CGW Options History — January 2008

In January 2008, CGW traded between $22.05 and $25.85. ATM implied volatility averaged 23.8%, placing in the 75.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.4% (HV 20d: 26.2%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2008-01-16: Highest Volume — 416 contracts
  • 2008-01-10: Largest IV spike — 47.8% change
  • 2008-01-22: Highest IV Rank — 100.0%
  • 2008-01-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.95$22.05$25.85$25.60$23.65
Max Pain$24.81$23.00$26.00$26.00$23.00
ATM IV23.8%13.9%36.1%14.2%31.5%
Expected Move7.1%4.1%10.3%4.1%9.0%
HV 20d26.2%21.0%31.3%21.4%31.3%
HV 60d23.3%20.6%25.9%20.6%25.2%
IV Rank75.4%33.4%100.0%35.3%83.4%
IV Percentile72.6%13.9%100.0%17.6%98.2%
Term Structure0.3%-3.5%5.2%5.2%-0.0%
VWIV20.2%14.4%29.1%14.4%29.1%
Skew 25d6.5%-0.5%13.2%-0.5%8.7%
Skew 10d4.9%0.1%10.7%2.8%6.5%
Call IV 25d18.6%13.0%26.9%14.6%22.2%
Put IV 25d25.1%14.1%38.1%14.1%30.9%
Bid-Ask Spread %98.1191.07118.97118.9797.68
Gamma HHI0.470.420.550.490.46
Net GEX27.3K14.1K45.1K17.1K45.1K
Net DEX-238.7K-484.4K-20.2K-302.7K-484.4K
Net VEX-3.1K-4.5K-2.1K-2.6K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.005.000.000.00
Total Volume45.2380416152
Total OI826.0954261,1834261,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$25.60$26.0014.2%4.1%21.4%35.3%0.0%-0.5%5.2%17.1K-302.7K-2.6K0.00118.97N/AN/A150324102
2008-01-03$25.85$26.0016.9%4.8%21.6%51.8%0.0%0.4%3.2%17.2K-342.1K-2.6K0.00118.32N/AN/A380332102
2008-01-04$25.32$26.0015.1%6.1%22.4%40.9%14.4%7.5%1.2%20.3K-295.1K-2.7K0.0991.07N/AN/A12611367102
2008-01-07$25.31$26.0013.9%6.1%21.8%33.4%0.0%5.9%1.1%30.6K-340.8K-3.1K0.0093.22N/AN/A10489113
2008-01-08$24.80$26.0015.2%5.9%22.7%41.5%17.7%8.1%0.7%25.0K-237.3K-2.8K1.5696.25N/AN/A914490113
2008-01-09$24.82$25.0014.3%5.4%22.5%35.6%0.0%7.0%3.2%23.9K-227.8K-2.9K0.0095.92N/AN/A80495125
2008-01-10$25.13$25.0021.1%6.0%21.0%77.5%21.3%6.0%0.8%27.1K-272.0K-2.9K5.0093.95N/AN/A210487125
2008-01-11$24.30$26.0021.4%6.1%23.6%79.2%0.0%1.8%0.6%20.4K-145.0K-2.6K0.0098.61N/AN/A00488115
2008-01-14$24.65$26.0019.6%5.6%24.2%68.5%0.0%4.4%1.6%22.6K-194.8K-2.7K0.0098.61N/AN/A70488115
2008-01-15$23.75$26.0019.2%5.5%26.8%65.9%15.6%6.5%2.6%14.3K-58.5K-2.2K0.3199.10N/AN/A268482115
2008-01-16$23.58$25.0022.7%6.5%26.6%87.7%0.0%4.2%0.8%14.1K-20.2K-2.1K0.0097.18N/AN/A4151502123
2008-01-17$23.00$25.0023.7%6.8%27.7%93.4%22.4%2.6%0.7%29.6K-143.9K-3.2K0.0097.77N/AN/A210897124
2008-01-18$23.08$25.0024.7%7.1%27.8%99.7%17.2%-0.3%-0.8%31.1K-162.7K-3.2K2.00100.60N/AN/A36916124
2008-01-22$22.36$25.0030.7%8.8%28.2%100.0%23.5%8.2%-2.8%22.8K-67.8K-2.7K0.0994.19N/AN/A706917124
2008-01-23$22.05$24.0030.6%8.8%26.3%99.6%0.0%7.6%-2.7%23.7K-71.7K-2.7K0.0096.29N/AN/A550987118
2008-01-24$22.97$24.0029.0%8.3%30.9%92.7%29.1%12.7%-0.3%31.2K-215.9K-3.5K0.0096.78N/AN/A280982118
2008-01-25$22.86$23.0029.9%8.6%30.2%96.7%0.0%10.4%-0.6%33.8K-220.8K-3.5K0.0097.81N/AN/A5401,011125
2008-01-28$23.09$23.0034.4%9.8%30.7%100.0%0.0%10.3%-2.0%39.4K-374.1K-4.2K0.0092.01N/AN/A301,054118
2008-01-29$23.36$23.0034.6%9.9%30.9%100.0%0.0%13.2%-2.5%42.1K-415.0K-4.3K0.0092.89N/AN/A801,057118
2008-01-30$23.44$23.0036.1%10.3%31.0%100.0%0.0%11.3%-3.5%42.6K-420.0K-4.4K0.0093.02N/AN/A301,065118
2008-01-31$23.65$23.0031.5%9.0%31.3%83.4%0.0%8.7%-0.0%45.1K-484.4K-4.5K0.0097.68N/AN/A201,063118