CGW Options History — October 2007

In October 2007, CGW traded between $25.69 and $26.54. ATM implied volatility averaged 17.1%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.7% (HV 20d: 15.3%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-10-05: Highest Volume — 81 contracts
  • 2007-10-31: Largest IV drop — 20.6% change
  • 2007-10-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.16$25.69$26.54$26.30$26.54
Max Pain$25.48$23.00$26.00$23.00$26.00
ATM IV17.1%13.3%21.4%21.3%13.3%
Expected Move4.9%3.8%6.1%6.1%3.8%
HV 20d15.3%12.8%17.3%17.2%15.2%
HV 60d22.1%21.2%22.6%22.3%21.2%
Term Structure1.4%-0.3%2.4%-0.1%2.4%
VWIV17.8%16.6%18.6%18.2%18.6%
Skew 25d3.5%-3.7%7.7%5.5%3.5%
Skew 10d3.2%-3.0%8.1%8.1%3.0%
Call IV 25d14.0%10.4%19.7%17.7%14.6%
Put IV 25d17.5%12.6%23.1%23.1%18.1%
Bid-Ask Spread %51.7428.9568.0428.9550.05
Gamma HHI0.310.210.370.210.33
Net GEX50.8K31.5K64.0K31.5K58.9K
Net DEX-531.3K-713.6K-312.1K-502.7K-570.4K
Net VEX-1.4K-1.7K-1.2K-1.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume10.87081101
Total OI508.87446578456489

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$26.30$23.0021.3%6.1%17.2%0.0%0.0%5.5%-0.1%31.5K-502.7K-1.6K0.0028.95N/AN/A10039066
2007-10-02$26.20$23.0021.4%6.1%17.3%0.0%0.0%2.3%-0.3%32.1K-463.8K-1.5K0.0030.78N/AN/A24038066
2007-10-03$25.85$23.0019.2%5.5%16.2%0.0%0.0%7.7%2.1%34.3K-432.5K-1.5K0.0031.24N/AN/A2040066
2007-10-04$25.85$23.0020.4%5.8%16.1%0.0%0.0%7.4%1.3%34.6K-440.7K-1.5K0.0034.31N/AN/A0040266
2007-10-05$26.21$26.0018.5%5.7%14.8%0.0%18.2%6.6%1.1%34.5K-520.9K-1.5K0.0061.48N/AN/A81040266
2007-10-08$26.10$26.0017.1%4.9%15.0%0.0%16.6%4.0%2.2%44.6K-507.9K-1.4K0.0042.93N/AN/A65042366
2007-10-09$26.34$26.0017.8%5.3%14.7%0.0%18.6%5.4%0.9%53.8K-660.4K-1.6K0.0053.98N/AN/A32048866
2007-10-10$26.23$26.0017.8%5.2%14.9%0.0%0.0%5.0%1.1%56.3K-671.4K-1.7K0.0055.02N/AN/A0050566
2007-10-11$26.15$26.0018.1%5.2%15.1%0.0%0.0%4.3%1.6%56.6K-639.9K-1.6K0.0045.75N/AN/A7050566
2007-10-12$26.38$26.0016.8%4.8%15.0%0.0%0.0%0.3%1.0%55.9K-713.6K-1.6K0.0052.69N/AN/A0051266
2007-10-15$26.25$26.0015.7%4.5%14.6%0.0%0.0%-0.7%2.0%60.2K-630.9K-1.5K0.0057.87N/AN/A4049966
2007-10-16$25.95$26.0015.4%4.4%12.8%0.0%0.0%6.1%2.3%61.8K-600.3K-1.5K0.0057.31N/AN/A0050166
2007-10-17$26.22$26.0016.1%4.6%13.2%0.0%0.0%-0.8%1.8%58.3K-660.9K-1.4K0.0045.84N/AN/A0050166
2007-10-18$26.35$26.0016.6%4.8%13.1%0.0%0.0%0.8%1.4%57.3K-699.0K-1.4K0.0043.54N/AN/A0050166
2007-10-19$25.75$26.0015.1%4.3%15.9%0.0%0.0%4.8%1.5%64.0K-544.2K-1.3K0.0068.04N/AN/A2050166
2007-10-22$25.69$26.0015.4%4.4%15.8%0.0%0.0%3.9%1.9%44.8K-312.1K-1.2K0.0057.06N/AN/A0041556
2007-10-23$26.06$26.0015.5%4.4%16.5%0.0%0.0%2.6%1.2%51.9K-405.6K-1.3K0.0062.88N/AN/A0041556
2007-10-24$25.99$26.0015.0%4.3%16.0%0.0%0.0%-3.7%2.0%51.0K-368.7K-1.3K0.0057.27N/AN/A0041556
2007-10-25$25.95$26.0016.0%4.6%15.3%0.0%0.0%2.8%0.8%52.5K-407.0K-1.3K0.0062.95N/AN/A0041556
2007-10-26$26.40$26.0015.6%4.5%16.4%0.0%0.0%4.3%1.0%59.1K-452.2K-1.2K0.0062.94N/AN/A0041556
2007-10-29$26.45$26.0017.7%5.1%16.0%0.0%0.0%2.7%1.1%56.1K-509.3K-1.3K0.0061.24N/AN/A22041556
2007-10-30$26.39$26.0016.8%4.8%15.9%0.0%0.0%5.7%1.7%59.0K-504.6K-1.3K0.0065.90N/AN/A0043356
2007-10-31$26.54$26.0013.3%3.8%15.2%0.0%0.0%3.5%2.4%58.9K-570.4K-1.3K0.0050.05N/AN/A1043356