CGW Options History — February 2008

In February 2008, CGW traded between $22.68 and $24.47. ATM implied volatility averaged 28.7%, placing in the 73.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.3% (HV 20d: 29.0%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2008-02-13: Highest Volume — 210 contracts
  • 2008-02-04: Largest IV drop — 20.7% change
  • 2008-02-01: Highest IV Rank — 93.5%
  • 2008-02-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.49$22.68$24.47$24.20$23.98
Max Pain$25.25$23.00$26.00$23.00$24.00
ATM IV28.7%23.6%34.3%34.3%24.4%
Expected Move8.4%6.8%9.8%9.8%7.0%
HV 20d29.0%22.7%34.4%32.4%24.4%
HV 60d25.9%25.5%26.2%25.7%25.8%
IV Rank73.4%54.8%93.5%93.5%57.9%
IV Percentile92.6%83.8%98.2%98.2%84.6%
Term Structure-0.0%-2.5%1.6%-2.5%-0.0%
VWIV26.8%17.5%33.3%33.3%17.5%
Skew 25d9.5%2.8%15.5%11.4%9.8%
Skew 10d7.4%-9.4%15.7%7.3%5.2%
Call IV 25d21.3%15.6%28.0%24.2%15.6%
Put IV 25d30.9%21.2%35.6%35.6%25.3%
Bid-Ask Spread %86.7473.47102.8494.93102.84
Gamma HHI0.500.350.640.480.61
Net GEX48.4K32.5K70.7K50.1K57.9K
Net DEX-432.9K-697.6K-172.8K-616.0K-491.0K
Net VEX-4.7K-5.7K-3.5K-4.8K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.006.000.000.00
Total Volume22.35021093
Total OI1,301.451,1831,4581,1831,385

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$24.20$23.0034.3%9.8%32.4%93.5%0.0%11.4%-2.5%50.1K-616.0K-4.8K0.0094.93N/AN/A901,065118
2008-02-04$23.85$26.0027.2%7.9%32.1%67.8%0.0%11.8%1.2%48.7K-517.6K-4.5K0.0080.15N/AN/A021,072118
2008-02-05$22.95$26.0028.1%8.2%34.4%71.0%0.0%9.7%-0.6%37.0K-230.4K-3.5K0.0081.65N/AN/A011,072120
2008-02-06$22.87$26.0027.7%8.0%33.9%69.5%0.0%10.8%0.3%37.8K-230.5K-3.6K0.0076.25N/AN/A001,072121
2008-02-07$22.72$26.0032.1%9.0%33.9%85.7%0.0%13.9%-1.0%36.1K-278.6K-3.6K0.0078.25N/AN/A0501,072121
2008-02-08$22.68$26.0028.9%9.1%33.3%73.9%0.0%9.3%-1.2%32.5K-172.8K-3.8K0.0078.73N/AN/A001,072171
2008-02-11$22.86$26.0030.3%9.2%31.8%78.9%0.0%11.2%-2.0%35.6K-186.9K-3.7K0.0073.47N/AN/A201,072171
2008-02-12$22.94$26.0028.2%9.1%31.3%71.4%0.0%15.5%-0.7%40.0K-257.2K-4.0K0.0080.04N/AN/A001,074171
2008-02-13$23.60$26.0026.6%9.0%30.6%65.5%0.0%11.4%0.7%41.9K-406.1K-4.4K0.0078.65N/AN/A21001,074171
2008-02-14$23.20$26.0031.8%9.1%31.1%84.6%0.0%6.2%-0.3%52.1K-478.4K-5.2K1.5079.73N/AN/A691,284171
2008-02-15$23.30$26.0032.6%9.3%29.8%87.4%33.3%6.9%-1.4%55.0K-474.6K-5.2K0.0078.14N/AN/A3701,284174
2008-02-19$23.31$25.0031.6%9.0%29.8%83.7%28.8%14.9%0.7%46.5K-485.4K-5.3K0.3384.04N/AN/A1551,124172
2008-02-20$23.50$25.0031.7%9.1%27.3%84.1%0.0%5.4%0.9%46.2K-462.1K-5.2K0.0083.54N/AN/A2501,127177
2008-02-21$23.42$25.0031.6%9.0%26.7%83.6%31.6%12.1%0.2%45.3K-428.4K-5.1K1.8290.56N/AN/A11201,152177
2008-02-22$23.45$25.0028.1%8.1%22.7%71.2%0.0%13.3%1.6%51.0K-484.8K-5.4K0.0095.43N/AN/A1401,163197
2008-02-25$23.95$25.0027.4%7.8%23.6%68.5%0.0%3.9%0.6%54.6K-541.9K-5.5K1.0096.66N/AN/A111,177197
2008-02-26$24.23$25.0023.6%6.8%23.7%54.8%23.0%6.9%1.4%61.3K-562.8K-5.4K0.00100.40N/AN/A1301,178198
2008-02-27$24.47$24.0024.2%6.9%23.6%57.1%17.5%2.8%1.2%66.6K-655.6K-5.7K6.00101.12N/AN/A161,188198
2008-02-28$24.37$24.0024.5%7.0%23.7%58.2%0.0%3.4%0.9%70.7K-697.6K-5.7K2.00100.20N/AN/A241,187192
2008-02-29$23.98$24.0024.4%7.0%24.4%57.9%0.0%9.8%-0.0%57.9K-491.0K-5.2K0.00102.84N/AN/A301,189196