CWH Options History — January 2020

In January 2020, CWH traded between $12.99 and $16.87. ATM implied volatility averaged 56.5%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 2.6% (HV 20d: 53.9%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2020-01-13: Highest Volume — 3,633 contracts
  • 2020-01-13: Largest IV spike — 21.0% change
  • 2020-01-14: Highest IV Rank — 23.2%
  • 2020-01-27: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.21$12.99$16.87$14.36$15.55
Max Pain$14.10$13.00$15.00$13.00$15.00
ATM IV56.5%52.2%67.8%55.3%56.8%
Expected Move15.7%15.0%17.0%15.9%16.3%
HV 20d53.9%42.8%60.1%48.1%58.5%
HV 60d49.5%45.3%51.5%50.1%49.5%
IV Rank11.2%6.7%23.2%10.0%11.5%
IV Percentile30.4%12.3%69.0%25.4%36.5%
Term Structure7.9%-1.4%13.0%-1.4%10.8%
VWIV54.7%51.6%59.9%54.5%56.7%
Skew 25d4.3%1.7%6.7%3.9%4.2%
Skew 10d13.1%-3.3%28.4%3.8%21.3%
Call IV 25d52.7%49.1%58.5%54.9%58.5%
Put IV 25d57.0%53.2%62.7%58.8%62.7%
Bid-Ask Spread %18.5010.8624.9310.8624.93
Gamma HHI0.220.140.390.370.14
Net GEX144.1K82.0K295.8K198.1K84.4K
Net DEX-12.2M-21.9M-6.5M-11.0M-9.8M
Net VEX-51.2K-54.6K-49.2K-54.6K-49.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.063.400.130.14
Total Volume593.81353,6331,005556
Total OI21,503.14316,06727,49623,75316,418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$14.36$13.0055.3%15.9%48.1%10.0%54.5%3.9%-1.4%198.1K-11.0M-54.6K0.1310.86N/AN/A89211315,5078,246
2020-01-03$14.20$13.0055.0%15.8%42.8%9.6%52.4%1.7%-0.1%225.5K-10.9M-54.6K0.7711.94N/AN/A1098416,0348,330
2020-01-06$13.53$15.0057.1%15.6%46.5%11.9%51.7%2.2%6.5%184.2K-8.5M-51.9K0.4517.49N/AN/A50122315,8838,354
2020-01-07$13.23$14.0058.2%15.8%46.5%13.0%54.7%3.1%8.5%157.8K-7.5M-51.1K0.9318.83N/AN/A26024115,9428,547
2020-01-08$13.55$14.0055.9%15.4%43.8%10.6%54.5%4.3%7.0%185.6K-8.5M-51.4K1.0812.45N/AN/A384115,9378,528
2020-01-09$12.99$14.0058.6%15.7%46.0%13.5%55.0%4.3%7.2%134.2K-6.5M-49.9K1.1720.32N/AN/A13615915,9398,607
2020-01-10$13.39$14.0055.9%15.5%44.9%10.6%53.5%3.7%7.0%191.9K-8.1M-50.4K0.2014.17N/AN/A1783516,3278,654
2020-01-13$14.51$14.0067.7%16.0%53.5%23.0%56.7%5.3%6.0%295.8K-12.5M-51.4K0.0616.49N/AN/A3,42820516,4558,664
2020-01-14$15.76$13.0067.8%15.7%56.9%23.2%54.6%5.5%8.2%287.5K-20.1M-52.1K0.4820.18N/AN/A1,53773318,4108,804
2020-01-15$16.56$14.0054.0%15.5%57.0%8.6%53.0%3.9%8.5%155.2K-21.9M-51.0K0.4517.53N/AN/A59726917,9919,126
2020-01-16$16.30$14.0054.6%15.7%57.7%9.3%53.7%5.0%7.0%153.7K-21.3M-51.7K0.8221.61N/AN/A22218318,3009,196
2020-01-17$16.29$14.0052.4%15.0%57.4%6.9%51.6%5.7%9.5%82.0K-21.4M-51.7K0.2515.46N/AN/A2095218,2509,152
2020-01-21$16.21$14.0055.2%15.8%57.5%9.8%55.3%4.5%10.2%83.2K-11.1M-51.2K2.0024.06N/AN/A357011,1334,934
2020-01-22$16.87$14.0052.2%15.0%58.4%6.7%53.4%6.7%9.8%82.5K-12.3M-51.2K0.9220.26N/AN/A28626211,1514,963
2020-01-23$16.84$14.0053.1%15.2%58.3%7.6%52.4%5.2%10.3%87.0K-12.1M-50.8K0.1021.02N/AN/A1901911,1745,009
2020-01-24$16.36$14.0055.4%15.9%59.2%10.1%57.9%3.9%8.1%89.3K-11.3M-50.9K3.4022.94N/AN/A3511911,2335,017
2020-01-27$15.87$14.0059.3%17.0%60.0%14.2%58.5%4.2%7.3%86.8K-10.4M-50.2K0.5121.66N/AN/A1668411,2245,029
2020-01-28$15.72$15.0053.5%15.3%60.1%8.0%59.9%4.7%13.0%87.5K-10.1M-49.8K1.4217.14N/AN/A436111,2325,088
2020-01-29$15.85$15.0054.8%15.7%59.6%9.4%54.8%4.7%11.3%87.4K-10.3M-49.9K2.8916.69N/AN/A92611,2375,148
2020-01-30$15.55$15.0053.0%15.2%59.4%7.6%54.6%3.6%11.5%87.0K-9.7M-49.2K0.7322.43N/AN/A372711,2375,156
2020-01-31$15.55$15.0056.8%16.3%58.5%11.5%56.7%4.2%10.8%84.4K-9.8M-49.9K0.1424.93N/AN/A4896711,2505,168