CWH Options History — September 2021

In September 2021, CWH traded between $36.91 and $40.90. ATM implied volatility averaged 48.4%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 12.2% (HV 20d: 36.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2021-09-10: Highest Volume — 39,408 contracts
  • 2021-09-20: Largest IV spike — 13.3% change
  • 2021-09-20: Highest IV Rank — 9.0%
  • 2021-09-20: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$36.91$40.90$40.74$39.03
Max Pain$39.90$38.00$40.00$38.00$40.00
ATM IV48.4%45.8%52.4%50.5%51.5%
Expected Move13.8%12.9%15.3%14.5%14.3%
HV 20d36.2%30.7%43.4%43.4%33.5%
HV 60d40.9%39.9%42.2%41.5%40.7%
IV Rank2.4%0.0%9.0%3.1%7.8%
IV Percentile3.5%0.0%17.1%5.6%17.1%
Term Structure1.2%-5.8%8.6%-0.4%8.5%
VWIV49.0%45.8%54.5%51.2%50.0%
Skew 25d2.7%-0.6%4.8%0.3%4.8%
Skew 10d7.6%-0.2%26.0%-0.0%14.6%
Call IV 25d48.3%44.4%51.8%51.5%48.6%
Put IV 25d51.0%48.3%56.5%51.8%53.4%
Bid-Ask Spread %18.2711.8335.1215.0417.97
Gamma HHI0.120.050.560.100.12
Net GEX788.6K-430.3K4.1M1.2M806.5K
Net DEX-30.4M-56.2M8.0M-56.2M-25.7M
Net VEX-346.0K-395.3K-304.0K-395.3K-324.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.053.291.050.43
Total Volume6,261.5711,99939,4084,1774,101
Total OI86,913.95256,283107,18799,73269,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$40.74$38.0050.5%14.5%43.4%3.1%51.2%0.3%-0.4%1.2M-56.2M-395.3K1.0515.04N/AN/A2,0422,13546,50053,232
2021-09-02$40.57$40.0049.3%14.2%43.1%1.4%49.9%0.3%0.0%1.2M-54.2M-388.5K1.1214.02N/AN/A1,4841,66746,97954,090
2021-09-03$40.20$40.0047.5%13.8%42.9%0.0%49.1%1.0%0.5%1.2M-45.1M-383.6K0.9214.15N/AN/A1,5001,38546,97755,370
2021-09-07$39.88$40.0049.1%13.8%38.4%2.2%49.5%0.5%-0.7%316.0K-36.7M-366.1K0.9012.47N/AN/A3,2112,89444,88253,564
2021-09-08$39.14$40.0048.6%13.9%38.8%1.5%49.2%-0.6%-0.4%5.5K-23.2M-356.6K1.2813.78N/AN/A1,4421,84945,31254,471
2021-09-09$39.86$40.0049.3%14.1%39.4%2.6%49.6%1.7%-0.0%341.9K-36.5M-358.7K0.7711.83N/AN/A1,14587947,33255,395
2021-09-10$39.77$40.0048.7%14.0%38.9%1.8%49.6%1.1%0.1%652.9K-36.7M-349.4K0.0512.66N/AN/A37,5101,89847,98156,085
2021-09-13$39.67$40.0049.7%14.2%36.4%3.1%50.0%2.7%0.7%330.8K-33.4M-355.5K0.4512.60N/AN/A3,5961,60445,90354,255
2021-09-14$38.57$40.0049.8%14.3%37.8%3.3%50.8%3.5%-0.4%-19.8K-9.0M-347.9K0.4627.92N/AN/A3,6271,68145,55455,026
2021-09-15$39.03$40.0046.8%13.4%34.6%0.0%47.4%3.7%0.1%708.1K-17.9M-337.0K1.0425.47N/AN/A1,6111,67947,09455,845
2021-09-16$39.28$40.0045.9%13.2%33.3%0.0%46.5%3.1%-1.1%1.4M-31.8M-333.1K0.9115.07N/AN/A1,8001,63349,66657,015
2021-09-17$38.23$40.0046.3%13.3%34.8%0.5%47.4%3.8%-0.2%4.1M-9.5M-315.9K0.1713.00N/AN/A14,0232,42949,81757,370
2021-09-20$36.91$40.0052.4%15.3%36.8%9.0%54.5%4.7%-0.9%-430.3K8.0M-304.0K1.1519.53N/AN/A2,7623,18824,20032,083
2021-09-21$38.14$40.0049.4%14.1%38.3%4.8%50.5%4.8%-5.8%20.7K-11.3M-320.1K0.3923.02N/AN/A3,3921,33729,17033,541
2021-09-22$39.27$40.0047.6%13.6%32.0%2.3%47.6%3.9%0.4%321.2K-21.5M-333.7K0.5729.26N/AN/A2,7771,57630,10635,498
2021-09-23$39.71$40.0046.4%13.2%32.2%0.6%46.5%4.1%-1.5%880.1K-34.4M-341.2K0.6416.29N/AN/A2,0231,30433,38036,233
2021-09-24$39.55$40.0045.8%12.9%30.7%0.0%47.6%3.8%0.8%870.8K-32.6M-340.5K1.0217.47N/AN/A1,4171,44534,39736,530
2021-09-27$40.90$40.0046.0%12.9%31.9%0.2%45.8%1.9%8.4%821.0K-45.6M-332.8K0.7719.75N/AN/A2,0391,56832,67333,692
2021-09-28$40.55$40.0048.4%13.9%31.9%3.6%49.3%3.9%7.5%767.5K-41.6M-341.0K3.2935.12N/AN/A1,3614,48033,51134,817
2021-09-29$40.57$40.0048.4%13.9%31.6%3.5%47.6%4.4%8.6%1.0M-43.4M-341.4K0.6217.24N/AN/A1,23276734,87235,288
2021-09-30$39.03$40.0051.5%14.3%33.5%7.8%50.0%4.8%8.5%806.5K-25.7M-324.1K0.4317.97N/AN/A2,8721,22935,42434,063