CGW Options History — July 2007

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

In July 2007, CGW traded between $24.63 and $26.34. ATM implied volatility averaged 14.4%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.1% (HV 20d: 13.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2007-07-13: Highest Volume — 45 contracts
2007-07-26: Largest IV spike — 85.2% change
2007-07-26: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.73	$24.63	$26.34	$25.85	$24.76
Max Pain	$25.95	$25.00	$26.00	$25.00	$26.00
ATM IV	14.4%	10.7%	20.0%	14.6%	14.0%
Expected Move	4.3%	3.1%	5.7%	4.2%	4.0%
HV 20d	13.3%	10.1%	18.5%	15.5%	17.7%
Term Structure	0.4%	-4.0%	3.3%	-0.4%	0.8%
VWIV	12.7%	11.5%	14.0%	11.5%	14.0%
Skew 25d	2.5%	-1.7%	7.3%	0.9%	0.5%
Skew 10d	2.9%	1.5%	4.4%	2.7%	2.2%
Call IV 25d	12.3%	9.5%	29.0%	11.5%	13.0%
Put IV 25d	14.8%	9.7%	29.1%	12.4%	13.5%
Bid-Ask Spread %	75.63	34.65	139.03	34.65	59.76
Gamma HHI	0.33	0.21	0.41	0.36	0.22
Net GEX	14.3K	9.3K	20.6K	12.9K	11.8K
Net DEX	-209.6K	-279.6K	-138.7K	-189.9K	-184.6K
Net VEX	-970	-1.2K	-768	-870	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	2.50	0.00	2.50
Total Volume	7.048	0	45	15	7
Total OI	212.476	179	252	189	252

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
2007-07-02	$25.85	$25.00	14.6%	4.2%	15.5%	0.0%	11.5%	0.9%	-0.4%	12.9K	-189.9K	-870	0.00	34.65	N/A	N/A	15	0	158	31
2007-07-03	$25.88	$26.00	13.9%	4.0%	15.3%	0.0%	14.0%	1.6%	1.1%	12.1K	-176.4K	-865	0.00	43.19	N/A	N/A	5	0	153	31
2007-07-05	$25.88	$26.00	13.7%	3.9%	14.3%	0.0%	0.0%	1.1%	0.9%	13.5K	-181.8K	-874	0.00	44.62	N/A	N/A	10	0	158	31
2007-07-06	$25.75	$26.00	10.7%	4.1%	12.1%	0.0%	0.0%	7.3%	0.1%	13.5K	-173.0K	-835	0.00	80.55	N/A	N/A	0	0	148	31
2007-07-09	$25.90	$26.00	14.4%	4.1%	12.0%	0.0%	0.0%	6.4%	0.9%	13.0K	-175.7K	-796	0.00	83.33	N/A	N/A	1	0	148	31
2007-07-10	$25.76	$26.00	12.3%	4.2%	12.3%	0.0%	0.0%	5.6%	0.8%	12.7K	-159.1K	-768	0.00	81.63	N/A	N/A	0	0	149	31
2007-07-11	$25.83	$26.00	12.3%	4.3%	10.1%	0.0%	0.0%	5.0%	0.1%	13.2K	-167.3K	-795	0.00	83.53	N/A	N/A	0	0	149	31
2007-07-12	$26.26	$26.00	15.2%	4.4%	11.1%	0.0%	0.0%	1.2%	0.6%	13.8K	-202.5K	-825	0.00	75.11	N/A	N/A	0	0	149	31
2007-07-13	$26.34	$26.00	15.4%	4.4%	10.1%	0.0%	0.0%	1.6%	0.1%	13.4K	-206.5K	-787	0.00	75.28	N/A	N/A	45	0	149	31
2007-07-16	$26.20	$26.00	15.8%	4.5%	10.1%	0.0%	0.0%	3.5%	-0.3%	17.8K	-279.6K	-1.0K	1.00	78.01	N/A	N/A	4	4	194	31
2007-07-17	$25.95	$26.00	14.3%	4.1%	10.8%	0.0%	0.0%	2.8%	0.5%	19.6K	-266.9K	-1.1K	0.00	78.80	N/A	N/A	0	0	197	35
2007-07-18	$25.96	$26.00	14.8%	4.2%	10.8%	0.0%	0.0%	2.4%	1.7%	19.8K	-262.6K	-1.1K	0.00	78.64	N/A	N/A	0	0	197	35
2007-07-19	$26.09	$26.00	15.8%	4.5%	10.8%	0.0%	0.0%	4.0%	-0.4%	20.5K	-273.9K	-1.1K	0.00	78.69	N/A	N/A	0	0	197	35
2007-07-20	$25.92	$26.00	14.5%	4.2%	11.1%	0.0%	0.0%	1.3%	1.1%	20.6K	-254.9K	-1.0K	0.00	79.75	N/A	N/A	0	0	197	35
2007-07-23	$26.28	$26.00	14.7%	4.2%	11.4%	0.0%	0.0%	4.1%	0.8%	13.3K	-267.1K	-1.0K	0.00	82.77	N/A	N/A	10	0	186	34
2007-07-24	$25.67	$26.00	14.6%	4.2%	14.5%	0.0%	0.0%	3.4%	0.0%	13.6K	-238.7K	-1.1K	2.00	67.84	N/A	N/A	4	8	196	34
2007-07-25	$25.69	$26.00	10.8%	3.1%	14.4%	0.0%	0.0%	-1.7%	3.3%	13.6K	-247.4K	-1.2K	0.00	68.16	N/A	N/A	2	0	200	42
2007-07-26	$24.92	$26.00	20.0%	5.7%	18.1%	0.0%	0.0%	0.1%	-4.0%	11.1K	-185.5K	-1.1K	0.00	139.03	N/A	N/A	7	0	202	42
2007-07-27	$24.63	$26.00	16.2%	4.6%	18.5%	0.0%	0.0%	1.7%	-1.0%	9.3K	-138.7K	-1.0K	0.00	102.08	N/A	N/A	3	0	197	42
2007-07-30	$24.83	$26.00	14.9%	4.3%	18.3%	0.0%	0.0%	-0.2%	0.8%	10.8K	-170.3K	-1.1K	0.00	72.87	N/A	N/A	23	0	200	42
2007-07-31	$24.76	$26.00	14.0%	4.0%	17.7%	0.0%	0.0%	0.5%	0.8%	11.8K	-184.6K	-1.1K	2.50	59.76	N/A	N/A	2	5	210	42