CGW Options History — August 2007

In August 2007, CGW traded between $22.75 and $25.23. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.1% (HV 20d: 24.0%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.67.

Notable Days

  • 2007-08-24: Highest Volume — 94 contracts
  • 2007-08-06: Largest IV spike — 70.7% change
  • 2007-08-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.34$22.75$25.23$25.05$25.13
Max Pain$24.55$24.00$26.00$26.00$24.00
ATM IV20.9%14.4%24.6%17.4%19.2%
Expected Move6.0%4.1%7.1%5.0%5.5%
HV 20d24.0%18.3%29.9%18.3%29.9%
HV 60d19.0%16.4%21.6%16.6%21.6%
Term Structure-0.6%-2.9%1.8%-0.3%1.6%
VWIV21.4%17.6%24.3%23.3%19.1%
Skew 25d5.2%-0.9%8.6%2.3%4.3%
Skew 10d4.6%0.8%9.8%1.7%4.4%
Call IV 25d16.9%12.3%21.2%13.7%18.7%
Put IV 25d22.1%12.8%25.1%16.0%23.0%
Bid-Ask Spread %41.4526.7070.2570.2540.34
Gamma HHI0.220.170.310.230.30
Net GEX10.2K96322.2K12.2K22.2K
Net DEX-157.8K-352.8K18.0K-199.9K-352.8K
Net VEX-1.4K-1.7K-1.1K-1.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0021.001.000.00
Total Volume14.1360941011
Total OI341.136259466259466

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$25.05$26.0017.4%5.0%18.3%0.0%0.0%2.3%-0.3%12.2K-199.9K-1.2K0.0070.25N/AN/A01021247
2007-08-02$25.13$26.0016.6%4.7%18.4%0.0%0.0%3.1%1.1%11.3K-195.3K-1.3K1.0043.31N/AN/A2221257
2007-08-03$24.65$26.0014.4%4.1%19.4%0.0%0.0%-0.9%1.8%9.6K-161.9K-1.2K0.0046.28N/AN/A2021459
2007-08-06$24.80$24.0024.6%6.4%19.4%0.0%0.0%6.9%-2.9%9.6K-180.3K-1.3K0.0033.00N/AN/A0021459
2007-08-07$25.04$24.0023.0%6.5%19.8%0.0%23.3%8.4%-1.5%9.5K-181.2K-1.3K0.8033.19N/AN/A5421459
2007-08-08$25.23$25.0023.5%6.5%20.0%0.0%24.3%4.7%-2.4%9.7K-191.1K-1.3K0.0031.17N/AN/A0520963
2007-08-09$24.94$25.0023.9%6.4%19.2%0.0%0.0%6.9%-2.1%8.8K-168.5K-1.3K0.1833.68N/AN/A22420963
2007-08-10$24.58$25.0020.8%6.2%19.5%0.0%0.0%4.7%-1.7%8.2K-144.1K-1.3K0.0034.83N/AN/A4022963
2007-08-13$24.11$25.0021.5%6.3%20.3%0.0%0.0%3.8%-2.0%7.1K-124.2K-1.2K0.0029.16N/AN/A0423163
2007-08-14$23.88$25.0021.3%6.4%20.3%0.0%22.2%4.8%-2.3%5.7K-78.8K-1.2K14.0026.70N/AN/A22823167
2007-08-16$22.75$25.0024.6%7.1%25.6%0.0%23.7%3.0%-1.8%2.6K17.1K-1.1K21.0041.13N/AN/A24224591
2007-08-17$23.10$24.0021.5%6.2%26.5%0.0%19.3%5.7%-0.0%96318.0K-1.1K5.0053.25N/AN/A210247103
2007-08-20$23.57$24.0021.1%6.0%28.0%0.0%20.6%8.6%0.4%3.9K-70.5K-1.2K0.6746.21N/AN/A12824383
2007-08-21$23.46$24.0022.5%6.4%27.2%0.0%0.0%7.0%0.1%4.6K-71.5K-1.3K0.0055.81N/AN/A10025791
2007-08-22$24.00$24.0021.3%6.1%28.1%0.0%23.9%4.6%-0.1%7.7K-137.9K-1.4K0.0044.42N/AN/A0426791
2007-08-23$24.00$24.0021.7%6.2%28.1%0.0%21.6%6.0%-0.3%7.6K-135.7K-1.4K0.0035.44N/AN/A5026791
2007-08-24$24.42$24.0021.9%6.3%27.1%0.0%0.0%6.8%-1.0%9.7K-166.1K-1.4K0.0037.43N/AN/A94026891
2007-08-27$24.55$24.0018.7%5.4%26.9%0.0%0.0%7.1%1.1%18.8K-241.9K-1.7K0.0037.19N/AN/A0036291
2007-08-28$23.94$24.0019.9%5.7%28.1%0.0%0.0%7.6%0.0%14.5K-153.1K-1.5K0.0054.08N/AN/A12036291
2007-08-29$24.49$24.0021.5%6.2%29.4%0.0%17.6%3.0%-0.3%19.7K-261.6K-1.6K0.0041.45N/AN/A1037091
2007-08-30$24.70$24.0019.5%5.6%29.2%0.0%19.5%5.4%-0.1%20.9K-289.7K-1.7K0.0043.60N/AN/A4037191
2007-08-31$25.13$24.0019.2%5.5%29.9%0.0%19.1%4.3%1.6%22.2K-352.8K-1.7K0.0040.34N/AN/A11037591