CWH Options History — August 2020

In August 2020, CWH traded between $29.31 and $42.02. ATM implied volatility averaged 93.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded below realized volatility by 16.0% (HV 20d: 109.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2020-08-06: Highest Volume — 50,277 contracts
  • 2020-08-06: Largest IV drop — 17.1% change
  • 2020-08-04: Highest IV Rank — 42.1%
  • 2020-08-04: Largest Expected Move — 37.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.73$29.31$42.02$40.02$29.32
Max Pain$27.81$25.00$30.00$28.00$28.00
ATM IV93.8%79.6%130.0%128.1%99.7%
Expected Move26.5%22.8%37.3%36.7%28.6%
HV 20d109.8%85.0%126.3%85.2%109.4%
HV 60d95.4%85.3%100.5%97.2%96.0%
IV Rank22.7%15.1%42.1%41.1%25.9%
IV Percentile59.0%44.4%86.9%86.1%71.0%
Term Structure-3.1%-26.8%7.1%-25.3%-7.1%
VWIV92.9%79.9%132.3%128.3%100.3%
Skew 25d1.6%-8.1%6.6%-3.5%-3.0%
Skew 10d5.0%-7.3%12.6%0.7%-0.0%
Call IV 25d93.3%77.9%139.7%133.0%102.8%
Put IV 25d94.9%82.1%131.6%129.5%99.8%
Bid-Ask Spread %21.2510.5134.9620.3526.37
Gamma HHI0.100.070.170.080.07
Net GEX1.1M16.9K3.0M994.9K298.6K
Net DEX-100.7M-178.4M-47.7M-149.3M-60.1M
Net VEX-312.1K-397.9K-270.6K-270.6K-386.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.101.030.131.03
Total Volume14,217.2382,98750,27717,02915,524
Total OI124,183.76291,613149,66391,613130,984

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$40.02$28.00128.1%36.7%85.2%41.1%128.3%-3.5%-25.3%994.9K-149.3M-270.6K0.1320.35N/AN/A15,0192,01052,55439,059
2020-08-04$38.98$30.00130.0%37.3%85.0%42.1%132.3%-8.1%-26.8%1.1M-145.0M-294.0K0.1025.24N/AN/A9,68894456,75940,276
2020-08-05$42.02$30.00123.6%35.4%86.8%38.7%125.0%-5.1%-23.6%1.5M-178.4M-285.5K0.1120.90N/AN/A18,0041,98260,24540,875
2020-08-06$33.11$25.00102.5%25.9%126.3%27.4%91.2%-1.3%2.0%855.2K-92.2M-275.1K0.1430.82N/AN/A43,9496,32863,13241,909
2020-08-07$32.50$28.0099.5%27.4%117.4%25.8%94.4%1.7%-3.1%1.6M-101.2M-337.4K0.3628.93N/AN/A14,4895,15383,45345,259
2020-08-10$32.09$27.0098.0%26.9%117.5%25.0%93.9%1.4%0.0%1.4M-92.9M-324.4K0.3134.96N/AN/A5,6571,75184,10548,419
2020-08-11$32.21$27.0099.5%26.8%113.1%25.8%93.4%0.9%-1.2%1.3M-91.2M-320.7K0.2526.35N/AN/A3,47687684,08849,369
2020-08-12$32.41$27.0086.3%24.8%112.6%18.7%87.6%4.5%4.5%1.2M-87.4M-298.5K0.1119.10N/AN/A15,3891,76084,45849,519
2020-08-13$33.26$28.0086.9%24.9%111.9%19.0%86.0%6.4%2.6%1.5M-99.5M-301.3K0.3615.74N/AN/A7,1632,55884,12749,315
2020-08-14$33.16$27.0083.4%23.9%111.9%17.1%82.9%6.6%5.5%1.2M-94.0M-294.6K0.2416.14N/AN/A2,40458383,97048,864
2020-08-17$35.32$27.0079.6%22.8%114.2%15.1%80.5%5.0%7.1%2.2M-123.4M-280.4K0.6713.76N/AN/A5,9684,02884,37549,019
2020-08-18$35.53$28.0079.6%22.8%112.2%15.1%79.9%5.0%6.7%2.4M-126.0M-274.3K0.3319.09N/AN/A3,5971,19986,21250,371
2020-08-19$36.40$28.0083.4%23.9%111.6%17.1%83.2%6.0%0.9%3.0M-139.2M-277.4K0.1721.96N/AN/A13,6722,33086,80850,348
2020-08-20$33.57$28.0082.8%23.8%112.7%16.8%82.8%3.3%-1.9%1.1M-93.7M-271.2K0.3422.09N/AN/A12,2704,21188,85051,272
2020-08-21$33.25$28.0081.0%23.2%112.7%15.9%80.3%4.8%-1.5%1.0M-86.0M-310.8K0.2723.15N/AN/A7,7592,07291,39658,267
2020-08-24$32.64$28.0080.5%23.1%109.1%15.6%80.2%4.0%-0.8%319.6K-78.0M-298.1K0.3310.51N/AN/A8,8592,88153,81050,202
2020-08-25$29.31$28.0084.7%24.3%114.5%17.8%85.6%0.9%0.2%16.9K-47.7M-296.8K0.9111.43N/AN/A13,68212,41456,77651,814
2020-08-26$30.60$28.0086.1%24.7%115.0%18.6%87.2%2.1%-0.2%216.6K-67.2M-368.2K0.4619.56N/AN/A8,7383,98964,50457,755
2020-08-27$31.01$28.0087.0%24.9%113.1%19.1%87.5%1.1%-1.9%429.5K-76.7M-392.1K0.5623.39N/AN/A6,2053,49068,47758,180
2020-08-28$31.52$28.0087.7%25.2%113.5%19.5%88.0%0.5%-1.7%560.1K-85.1M-397.9K0.3316.38N/AN/A4,8671,62470,40558,279
2020-08-31$29.32$28.0099.7%28.6%109.4%25.9%100.3%-3.0%-7.1%298.6K-60.1M-386.0K1.0326.37N/AN/A7,6347,89072,07858,906