CGW Options History — December 2007

In December 2007, CGW traded between $24.66 and $26.30. ATM implied volatility averaged 19.1%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.2% (HV 20d: 21.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2007-12-26: Highest Volume — 347 contracts
2007-12-31: Largest IV spike — 34.3% change
2007-12-31: Highest IV Rank — 100.0%
2007-12-31: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.62	$24.66	$26.30	$25.52	$25.88
Max Pain	$25.60	$24.00	$26.00	$24.00	$26.00
ATM IV	19.1%	13.1%	24.7%	19.2%	24.7%
Expected Move	5.6%	4.8%	7.1%	5.5%	7.1%
HV 20d	21.3%	20.5%	23.0%	22.7%	21.0%
HV 60d	19.8%	19.0%	20.7%	19.0%	20.7%
IV Rank	65.9%	28.9%	100.0%	66.5%	100.0%
IV Percentile	58.5%	12.7%	100.0%	57.8%	100.0%
Term Structure	0.4%	-8.4%	2.3%	1.0%	-8.4%
VWIV	18.8%	18.0%	19.6%	19.6%	18.0%
Skew 25d	4.2%	0.4%	8.5%	2.6%	3.1%
Skew 10d	3.6%	2.4%	9.9%	2.6%	9.9%
Call IV 25d	14.8%	12.7%	17.7%	17.7%	16.6%
Put IV 25d	18.9%	14.2%	21.4%	20.3%	19.7%
Bid-Ask Spread %	93.03	55.04	128.34	62.18	128.34
Gamma HHI	0.41	0.28	0.62	0.30	0.62
Net GEX	25.0K	6.3K	38.7K	28.1K	12.8K
Net DEX	-246.5K	-404.7K	-115.3K	-272.6K	-275.6K
Net VEX	-940	-2.1K	-619	-990	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	0.85	0.00	0.19
Total Volume	32.9	0	347	0	102
Total OI	375.8	108	430	430	339

Daily Data (20 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
2007-12-03	$25.52	$24.00	19.2%	5.5%	22.7%	66.5%	0.0%	2.6%	1.0%	28.1K	-272.6K	-990	0.00	62.18	N/A	N/A	0	0	367	63
2007-12-04	$25.42	$24.00	22.1%	6.3%	22.7%	84.1%	0.0%	2.6%	-0.2%	27.5K	-258.6K	-979	0.00	55.04	N/A	N/A	0	0	367	63
2007-12-05	$25.75	$24.00	20.2%	5.8%	23.0%	72.6%	19.6%	4.7%	1.6%	31.1K	-312.2K	-974	0.00	55.81	N/A	N/A	1	0	367	63
2007-12-06	$26.10	$24.00	19.4%	5.6%	20.5%	67.9%	0.0%	2.3%	2.2%	35.9K	-369.0K	-942	0.00	56.49	N/A	N/A	0	0	367	63
2007-12-07	$26.15	$26.00	19.9%	6.2%	20.5%	70.9%	0.0%	4.9%	0.1%	38.0K	-376.6K	-915	0.00	86.81	N/A	N/A	0	0	367	63
2007-12-10	$26.30	$26.00	20.0%	5.9%	20.5%	71.1%	0.0%	5.5%	-0.1%	38.3K	-404.7K	-878	0.00	92.20	N/A	N/A	8	0	367	63
2007-12-11	$25.56	$26.00	13.1%	5.4%	21.8%	28.9%	0.0%	5.3%	1.6%	30.3K	-283.1K	-876	0.00	97.00	N/A	N/A	0	0	367	63
2007-12-12	$25.80	$26.00	17.6%	5.5%	20.6%	56.7%	0.0%	5.9%	0.7%	36.5K	-311.9K	-809	0.00	96.56	N/A	N/A	0	0	367	63
2007-12-13	$25.55	$26.00	18.4%	5.3%	20.9%	61.2%	0.0%	4.3%	2.0%	31.7K	-273.6K	-817	0.00	97.73	N/A	N/A	1	0	367	63
2007-12-14	$25.11	$26.00	20.5%	5.9%	21.8%	74.4%	0.0%	5.0%	0.2%	25.5K	-196.3K	-737	0.00	98.04	N/A	N/A	0	0	366	63
2007-12-17	$24.78	$26.00	19.5%	5.6%	20.8%	68.3%	0.0%	4.9%	0.5%	19.1K	-142.6K	-677	0.00	98.85	N/A	N/A	0	0	366	63
2007-12-18	$24.79	$26.00	20.2%	5.8%	20.7%	72.6%	0.0%	7.8%	-0.2%	24.8K	-139.8K	-644	0.00	99.66	N/A	N/A	0	0	366	63
2007-12-19	$24.66	$26.00	19.4%	5.6%	20.7%	67.7%	0.0%	5.0%	0.2%	20.4K	-115.3K	-619	0.00	100.50	N/A	N/A	0	0	366	63
2007-12-20	$25.15	$26.00	19.9%	5.7%	21.4%	70.7%	0.0%	8.5%	0.1%	22.3K	-206.8K	-706	0.00	101.88	N/A	N/A	0	0	366	63
2007-12-21	$25.71	$26.00	16.7%	4.8%	22.2%	51.0%	0.0%	1.8%	2.3%	38.7K	-299.7K	-653	0.00	102.33	N/A	N/A	48	0	366	63
2007-12-24	$25.95	$26.00	18.0%	5.2%	21.6%	59.0%	0.0%	1.1%	0.6%	6.9K	-117.8K	-650	0.00	106.91	N/A	N/A	12	0	96	14
2007-12-26	$26.25	$26.00	17.9%	5.1%	21.2%	58.2%	18.0%	3.3%	1.2%	6.3K	-121.9K	-647	0.03	108.16	N/A	N/A	337	10	94	14
2007-12-27	$25.91	$26.00	17.2%	4.9%	20.5%	54.2%	0.0%	0.4%	1.5%	11.7K	-199.8K	-1.2K	0.85	108.35	N/A	N/A	62	53	176	24
2007-12-28	$26.14	$26.00	18.4%	5.3%	20.7%	61.6%	0.0%	3.9%	0.8%	13.3K	-252.1K	-2.0K	0.60	107.81	N/A	N/A	15	9	238	77
2007-12-31	$25.88	$26.00	24.7%	7.1%	21.0%	100.0%	0.0%	3.1%	-8.4%	12.8K	-275.6K	-2.1K	0.19	128.34	N/A	N/A	86	16	253	86