8K1.2M199.8K728.7K
Net DEX-32.7M-60.1M3.6M3.6M-35.5M
Net VEX-229.9K-306.7K-108.5K-108.5K-263.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.090.750.210.23
Total Volume6,315.4761,32428,9184,7542,037
Total OI71,016.47648,90588,67448,90574,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$18.79$20.0059.8%17.1%84.6%43.3%59.5%-1.6%-4.4%199.8K3.6M-108.5K0.2122.61N/AN/A3,93581935,00213,903
2018-06-04$19.29$20.0061.3%16.3%85.7%45.2%56.4%0.9%0.9%330.7K-1.7M-124.8K0.7221.94N/AN/A1,31194237,87314,184
2018-06-05$19.59$20.0062.2%16.0%82.3%46.2%56.5%-0.2%1.7%368.1K-3.4M-129.1K0.6524.48N/AN/A2,1021,36738,23414,374
2018-06-06$21.04$20.0070.2%16.9%65.4%55.7%59.4%1.8%0.5%563.7K-15.9M-152.1K0.1550.28N/AN/A11,5161,72739,84114,230
2018-06-07$22.64$20.0059.6%15.8%68.9%43.2%55.9%-1.2%2.7%775.7K-30.3M-163.7K0.3631.54N/AN/A7,1232,58242,41314,944
2018-06-08$24.61$20.0062.6%16.1%74.2%46.7%57.1%1.6%1.9%846.6K-45.3M-164.7K0.4518.63N/AN/A19,8879,03143,46115,499
2018-06-11$25.00$22.5070.3%16.0%71.2%55.9%56.5%-1.2%2.1%1.1M-51.5M-213.0K0.7512.58N/AN/A8,7136,55651,27524,416
2018-06-12$24.98$22.5071.2%15.9%70.5%56.9%55.7%-1.8%2.5%1.1M-50.7M-258.0K0.1611.79N/AN/A6,42599756,08228,916
2018-06-13$23.86$22.5055.1%15.8%73.0%37.8%54.5%-2.4%2.3%1.1M-37.8M-265.2K0.1014.06N/AN/A6,80566959,54729,127
2018-06-14$23.55$22.5053.3%15.3%71.8%35.7%54.0%-0.9%4.6%808.9K-30.4M-262.7K0.3622.73N/AN/A2,15177656,63829,303
2018-06-15$24.62$22.5053.3%15.3%73.1%35.7%53.9%1.1%4.0%640.7K-39.7M-265.5K0.2411.91N/AN/A2,56462256,85729,311
2018-06-18$24.58$22.5051.8%14.9%73.1%33.9%52.0%-3.3%5.3%670.9K-31.1M-260.5K0.3114.77N/AN/A1,04231944,77925,594
2018-06-19$24.40$22.5055.6%15.9%72.8%38.4%56.2%-2.0%2.9%645.3K-29.4M-264.4K0.1717.65N/AN/A4,42076645,12625,675
2018-06-20$26.06$22.5052.1%14.9%75.4%34.2%52.5%-0.7%6.7%962.2K-48.3M-280.4K0.0919.12N/AN/A9,05185648,28925,984
2018-06-21$26.88$22.5052.9%15.2%58.5%35.1%51.2%1.7%6.0%1.2M-60.1M-306.7K0.4415.49N/AN/A1,03945454,87025,890
2018-06-22$26.50$22.5052.8%15.1%58.6%35.0%51.3%0.4%6.4%973.2K-51.0M-286.9K0.4613.58N/AN/A98045350,28225,935
2018-06-25$25.71$22.5053.0%15.2%60.7%35.4%52.9%-1.4%5.7%922.3K-43.3M-278.2K0.1520.46N/AN/A3,58953150,51025,971
2018-06-26$25.16$22.5052.1%14.9%60.7%34.2%52.4%-1.7%7.4%749.6K-35.2M-265.9K0.4522.79N/AN/A91640848,81626,000
2018-06-27$23.81$22.5052.5%15.1%65.1%34.7%53.4%-1.1%7.1%593.6K-24.2M-259.6K0.1121.43N/AN/A3,95241748,82426,042
2018-06-28$24.11$22.5054.3%15.6%63.6%36.8%54.7%-3.5%6.1%594.2K-26.2M-254.4K0.3220.96N/AN/A2,09967646,84126,292
2018-06-29$25.00$22.5053.9%15.4%63.3%36.4%54.7%-3.7%5.9%728.7K-35.5M-263.3K0.2327.72N/AN/A1,65238547,78726,409