CWH Options History — March 2020 In March 2020, CWH traded between $3.83 and $13.53. ATM implied volatility averaged 157.5%, placing in the 74.8% IV rank vs the trailing year. The 30-day expected move averaged 44.0%. IV traded above realized volatility by 15.8% (HV 20d: 141.7%). Max pain ranged from $6.00 to $15.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.53.
Notable Days 2020-03-11 : Highest Volume — 7,110 contracts2020-03-18 : Largest IV spike — 43.2% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 68.2%Monthly Statistics Metric Avg Min Max Open Close Price $7.46 $3.83 $13.53 $13.53 $5.61 Max Pain $10.82 $6.00 $15.00 $12.00 $6.00 ATM IV 157.5% 83.7% 238.0% 85.9% 170.8% Expected Move 44.0% 24.0% 68.2% 24.6% 49.0% HV 20d 141.7% 38.0% 237.0% 38.0% 236.9% HV 60d 97.7% 48.9% 143.8% 49.1% 143.8% IV Rank 74.8% 39.9% 100.0% 42.2% 65.0% IV Percentile 97.5% 88.9% 100.0% 92.5% 97.2% Term Structure -20.7% -76.1% 11.1% -11.7% -25.2% VWIV 148.2% 83.9% 235.3% 91.3% 170.0% Skew 25d 26.8% 13.1% 47.1% 18.7% 34.1% Skew 10d 55.6% -20.6% 147.7% 4.6% 120.1% Call IV 25d 139.7% 75.6% 218.1% 79.7% 165.2% Put IV 25d 166.5% 91.9% 252.3% 98.4% 199.3% Bid-Ask Spread % 64.12 16.54 95.41 22.78 78.81 Gamma HHI 0.17 0.14 0.22 0.17 0.14 Net GEX 19.8K -6.7K 97.5K 94.1K 8.7K Net DEX 418.3K -6.0M 4.0M -6.0M 543.0K Net VEX -34.8K -45.4K -17.2K -44.3K -35.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.08 15.85 0.08 2.51 Total Volume 1,921.545 609 7,110 1,637 617 Total OI 27,077.636 17,480 34,399 17,480 30,259
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $13.53 $12.00 85.9% 24.6% 38.0% 42.2% 91.3% 18.7% -11.7% 94.1K -6.0M -44.3K 0.08 22.78 N/A N/A 1,521 116 11,905 5,575 2020-03-03 $12.68 $12.00 87.2% 25.0% 42.5% 43.6% 86.5% 13.4% -8.3% 97.5K -4.5M -42.3K 1.05 23.17 N/A N/A 1,005 1,056 12,115 5,631 2020-03-04 $12.28 $12.00 83.7% 24.0% 42.4% 39.9% 83.9% 16.3% -6.4% 77.3K -2.8M -41.5K 2.68 16.54 N/A N/A 289 775 11,850 6,385 2020-03-05 $10.59 $15.00 102.0% 24.6% 63.1% 59.3% 89.1% 13.1% -7.9% 34.6K 192.3K -35.6K 1.15 28.67 N/A N/A 511 590 11,992 7,076 2020-03-06 $10.02 $15.00 112.2% 26.6% 64.2% 70.0% 90.0% 16.6% -8.5% 23.6K 776.8K -33.7K 0.23 30.70 N/A N/A 4,210 955 12,021 7,391 2020-03-09 $8.82 $15.00 144.8% 32.8% 74.2% 100.0% 115.3% 14.9% -20.5% 33.3K 1.0M -34.2K 0.46 60.23 N/A N/A 1,349 618 15,862 7,980 2020-03-10 $9.20 $15.00 130.9% 29.9% 77.9% 86.0% 93.9% 15.7% -8.6% 41.8K 718.7K -36.2K 0.95 27.14 N/A N/A 1,421 1,356 16,800 7,931 2020-03-11 $7.51 $13.00 124.2% 35.6% 100.0% 79.1% 116.9% 20.6% -14.7% 24.2K 1.3M -30.7K 15.85 69.47 N/A N/A 422 6,688 18,067 8,027 2020-03-12 $6.11 $13.00 162.4% 46.6% 114.5% 100.0% 148.6% 22.3% -26.9% -6.7K 4.0M -30.1K 0.53 83.56 N/A N/A 904 481 18,399 13,785 2020-03-13 $6.68 $11.00 148.5% 42.6% 121.6% 88.1% 166.6% 40.6% -20.5% -419 3.3M -35.7K 0.91 77.34 N/A N/A 487 445 19,192 13,795 2020-03-16 $6.01 $11.00 199.3% 57.1% 121.9% 100.0% 166.2% 19.0% -59.6% -1.1K 2.7M -34.3K 2.21 77.90 N/A N/A 196 434 19,579 13,895 2020-03-17 $5.84 $12.00 166.2% 47.6% 121.0% 78.4% 162.8% 36.7% -13.3% -4.8K 2.9M -33.1K 0.75 78.94 N/A N/A 798 597 19,610 14,170 2020-03-18 $3.83 $11.00 238.0% 68.2% 176.5% 100.0% 169.0% 18.3% -76.1% -1.7K 3.2M -17.2K 0.18 95.41 N/A N/A 1,066 190 20,232 13,655 2020-03-19 $3.91 $11.00 233.8% 67.0% 176.7% 97.9% 216.6% 29.8% -61.3% -2.7K 2.4M -21.2K 1.53 81.93 N/A N/A 241 368 21,011 13,388 2020-03-20 $4.41 $11.00 236.0% 67.7% 188.4% 99.0% 222.6% 47.1% -48.6% -2.5K 1.9M -24.9K 0.15 59.51 N/A N/A 3,328 502 21,261 12,855 2020-03-23 $4.64 $10.00 227.7% 65.3% 192.6% 94.6% 235.3% 38.3% -26.8% -446 639.5K -28.7K 0.61 77.86 N/A N/A 492 302 13,539 11,431 2020-03-24 $6.13 $9.00 185.5% 53.2% 227.3% 72.7% 186.7% 37.9% -22.4% -2.9K 70.5K -37.4K 0.27 82.59 N/A N/A 1,518 410 13,861 11,827 2020-03-25 $6.70 $6.00 151.2% 43.3% 232.2% 54.8% 166.3% 38.8% 9.1% 1.4K -722.2K -42.3K 0.20 87.05 N/A N/A 1,711 340 15,188 11,927 2020-03-26 $7.10 $6.00 154.8% 44.4% 234.6% 56.7% 154.8% 41.3% 5.6% 3.6K -1.2M -45.4K 0.44 81.63 N/A N/A 1,475 650 15,402 12,044 2020-03-27 $6.66 $6.00 145.6% 41.7% 234.5% 51.9% 151.7% 21.9% 11.1% 9.3K -1.1M -43.7K 0.29 84.88 N/A N/A 595 170 16,618 12,552 2020-03-30 $5.80 $6.00 175.4% 50.3% 237.0% 67.4% 176.5% 34.6% -14.7% 8.7K 17.5K -37.0K 0.71 84.62 N/A N/A 630 445 16,987 12,638 2020-03-31 $5.61 $6.00 170.8% 49.0% 236.9% 65.0% 170.0% 34.1% -25.2% 8.7K 543.0K -35.4K 2.51 78.81 N/A N/A 176 441 17,422 12,837
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