CWH Options History — September 2020 In September 2020, CWH traded between $28.31 and $35.92. ATM implied volatility averaged 89.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded above realized volatility by 3.8% (HV 20d: 85.3%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.32.
Notable Days 2020-09-16 : Highest Volume — 44,182 contracts2020-09-09 : Largest IV drop — 21.1% change2020-09-08 : Highest IV Rank — 37.4%2020-09-02 : Largest Expected Move — 29.8%Monthly Statistics Metric Avg Min Max Open Close Price $31.42 $28.31 $35.92 $31.96 $29.74 Max Pain $31.81 $29.00 $33.00 $29.00 $30.00 ATM IV 89.1% 77.5% 121.2% 103.2% 77.5% Expected Move 25.0% 22.2% 29.8% 29.6% 22.2% HV 20d 85.3% 71.1% 115.1% 115.1% 71.1% HV 60d 92.9% 90.4% 94.8% 94.7% 93.1% IV Rank 20.2% 14.0% 37.4% 27.8% 14.0% IV Percentile 49.8% 31.7% 82.1% 74.2% 31.7% Term Structure 3.7% -8.0% 13.5% -8.0% 13.5% VWIV 87.6% 78.2% 105.6% 104.0% 79.5% Skew 25d 2.5% -8.6% 6.9% -4.0% 3.5% Skew 10d 6.8% -11.3% 14.5% -5.0% 9.4% Call IV 25d 87.0% 77.8% 110.3% 106.2% 77.8% Put IV 25d 89.5% 80.3% 102.2% 102.2% 81.3% Bid-Ask Spread % 16.74 9.58 24.94 24.94 20.13 Gamma HHI 0.11 0.07 0.51 0.08 0.10 Net GEX 278.4K -3.1M 1.6M 511.6K 207.4K Net DEX -76.2M -152.7M -29.2M -95.9M -48.1M Net VEX -385.0K -445.5K -347.0K -426.9K -356.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.32 0.16 0.77 0.77 0.37 Total Volume 12,076.238 2,751 44,182 20,906 7,375 Total OI 137,090.952 100,507 170,447 140,732 108,123
Daily Data (21 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 2020-09-01 $31.96 $29.00 103.2% 29.6% 115.1% 27.8% 104.0% -4.0% -8.0% 511.6K -95.9M -426.9K 0.77 24.94 N/A N/A 11,842 9,064 75,549 65,183 2020-09-02 $31.97 $29.00 104.0% 29.8% 110.7% 28.2% 105.6% -8.6% -6.0% 455.6K -99.7M -445.5K 0.42 18.39 N/A N/A 4,013 1,670 78,585 73,346 2020-09-03 $30.88 $33.00 102.5% 27.4% 73.1% 27.3% 96.2% 2.0% -2.6% 241.5K -81.3M -443.7K 0.40 9.58 N/A N/A 6,188 2,500 79,158 74,321 2020-09-04 $30.57 $33.00 111.4% 28.0% 73.0% 32.1% 97.8% 3.4% -3.2% 109.4K -73.6M -433.7K 0.54 14.60 N/A N/A 5,197 2,800 77,841 75,885 2020-09-08 $33.63 $33.00 121.2% 28.9% 80.7% 37.4% 100.3% 2.1% -6.9% 685.7K -124.1M -422.8K 0.38 11.18 N/A N/A 12,919 4,948 78,593 76,496 2020-09-09 $35.26 $33.00 95.6% 27.4% 82.3% 23.7% 96.2% 2.4% -4.4% 1.1M -150.2M -414.4K 0.27 14.56 N/A N/A 5,684 1,529 79,294 79,237 2020-09-10 $35.31 $33.00 91.1% 26.1% 82.3% 21.2% 91.4% 1.2% -0.8% 1.3M -152.7M -391.5K 0.27 23.53 N/A N/A 13,540 3,620 79,557 79,600 2020-09-11 $34.25 $33.00 86.7% 24.9% 82.8% 18.9% 87.6% 3.9% -0.4% 1.0M -110.3M -396.1K 0.24 10.42 N/A N/A 4,729 1,144 74,127 81,519 2020-09-14 $35.92 $33.00 86.7% 24.9% 84.4% 18.9% 87.6% 1.4% 2.2% 1.6M -140.5M -365.6K 0.21 10.03 N/A N/A 14,570 3,118 73,868 81,708 2020-09-15 $33.16 $33.00 79.7% 22.9% 86.3% 15.2% 78.2% 2.5% 4.9% 1.3M -94.5M -360.1K 0.25 20.53 N/A N/A 19,535 4,892 78,688 82,836 2020-09-16 $30.35 $33.00 79.3% 22.7% 91.4% 14.9% 79.8% 1.3% 5.9% -995.5K -33.2M -355.7K 0.47 13.56 N/A N/A 29,987 14,195 79,887 84,431 2020-09-17 $30.98 $32.00 80.2% 23.0% 91.2% 15.4% 80.9% 2.5% 9.4% 272.2K -64.0M -375.4K 0.25 16.67 N/A N/A 7,098 1,758 87,982 79,755 2020-09-18 $30.05 $32.00 78.5% 22.5% 87.6% 14.5% 78.8% 3.8% 11.1% -3.1M -43.1M -360.3K 0.34 14.90 N/A N/A 15,721 5,270 89,333 81,114 2020-09-21 $30.95 $31.00 83.2% 23.9% 88.4% 17.0% 84.5% 5.3% 8.6% 251.4K -56.3M -372.7K 0.24 13.58 N/A N/A 4,705 1,135 52,095 48,412 2020-09-22 $31.22 $32.00 81.7% 23.4% 88.3% 16.2% 81.1% 6.9% 8.2% 236.4K -56.7M -377.6K 0.21 16.66 N/A N/A 2,279 472 51,592 48,937 2020-09-23 $29.48 $32.00 82.2% 23.6% 81.9% 16.5% 80.8% 5.8% 7.8% 122.0K -39.9M -363.7K 0.16 19.92 N/A N/A 7,808 1,233 52,283 49,203 2020-09-24 $28.31 $32.00 81.5% 23.4% 81.5% 16.1% 81.6% 6.1% 9.2% 83.6K -29.2M -356.4K 0.22 21.90 N/A N/A 4,109 893 53,507 49,856 2020-09-25 $28.37 $31.00 82.8% 23.7% 81.3% 16.8% 83.1% 4.1% 9.2% 131.5K -33.8M -366.2K 0.34 17.61 N/A N/A 4,567 1,568 55,169 50,214 2020-09-28 $28.46 $31.00 81.2% 23.3% 81.0% 16.0% 82.0% 4.5% 10.6% 108.2K -32.7M -347.0K 0.18 19.73 N/A N/A 5,343 970 54,897 50,052 2020-09-29 $28.94 $30.00 81.2% 23.3% 77.3% 16.0% 82.8% 3.6% 10.2% 176.9K -41.1M -352.5K 0.29 19.17 N/A N/A 2,810 803 56,396 50,281 2020-09-30 $29.74 $30.00 77.5% 22.2% 71.1% 14.0% 79.5% 3.5% 13.5% 207.4K -48.1M -356.5K 0.37 20.13 N/A N/A 5,395 1,980 56,619 51,504
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