CGW Options History — September 2007

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

In September 2007, CGW traded between $24.20 and $26.01. ATM implied volatility averaged 20.1%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.4% (HV 20d: 24.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2007-09-28: Highest Volume — 74 contracts
2007-09-26: Largest IV drop — 11.4% change
2007-09-17: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.99	$24.20	$26.01	$25.17	$26.01
Max Pain	$23.16	$23.00	$24.00	$24.00	$23.00
ATM IV	20.1%	18.1%	21.5%	20.6%	20.6%
Expected Move	5.8%	5.2%	6.1%	5.9%	5.9%
HV 20d	24.6%	17.7%	30.1%	29.0%	17.7%
HV 60d	21.8%	21.2%	22.2%	21.2%	22.2%
Term Structure	0.1%	-1.2%	0.9%	0.4%	0.6%
VWIV	20.5%	19.4%	21.5%	21.5%	19.4%
Skew 25d	4.1%	1.1%	10.4%	10.4%	2.0%
Skew 10d	1.5%	-3.5%	10.5%	8.1%	-3.5%
Call IV 25d	17.4%	12.6%	20.6%	12.6%	20.6%
Put IV 25d	21.5%	19.3%	23.1%	23.0%	22.6%
Bid-Ask Spread %	40.40	24.68	54.28	46.59	24.69
Gamma HHI	0.36	0.24	0.48	0.32	0.24
Net GEX	26.7K	18.1K	39.3K	23.4K	27.6K
Net DEX	-324.1K	-433.2K	-177.9K	-338.0K	-433.2K
Net VEX	-1.5K	-1.6K	-1.4K	-1.6K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	10.00	0.00	0.00
Total Volume	8	0	74	2	74
Total OI	453.158	409	489	457	424

Daily Data (19 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
2007-09-04	$25.17	$24.00	20.6%	5.9%	29.0%	0.0%	0.0%	10.4%	0.4%	23.4K	-338.0K	-1.6K	0.00	46.59	N/A	N/A	2	0	366	91
2007-09-05	$24.65	$24.00	19.7%	5.6%	30.0%	0.0%	0.0%	3.1%	0.6%	21.6K	-259.2K	-1.6K	0.00	46.69	N/A	N/A	0	0	364	91
2007-09-06	$24.63	$24.00	20.2%	5.8%	29.7%	0.0%	0.0%	3.0%	0.2%	21.5K	-255.2K	-1.6K	0.00	46.77	N/A	N/A	0	0	364	91
2007-09-07	$24.20	$23.00	21.5%	6.1%	30.1%	0.0%	0.0%	7.0%	-1.2%	18.1K	-177.9K	-1.4K	0.00	48.83	N/A	N/A	0	0	364	91
2007-09-10	$24.21	$23.00	20.6%	6.1%	29.9%	0.0%	0.0%	7.3%	-0.6%	19.6K	-198.5K	-1.4K	0.00	54.28	N/A	N/A	10	0	364	91
2007-09-11	$24.53	$23.00	19.5%	5.8%	30.0%	0.0%	0.0%	3.6%	0.0%	21.9K	-265.5K	-1.4K	0.00	36.07	N/A	N/A	0	0	374	91
2007-09-12	$24.70	$23.00	19.9%	5.7%	29.2%	0.0%	0.0%	4.2%	-0.4%	23.9K	-291.7K	-1.5K	0.00	40.09	N/A	N/A	2	0	374	91
2007-09-13	$24.80	$23.00	19.7%	5.6%	28.9%	0.0%	0.0%	3.7%	-0.1%	26.4K	-312.1K	-1.5K	0.00	37.64	N/A	N/A	0	0	376	91
2007-09-14	$24.71	$23.00	19.8%	5.7%	22.1%	0.0%	0.0%	4.5%	0.7%	25.7K	-302.6K	-1.4K	0.00	40.82	N/A	N/A	10	0	376	91
2007-09-17	$24.47	$23.00	21.2%	6.1%	22.2%	0.0%	0.0%	6.5%	0.0%	28.2K	-264.9K	-1.4K	0.00	48.08	N/A	N/A	0	0	386	91
2007-09-18	$25.12	$23.00	20.7%	5.9%	22.9%	0.0%	0.0%	3.5%	-0.7%	33.3K	-398.7K	-1.4K	0.00	45.73	N/A	N/A	0	0	386	91
2007-09-19	$25.19	$23.00	20.4%	5.8%	22.8%	0.0%	0.0%	2.8%	0.1%	35.6K	-397.8K	-1.4K	0.00	45.91	N/A	N/A	1	0	386	91
2007-09-20	$25.15	$23.00	20.0%	5.7%	21.6%	0.0%	21.5%	3.9%	0.9%	39.3K	-395.3K	-1.4K	10.00	47.99	N/A	N/A	1	10	387	91
2007-09-21	$25.29	$23.00	20.0%	5.7%	21.7%	0.0%	0.0%	3.4%	0.8%	33.7K	-416.9K	-1.5K	0.00	24.68	N/A	N/A	0	0	388	101
2007-09-24	$25.20	$23.00	20.3%	5.8%	21.0%	0.0%	0.0%	2.9%	0.3%	26.4K	-315.4K	-1.4K	0.00	29.97	N/A	N/A	0	0	348	61
2007-09-25	$25.27	$23.00	20.5%	5.9%	21.0%	0.0%	0.0%	3.1%	-0.1%	26.9K	-325.3K	-1.4K	0.00	35.64	N/A	N/A	0	0	348	61
2007-09-26	$25.60	$23.00	18.1%	5.2%	18.8%	0.0%	0.0%	1.1%	0.2%	27.2K	-383.8K	-1.4K	0.83	42.07	N/A	N/A	6	5	348	61
2007-09-27	$25.95	$23.00	19.2%	5.5%	17.8%	0.0%	19.4%	1.9%	-0.2%	27.4K	-425.6K	-1.4K	0.00	25.13	N/A	N/A	31	0	354	66
2007-09-28	$26.01	$23.00	20.6%	5.9%	17.7%	0.0%	0.0%	2.0%	0.6%	27.6K	-433.2K	-1.4K	0.00	24.69	N/A	N/A	74	0	358	66