CWH Options History — November 2019

In November 2019, CWH traded between $9.56 and $12.27. ATM implied volatility averaged 76.0%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 24.5% (HV 20d: 51.5%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 8.39.

Notable Days

  • 2019-11-05: Highest Volume — 13,274 contracts
  • 2019-11-08: Largest IV drop — 52.8% change
  • 2019-11-06: Highest IV Rank — 100.0%
  • 2019-11-01: Largest Expected Move — 29.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.34$9.56$12.27$9.56$12.07
Max Pain$10.80$9.00$11.00$9.00$11.00
ATM IV76.0%53.6%140.7%103.4%60.6%
Expected Move18.4%15.4%29.6%29.6%17.4%
HV 20d51.5%41.9%60.4%60.4%41.9%
HV 60d57.4%52.8%62.0%62.0%52.8%
IV Rank34.7%8.2%100.0%72.5%15.5%
IV Percentile50.9%15.1%100.0%98.8%36.5%
Term Structure-3.0%-32.4%3.2%-32.4%-1.1%
VWIV64.2%49.1%111.4%111.4%58.7%
Skew 25d9.5%6.0%14.9%14.9%8.4%
Skew 10d26.1%14.2%46.9%25.1%20.6%
Call IV 25d59.5%48.7%97.5%97.5%56.3%
Put IV 25d69.1%58.3%112.4%112.4%64.7%
Bid-Ask Spread %20.9713.1381.9381.9319.56
Gamma HHI0.340.210.460.220.41
Net GEX-121.0K-193.7K-35.0K-36.3K-143.9K
Net DEX-2.1M-7.2M5.0M1.5M-4.1M
Net VEX-59.9K-63.8K-49.5K-49.5K-59.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.390.0885.191.400.17
Total Volume1,857.712313,274618579
Total OI38,252.7529,15944,40629,15938,208

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$9.56$9.00103.4%29.6%60.4%72.5%111.4%14.9%-32.4%-36.3K1.5M-49.5K1.4081.93N/AN/A25836014,38114,778
2019-11-04$9.64$10.00125.1%21.7%60.3%99.9%77.4%6.0%-5.2%-35.0K1.1M-49.9K15.2413.13N/AN/A2253,43014,39715,048
2019-11-05$9.99$10.00123.3%22.1%53.6%97.6%75.3%10.2%-9.1%-68.8K1.0M-54.0K85.1915.36N/AN/A15413,12014,57118,170
2019-11-06$9.74$11.00128.5%23.5%54.6%100.0%83.9%9.0%-9.8%-123.1K4.6M-57.6K53.3615.60N/AN/A442,34814,79022,051
2019-11-07$9.79$11.00140.7%23.8%54.5%100.0%85.6%8.5%-11.3%-148.9K5.0M-60.8K1.7140.71N/AN/A1,0271,75514,79924,297
2019-11-08$10.59$11.0066.4%17.4%50.0%21.7%62.2%10.5%3.2%-193.7K2.3M-63.0K0.6317.94N/AN/A2,2671,42915,15226,799
2019-11-11$10.97$11.0075.2%16.3%50.2%31.0%56.0%8.8%1.4%-123.8K-371.7K-62.6K0.1717.19N/AN/A1,97532815,89026,703
2019-11-12$11.26$11.0072.1%16.5%50.2%27.7%58.8%9.4%2.4%-102.3K-2.0M-62.4K0.5116.52N/AN/A40921016,36826,661
2019-11-13$11.99$11.0057.5%16.5%53.4%12.3%59.1%10.9%1.5%-110.9K-5.4M-62.1K0.1015.61N/AN/A1,22312416,46426,650
2019-11-14$12.07$11.0056.4%16.2%53.0%11.2%56.6%7.3%1.4%-115.8K-6.4M-63.1K0.2720.00N/AN/A72919517,13726,664
2019-11-15$12.16$11.0053.6%15.4%51.3%8.2%54.5%9.6%0.9%-117.9K-7.2M-61.8K0.6414.56N/AN/A25816617,67726,729
2019-11-18$12.02$11.0057.3%16.4%52.2%12.1%57.5%9.9%-0.9%-144.3K-3.1M-61.2K0.5215.99N/AN/A52627414,88021,837
2019-11-19$12.27$11.0057.4%16.4%50.8%12.1%58.2%10.6%-0.6%-121.1K-3.7M-62.5K0.0816.86N/AN/A1,88416014,82021,930
2019-11-20$12.26$11.0058.4%16.7%49.6%13.2%57.1%10.4%-1.4%-127.4K-4.4M-63.8K0.1417.44N/AN/A3605215,63322,036
2019-11-21$11.97$11.0059.3%17.0%49.0%14.2%57.2%10.4%-1.7%-140.2K-3.2M-63.8K0.3216.43N/AN/A933015,69922,064
2019-11-22$12.22$11.0056.8%16.3%48.6%11.6%57.2%9.0%-0.2%-137.5K-4.4M-61.6K1.3816.50N/AN/A10214115,70722,062
2019-11-25$12.23$11.0055.1%15.8%48.5%9.7%53.1%8.3%1.2%-142.7K-4.6M-60.0K0.8915.45N/AN/A26523515,77722,114
2019-11-26$12.01$11.0057.0%16.3%49.3%11.7%54.9%10.3%0.7%-148.7K-3.9M-60.4K1.4917.84N/AN/A7110615,90122,165
2019-11-27$12.09$11.0056.8%16.3%49.0%11.5%49.1%8.0%0.5%-138.5K-4.1M-58.2K3.4814.67N/AN/A5418815,90922,137
2019-11-29$12.07$11.0060.6%17.4%41.9%15.5%58.7%8.4%-1.1%-143.9K-4.1M-59.5K0.1719.56N/AN/A4948515,96022,248