CGW Options History — November 2007

In November 2007, CGW traded between $24.63 and $26.38. ATM implied volatility averaged 20.1%, placing in the 69.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.3% (HV 20d: 22.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2007-11-23: Highest Volume — 47 contracts
  • 2007-11-09: Largest IV spike — 50.4% change
  • 2007-11-30: Highest IV Rank — 71.7%
  • 2007-11-09: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.39$24.63$26.38$25.78$25.56
Max Pain$24.19$24.00$26.00$26.00$24.00
ATM IV20.1%14.1%23.5%16.9%20.0%
Expected Move5.9%4.8%6.4%4.8%5.7%
HV 20d22.3%18.6%25.5%18.6%23.3%
HV 60d20.5%19.2%22.5%22.0%19.4%
IV Rank69.0%66.4%71.7%66.4%71.7%
IV Percentile62.8%57.9%67.7%57.9%67.7%
Term Structure0.5%-0.7%2.3%2.1%1.1%
VWIV22.7%20.6%24.7%20.6%24.7%
Skew 25d5.9%-4.6%11.8%-4.6%2.5%
Skew 10d9.8%-4.8%14.8%-4.8%6.5%
Call IV 25d16.5%12.7%18.9%18.7%17.3%
Put IV 25d22.4%14.1%24.6%14.1%19.8%
Bid-Ask Spread %55.2444.6667.5967.5954.77
Gamma HHI0.360.270.540.410.28
Net GEX36.4K15.4K59.8K53.1K27.3K
Net DEX-274.7K-521.4K-125.3K-366.4K-277.2K
Net VEX-1.0K-1.3K-757-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.000.400.400.00
Total Volume4.1904700
Total OI464.952382516490430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$25.78$26.0016.9%4.8%18.6%0.0%0.0%-4.6%2.1%53.1K-366.4K-1.2K0.0067.59N/AN/A0043456
2007-11-02$26.15$26.0017.6%5.0%18.7%0.0%0.0%3.1%2.3%59.0K-426.3K-1.2K0.0052.68N/AN/A0043456
2007-11-05$26.15$24.0020.8%6.1%18.6%0.0%20.6%8.5%0.4%56.2K-455.4K-1.2K0.4055.84N/AN/A10443456
2007-11-06$26.38$24.0021.4%6.4%18.6%0.0%0.0%6.7%-0.2%59.8K-521.4K-1.3K0.0055.51N/AN/A0044460
2007-11-07$25.56$24.0019.0%5.8%21.7%0.0%24.0%4.3%1.0%49.6K-320.5K-1.1K0.1457.49N/AN/A14244460
2007-11-08$25.52$24.0014.1%5.9%21.7%0.0%0.0%4.3%0.0%46.8K-302.4K-1.2K0.0050.83N/AN/A0045462
2007-11-09$25.45$24.0021.3%6.4%21.4%0.0%0.0%10.2%-0.5%44.0K-272.8K-1.1K0.0061.09N/AN/A0045462
2007-11-12$24.93$24.0018.7%6.1%22.4%0.0%0.0%5.7%-0.1%22.2K-167.1K-9270.0056.29N/AN/A0045462
2007-11-13$25.48$24.0023.5%6.3%23.7%0.0%0.0%5.1%0.7%48.5K-295.5K-1.1K0.0051.74N/AN/A0045462
2007-11-14$25.57$24.0017.8%5.9%23.4%0.0%0.0%10.0%0.8%53.4K-271.5K-1.0K0.0055.00N/AN/A0045462
2007-11-15$25.45$24.0022.1%6.3%23.3%0.0%0.0%6.5%-0.1%43.8K-286.1K-9880.0055.24N/AN/A0045462
2007-11-16$24.89$24.0021.0%6.0%23.2%0.0%21.6%8.5%1.1%32.2K-221.0K-9230.0056.05N/AN/A0445462
2007-11-19$24.75$24.0021.5%6.2%23.3%0.0%0.0%6.2%-0.2%17.3K-151.9K-8170.0058.63N/AN/A0032260
2007-11-20$24.90$24.0021.1%6.1%22.7%0.0%0.0%4.9%-0.2%18.1K-158.8K-8090.0058.98N/AN/A0032260
2007-11-21$24.63$24.0020.2%5.8%22.9%0.0%0.0%8.4%0.2%15.4K-125.3K-7570.0053.78N/AN/A0032260
2007-11-23$25.01$24.0021.2%6.1%23.8%0.0%0.0%5.1%-0.1%19.3K-168.6K-7700.0051.61N/AN/A47032260
2007-11-26$24.67$24.0021.2%6.1%23.0%0.0%0.0%8.8%-0.7%19.1K-172.6K-1.0K0.0044.66N/AN/A4036960
2007-11-27$25.08$24.0021.0%6.0%24.0%0.0%24.7%11.8%1.9%22.5K-207.6K-1.0K0.0054.76N/AN/A0336760
2007-11-28$25.64$24.0021.1%6.1%25.5%0.0%0.0%3.9%0.5%28.4K-301.3K-1.1K0.0053.89N/AN/A0036763
2007-11-29$25.54$24.0019.2%5.5%25.4%66.4%0.0%4.5%1.0%29.1K-299.2K-1.1K0.0053.60N/AN/A0036763
2007-11-30$25.56$24.0020.0%5.7%23.3%71.7%0.0%2.5%1.1%27.3K-277.2K-1.1K0.0054.77N/AN/A0036763