CGW Options History — June 2007

Name: CGW Options Analytics - June 2007
Creator: Options Analysis Suite

In June 2007, CGW traded between $24.65 and $25.87. ATM implied volatility averaged 12.8%. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 2.8% (HV 20d: 15.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.18.

Notable Days

2007-06-05: Highest Volume — 70 contracts
2007-06-06: Largest IV spike — 32.7% change
2007-06-08: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.29	$24.65	$25.87	$25.67	$25.57
Max Pain	$25.05	$25.00	$26.00	$26.00	$25.00
ATM IV	12.8%	8.5%	17.7%	8.5%	9.5%
Expected Move	3.6%	2.4%	4.1%	2.4%	2.7%
HV 20d	15.5%	14.8%	16.4%	16.4%	15.2%
Term Structure	2.1%	-2.3%	7.2%	1.9%	7.2%
VWIV	13.6%	10.9%	17.8%	12.1%	10.9%
Skew 25d	2.8%	0.5%	7.3%	1.7%	7.3%
Skew 10d	2.9%	0.4%	10.1%	1.5%	3.3%
Call IV 25d	11.8%	8.3%	32.8%	10.4%	8.3%
Put IV 25d	14.6%	9.4%	39.2%	12.1%	15.6%
Bid-Ask Spread %	70.46	50.90	115.27	109.96	50.90
Gamma HHI	0.40	0.30	1.00	1.00	0.32
Net GEX	8.0K	0	12.2K	0	12.2K
Net DEX	-110.1K	-160.7K	0	0	-160.7K
Net VEX	-649	-847	0	0	-843
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	2.00	0.00	0.00
Total Volume	9	0	70	10	0
Total OI	145.619	0	189	0	189

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
2007-06-01	$25.67	$0.00	8.5%	2.4%	0.0%	0.0%	0.0%	1.7%	1.9%	0	0	0	0.00	109.96	N/A	N/A	10	0	0	0
2007-06-04	$25.87	$0.00	10.6%	3.5%	0.0%	0.0%	12.1%	0.5%	2.0%	865	-6.3K	-60	0.00	66.40	N/A	N/A	30	0	10	0
2007-06-05	$25.71	$26.00	10.7%	3.2%	0.0%	0.0%	17.8%	4.2%	3.1%	4.3K	-62.2K	-173	0.00	62.17	N/A	N/A	70	0	40	0
2007-06-06	$25.35	$25.00	14.2%	4.0%	0.0%	0.0%	0.0%	3.8%	2.0%	10.1K	-108.4K	-547	2.00	74.01	N/A	N/A	10	20	110	0
2007-06-07	$24.83	$25.00	11.8%	3.6%	0.0%	0.0%	0.0%	1.4%	1.7%	8.7K	-81.3K	-622	0.00	66.18	N/A	N/A	0	0	120	20
2007-06-08	$25.01	$25.00	14.0%	4.1%	0.0%	0.0%	0.0%	2.3%	0.8%	8.5K	-85.0K	-629	0.00	65.05	N/A	N/A	0	10	120	20
2007-06-11	$25.08	$25.00	14.8%	4.1%	0.0%	0.0%	0.0%	3.7%	1.0%	7.8K	-76.0K	-670	0.00	65.96	N/A	N/A	10	0	120	30
2007-06-12	$24.65	$25.00	16.8%	3.7%	0.0%	0.0%	0.0%	3.1%	1.6%	7.2K	-84.2K	-697	0.00	65.56	N/A	N/A	0	0	130	30
2007-06-13	$24.85	$25.00	17.7%	4.0%	0.0%	0.0%	0.0%	0.6%	0.4%	7.8K	-94.2K	-683	0.00	66.30	N/A	N/A	0	0	130	30
2007-06-14	$25.24	$25.00	14.5%	4.1%	0.0%	0.0%	0.0%	3.0%	0.6%	9.2K	-108.9K	-728	0.00	109.96	N/A	N/A	1	0	130	30
2007-06-15	$25.46	$25.00	12.7%	3.6%	0.0%	0.0%	0.0%	3.4%	3.2%	8.2K	-124.9K	-759	0.00	61.43	N/A	N/A	5	0	131	30
2007-06-18	$25.46	$25.00	12.8%	3.7%	0.0%	0.0%	0.0%	1.8%	3.3%	7.8K	-131.5K	-735	0.00	61.83	N/A	N/A	10	0	136	30
2007-06-19	$25.54	$25.00	10.3%	3.0%	0.0%	0.0%	0.0%	3.0%	3.7%	9.1K	-149.2K	-811	0.00	60.86	N/A	N/A	0	0	146	30
2007-06-20	$25.45	$25.00	11.7%	3.4%	0.0%	0.0%	0.0%	6.3%	3.2%	6.4K	-148.7K	-760	0.00	115.27	N/A	N/A	6	0	146	30
2007-06-21	$25.43	$25.00	11.1%	3.2%	16.4%	0.0%	0.0%	4.4%	1.8%	7.3K	-155.3K	-781	0.00	65.09	N/A	N/A	3	0	152	30
2007-06-22	$25.21	$25.00	12.2%	3.5%	16.2%	0.0%	10.9%	1.7%	2.4%	9.9K	-148.1K	-817	0.00	62.63	N/A	N/A	0	1	155	30
2007-06-25	$25.15	$25.00	12.3%	3.5%	15.7%	0.0%	0.0%	1.9%	2.4%	9.8K	-146.9K	-828	0.00	63.27	N/A	N/A	3	0	155	31
2007-06-26	$25.07	$25.00	14.3%	4.1%	15.3%	0.0%	0.0%	2.7%	0.6%	11.3K	-143.2K	-847	0.00	58.95	N/A	N/A	0	0	158	31
2007-06-27	$25.25	$25.00	13.4%	3.8%	15.1%	0.0%	0.0%	1.9%	3.5%	9.8K	-144.4K	-810	0.00	62.82	N/A	N/A	0	0	158	31
2007-06-28	$25.30	$25.00	14.1%	4.0%	14.8%	0.0%	0.0%	0.9%	-2.3%	11.7K	-152.6K	-827	0.00	65.14	N/A	N/A	0	0	158	31
2007-06-29	$25.57	$25.00	9.5%	2.7%	15.2%	0.0%	0.0%	7.3%	7.2%	12.2K	-160.7K	-843	0.00	50.90	N/A	N/A	0	0	158	31