CWH Options History — May 2020

In May 2020, CWH traded between $8.10 and $22.44. ATM implied volatility averaged 105.5%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 28.4%. IV traded below realized volatility by 15.9% (HV 20d: 121.4%). Max pain ranged from $7.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2020-05-08: Highest Volume — 18,584 contracts
  • 2020-05-08: Largest IV drop — 26.3% change
  • 2020-05-06: Highest IV Rank — 46.3%
  • 2020-05-01: Largest Expected Move — 36.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.92$8.10$22.44$8.10$21.07
Max Pain$12.45$7.00$18.00$7.00$18.00
ATM IV105.5%91.8%134.8%127.0%97.2%
Expected Move28.4%25.8%36.4%36.4%27.9%
HV 20d121.4%103.1%128.4%120.4%122.1%
HV 60d173.5%162.5%178.8%162.5%178.0%
IV Rank31.0%23.9%46.3%42.3%26.7%
IV Percentile79.1%73.0%88.5%86.9%75.8%
Term Structure-2.2%-20.7%6.1%-20.7%-2.9%
VWIV101.1%89.8%135.8%118.9%98.5%
Skew 25d21.8%16.3%31.6%31.6%16.4%
Skew 10d52.7%32.1%84.2%82.2%41.0%
Call IV 25d88.5%78.6%104.1%104.1%91.6%
Put IV 25d110.4%100.6%135.7%135.7%108.0%
Bid-Ask Spread %24.0717.3153.2428.4823.30
Gamma HHI0.130.070.400.160.07
Net GEX176.9K8.1K417.0K9.4K186.1K
Net DEX-32.4M-62.6M-2.9M-2.9M-47.3M
Net VEX-123.9K-239.5K-55.5K-55.5K-239.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.102.980.871.47
Total Volume7,886.873918,5847394,971
Total OI57,347.0534,96793,03034,96793,030

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$8.10$7.00127.0%36.4%120.4%42.3%118.9%31.6%-20.7%9.4K-2.9M-55.5K0.8728.48N/AN/A39634320,88814,079
2020-05-04$8.57$10.00119.5%30.4%113.4%38.4%135.8%26.5%-2.0%8.1K-3.9M-57.9K0.2023.17N/AN/A1,24125421,18714,347
2020-05-05$9.16$10.00126.8%31.4%105.0%42.1%104.7%26.3%-3.8%17.2K-6.0M-62.3K0.1020.32N/AN/A3,61536021,88614,535
2020-05-06$10.28$10.00134.8%30.0%107.0%46.3%105.2%23.5%0.2%48.8K-10.2M-68.5K0.1023.00N/AN/A5,60954023,43814,684
2020-05-07$10.96$10.00131.1%30.2%103.1%44.4%106.6%25.7%-1.4%75.2K-13.4M-71.9K0.3553.24N/AN/A4,6591,61924,65615,002
2020-05-08$14.06$10.0096.6%26.7%128.2%26.4%112.9%26.7%5.6%85.1K-24.8M-76.3K1.0920.80N/AN/A8,9059,67925,40016,754
2020-05-11$14.89$11.00105.6%25.8%125.4%31.1%93.2%24.1%6.1%136.9K-29.8M-78.3K0.4318.23N/AN/A4,6071,99727,73517,041
2020-05-12$15.07$11.00112.3%26.0%125.7%34.6%90.2%19.9%5.2%148.2K-31.4M-94.8K0.3919.20N/AN/A6,5952,55730,54621,000
2020-05-13$14.45$11.0098.2%28.2%126.8%27.3%94.4%24.8%1.4%141.2K-26.6M-96.1K0.7822.11N/AN/A4,9633,89031,46122,817
2020-05-14$14.60$11.0098.4%28.2%125.9%27.3%107.5%24.3%-3.2%159.0K-28.8M-114.2K0.9121.65N/AN/A2,7392,48935,04725,511
2020-05-15$15.93$11.00102.4%29.4%124.8%29.5%96.2%19.4%-0.6%417.0K-37.3M-126.8K0.1323.52N/AN/A9,7311,25437,04426,647
2020-05-18$17.92$12.0097.0%27.8%127.8%26.6%97.6%23.7%-5.0%223.8K-36.4M-140.3K0.8522.53N/AN/A4,5323,86133,71423,282
2020-05-19$18.22$14.0094.1%27.0%127.0%25.1%89.8%19.5%-3.3%162.3K-35.8M-146.4K0.1829.11N/AN/A1,78031633,61327,027
2020-05-20$19.40$14.0091.8%26.3%122.1%23.9%93.1%17.4%-2.9%198.4K-42.2M-147.6K0.6818.77N/AN/A5,4073,68534,02127,121
2020-05-21$20.74$15.0096.5%27.7%121.4%26.3%94.9%16.4%-4.0%198.2K-47.7M-156.9K0.1817.31N/AN/A8,8971,63234,87830,070
2020-05-22$20.12$16.0093.9%26.9%124.5%25.0%92.8%16.6%-0.4%229.5K-45.3M-167.8K0.2528.08N/AN/A4,4841,12539,28131,544
2020-05-26$22.44$16.0094.2%27.0%122.4%25.2%96.5%16.3%-4.5%358.5K-62.6M-179.2K0.2221.11N/AN/A10,2512,26342,07132,367
2020-05-27$21.39$16.0092.5%26.5%126.9%24.3%92.8%17.2%-2.1%398.1K-59.0M-194.9K0.9119.57N/AN/A4,4694,07847,00033,436
2020-05-28$21.09$16.0099.7%28.6%128.4%28.0%100.3%20.4%-4.9%337.6K-56.4M-202.2K2.9827.91N/AN/A4,51313,43046,75136,030
2020-05-29$21.07$18.0097.2%27.9%122.1%26.7%98.5%16.4%-2.9%186.1K-47.3M-239.5K1.4723.30N/AN/A2,0102,96147,59745,433