CWH Options History — November 2020

In November 2020, CWH traded between $24.45 and $31.26. ATM implied volatility averaged 73.6%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 5.0% (HV 20d: 78.6%). Max pain ranged from $22.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-11-09: Highest Volume — 24,642 contracts
  • 2020-11-04: Largest IV drop — 5.6% change
  • 2020-11-02: Highest IV Rank — 17.8%
  • 2020-11-02: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.74$24.45$31.26$27.18$30.58
Max Pain$22.95$22.00$27.00$27.00$23.00
ATM IV73.6%67.3%84.6%84.6%70.0%
Expected Move21.6%20.0%27.9%27.9%21.3%
HV 20d78.6%54.6%88.9%54.6%83.0%
HV 60d72.5%66.6%76.6%66.6%70.4%
IV Rank11.9%8.5%17.8%17.8%10.0%
IV Percentile26.4%20.2%38.1%38.1%21.8%
Term Structure0.0%-2.2%4.7%0.3%0.1%
VWIV75.5%68.8%92.2%92.2%74.1%
Skew 25d4.9%0.6%9.4%7.3%2.0%
Skew 10d10.7%4.5%18.4%15.3%4.5%
Call IV 25d71.6%67.8%83.3%83.3%68.9%
Put IV 25d76.5%69.4%90.6%90.6%70.9%
Bid-Ask Spread %26.5515.8755.8426.5922.22
Gamma HHI0.100.080.140.080.08
Net GEX1.1M346.5K1.6M733.0K944.8K
Net DEX-68.5M-101.8M-16.1M-48.4M-84.3M
Net VEX-293.0K-318.0K-258.5K-306.6K-274.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.161.160.590.29
Total Volume8,670.52,34324,64220,09811,965
Total OI111,891.95102,070120,920105,008103,257

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$27.18$27.0084.6%27.9%54.6%17.8%92.2%7.3%0.3%733.0K-48.4M-306.6K0.5926.59N/AN/A12,6417,45760,78044,228
2020-11-03$29.35$27.0080.2%24.0%62.3%15.4%85.6%9.4%1.0%1.1M-72.5M-309.2K0.6319.50N/AN/A5,3683,36060,78044,228
2020-11-04$30.11$27.0075.7%22.0%62.7%13.0%77.5%9.3%-1.1%1.4M-83.9M-318.0K0.7525.54N/AN/A3,8802,91163,97846,552
2020-11-05$30.50$22.0073.7%22.0%61.6%11.9%79.6%6.8%1.1%1.5M-89.9M-314.1K0.4331.11N/AN/A6,0352,58064,17446,090
2020-11-06$28.61$22.0074.4%21.6%65.5%12.3%75.7%6.5%4.7%1.3M-63.2M-299.6K0.6225.96N/AN/A4,3842,70366,61147,107
2020-11-09$24.45$22.0074.9%22.0%85.1%12.6%76.5%5.2%3.0%346.5K-16.1M-258.5K0.2555.84N/AN/A19,7194,92361,59245,202
2020-11-10$25.57$22.0075.8%21.9%84.8%13.0%76.5%4.5%0.5%610.1K-33.5M-288.3K0.3835.08N/AN/A7,4322,82867,06848,357
2020-11-11$25.87$22.0074.1%21.6%84.7%12.1%74.7%5.2%1.6%723.0K-36.9M-295.5K0.1632.10N/AN/A4,91878968,58749,745
2020-11-12$26.20$22.0074.3%21.3%83.1%12.3%73.9%5.6%0.4%833.9K-41.1M-299.5K0.4924.66N/AN/A1,59878669,79550,246
2020-11-13$28.29$22.0073.9%21.3%88.7%12.0%74.1%4.4%0.6%1.1M-70.5M-312.3K0.3125.65N/AN/A7,7372,42170,18550,735
2020-11-16$28.37$22.0074.2%21.3%88.6%12.2%78.0%5.1%-1.7%969.8K-66.5M-300.3K0.7622.03N/AN/A3,0432,31966,04449,547
2020-11-17$28.85$22.0074.0%21.2%88.9%12.1%74.1%5.8%-1.9%1.1M-72.7M-297.8K0.4131.44N/AN/A2,6811,10866,63649,635
2020-11-18$28.80$22.0073.0%20.9%80.8%11.5%72.7%3.6%-0.4%1.1M-71.6M-290.8K0.8533.50N/AN/A3,1232,65566,74850,047
2020-11-19$29.14$22.0071.3%20.5%80.9%10.7%71.4%4.8%-0.3%1.1M-74.2M-279.6K1.1631.95N/AN/A3,0753,58266,96950,379
2020-11-20$28.78$22.0070.9%20.5%81.0%10.4%71.0%3.7%-2.2%794.7K-66.3M-278.5K1.0418.58N/AN/A1,8171,88966,37450,552
2020-11-23$31.16$22.0071.9%21.0%84.3%11.0%73.4%3.9%-1.2%931.2K-90.2M-281.2K0.5615.87N/AN/A10,8766,04356,29345,777
2020-11-24$31.15$23.0069.7%20.1%84.1%9.8%70.1%0.6%-1.3%1.5M-97.2M-286.1K0.4216.64N/AN/A6,0972,59061,05844,666
2020-11-25$30.49$23.0067.3%20.0%84.6%8.5%68.8%2.2%-1.2%1.5M-89.0M-288.3K0.5316.71N/AN/A2,4341,30062,79145,599
2020-11-27$31.26$23.0068.2%20.1%82.9%9.0%71.1%2.3%-1.3%1.6M-101.8M-282.4K0.6320.11N/AN/A1,43590863,53945,888
2020-11-30$30.58$23.0070.0%21.3%83.0%10.0%74.1%2.0%0.1%944.8K-84.3M-274.4K0.2922.22N/AN/A9,2912,67458,95744,300