CWH Options History — December 2020

In December 2020, CWH traded between $26.23 and $31.97. ATM implied volatility averaged 69.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 5.8% (HV 20d: 63.8%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-12-15: Highest Volume — 39,919 contracts
  • 2020-12-15: Largest IV spike — 6.9% change
  • 2020-12-15: Highest IV Rank — 12.4%
  • 2020-12-15: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$26.23$31.97$31.97$26.23
Max Pain$23.24$21.00$25.00$24.00$24.09
ATM IV69.5%66.9%74.5%68.9%67.8%
Expected Move20.1%19.1%21.4%20.5%19.3%
HV 20d63.8%45.7%83.7%83.7%59.7%
HV 60d66.9%62.8%71.0%71.0%67.5%
IV Rank9.6%7.9%12.4%9.3%8.4%
IV Percentile19.1%12.3%28.2%21.0%13.1%
Term Structure0.2%-3.5%2.0%-1.1%1.8%
VWIV70.6%66.8%75.7%72.2%67.4%
Skew 25d3.0%0.2%3.9%3.3%3.6%
Skew 10d6.9%-1.7%15.1%6.4%7.3%
Call IV 25d68.8%65.9%73.0%67.6%66.9%
Put IV 25d71.8%68.1%75.3%70.9%70.6%
Bid-Ask Spread %33.9319.8644.8927.0533.50
Gamma HHI0.080.050.130.060.05
Net GEX1.1M02.3M1.1M755.6K
Net DEX-60.9M-108.3M0-108.3M-24.4M
Net VEX-256.0K-289.2K0-285.9K-259.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.050.940.320.32
Total Volume8,3572,93339,9197,5809,467
Total OI99,918.7270122,446107,90094,413

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$31.97$24.0068.9%20.5%83.7%9.3%72.2%3.3%-1.1%1.1M-108.3M-285.9K0.3227.05N/AN/A5,7601,82062,35345,547
2020-12-02$30.88$25.0069.7%20.6%80.9%9.8%72.2%3.8%-0.4%1.1M-90.9M-289.2K0.4020.76N/AN/A4,1851,68762,96546,419
2020-12-03$30.16$21.0068.1%20.1%80.9%8.9%69.7%0.2%1.2%955.4K-82.2M-284.3K0.7824.36N/AN/A2,1161,65264,56647,389
2020-12-04$30.16$21.0068.7%20.1%80.8%9.3%70.3%3.2%-0.1%338.5K-81.5M-281.2K0.3619.86N/AN/A3,1271,11165,00048,213
2020-12-07$30.43$21.0071.1%20.4%77.2%10.5%70.6%3.0%-0.5%770.2K-82.2M-274.1K0.3524.90N/AN/A2,85399361,78746,899
2020-12-08$29.32$21.0069.8%20.3%51.8%9.9%71.2%2.0%0.3%611.4K-66.9M-266.3K0.3632.19N/AN/A3,7091,33162,33747,489
2020-12-09$29.12$22.0071.3%20.4%50.3%10.6%70.6%3.8%-0.5%608.4K-66.5M-272.2K0.1727.44N/AN/A8,1441,38864,39548,410
2020-12-10$28.62$22.0070.6%20.3%50.9%10.3%70.9%2.8%-0.2%710.8K-62.4M-272.9K0.1931.93N/AN/A4,81389967,96248,759
2020-12-11$28.48$22.0069.4%20.2%50.9%9.6%70.1%2.6%1.6%868.9K-62.1M-269.5K0.5832.91N/AN/A2,3471,35470,07849,135
2020-12-14$27.30$0.0069.7%20.1%45.7%9.8%71.0%3.6%-1.6%0000.2242.67N/AN/A3,62379200
2020-12-15$30.53$24.0974.5%21.4%61.0%12.4%75.7%2.3%-3.5%1.3M-90.5M-258.2K0.0533.69N/AN/A38,1481,77162,05547,778
2020-12-16$28.62$24.0970.0%20.1%65.4%9.9%69.8%3.6%-1.7%2.3M-60.0M-257.6K0.1333.44N/AN/A14,2111,80670,83348,722
2020-12-17$28.45$24.0970.5%20.3%65.4%10.2%70.6%2.9%-0.1%2.2M-56.6M-256.6K0.2233.02N/AN/A3,94386973,07249,374
2020-12-18$28.86$24.0969.5%20.1%65.5%9.7%72.8%3.7%-2.0%1.2M-63.0M-253.1K0.1336.95N/AN/A9,7611,26971,68949,595
2020-12-21$27.72$24.0970.7%19.4%66.9%10.3%70.9%3.1%1.0%1.2M-40.0M-236.5K0.5340.54N/AN/A8,1164,32049,26131,138
2020-12-22$28.24$24.0970.7%20.3%60.2%10.0%71.8%2.7%2.0%1.5M-51.4M-271.9K0.2141.71N/AN/A5,7321,23054,27834,708
2020-12-23$29.15$24.0966.9%19.4%61.6%7.9%68.1%3.2%2.0%1.6M-61.3M-269.8K0.3444.89N/AN/A5,6021,93253,20635,463
2020-12-24$29.24$24.0966.9%19.1%61.2%7.9%66.8%3.9%2.0%1.6M-63.4M-271.2K0.2638.64N/AN/A2,32660754,99236,180
2020-12-28$27.95$24.0968.4%19.8%62.2%8.7%71.2%1.8%1.4%1.2M-44.8M-258.8K0.3538.72N/AN/A6,0282,10051,45334,729
2020-12-29$27.49$24.0968.9%20.2%62.0%9.0%67.9%3.9%0.9%1.1M-42.3M-267.9K0.9443.91N/AN/A3,1742,98255,08536,352
2020-12-30$27.35$24.0968.0%19.5%59.2%8.5%70.5%3.5%1.4%1.1M-39.3M-274.6K0.2043.36N/AN/A3,97478255,95438,179
2020-12-31$26.23$24.0967.8%19.3%59.7%8.4%67.4%3.6%1.8%755.6K-24.4M-259.8K0.3233.50N/AN/A7,1532,31455,78438,629