CGW Options History — March 2008

In March 2008, CGW traded between $22.71 and $24.05. ATM implied volatility averaged 26.4%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.4% (HV 20d: 26.8%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2008-03-03: Highest Volume — 267 contracts
  • 2008-03-12: Largest IV spike — 31.0% change
  • 2008-03-17: Highest IV Rank — 89.1%
  • 2008-03-17: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.40$22.71$24.05$23.50$23.50
Max Pain$23.80$23.00$25.00$24.00$23.00
ATM IV26.4%21.0%33.1%24.4%26.6%
Expected Move7.8%6.2%9.5%7.0%7.6%
HV 20d26.8%19.0%32.0%24.0%31.8%
HV 60d27.5%25.6%29.0%26.1%29.0%
IV Rank65.0%45.5%89.1%57.6%65.6%
IV Percentile85.3%65.1%98.0%84.1%84.6%
Term Structure0.5%-2.0%3.6%2.6%0.9%
VWIV25.5%22.4%31.5%22.4%23.5%
Skew 25d7.0%0.7%13.0%7.8%3.6%
Skew 10d5.0%-2.8%11.3%6.7%5.1%
Call IV 25d20.0%16.3%24.2%16.3%20.1%
Put IV 25d27.0%20.9%33.4%24.1%23.7%
Bid-Ask Spread %98.8377.34127.0498.6777.34
Gamma HHI0.400.340.590.590.41
Net GEX49.8K38.6K58.1K50.0K49.7K
Net DEX-519.5K-743.9K-364.4K-430.6K-479.5K
Net VEX-5.6K-6.4K-4.9K-4.9K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.008.000.020.00
Total Volume23.65026726730
Total OI1,489.81,2521,6171,3851,268

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$23.50$24.0024.4%7.0%24.0%57.6%0.0%7.8%2.6%50.0K-430.6K-4.9K0.0298.67N/AN/A26251,189196
2008-03-04$23.72$24.0021.8%6.2%23.8%48.3%0.0%5.4%3.6%54.3K-615.5K-6.4K0.0099.24N/AN/A001,402201
2008-03-05$23.69$24.0022.3%6.4%19.0%50.1%22.4%6.8%2.8%58.1K-652.4K-6.3K0.14100.04N/AN/A711,402201
2008-03-06$23.48$24.0023.5%6.7%19.3%54.5%0.0%6.3%3.2%50.8K-542.3K-6.0K0.00102.99N/AN/A001,406202
2008-03-07$23.05$25.0026.8%8.4%20.4%66.3%0.0%9.3%-0.7%45.1K-404.1K-5.6K8.0087.09N/AN/A181,406202
2008-03-10$22.71$25.0026.3%8.0%21.1%64.5%0.0%8.1%0.3%41.7K-368.9K-5.4K0.0088.16N/AN/A001,407194
2008-03-11$23.55$25.0021.0%8.2%24.6%45.5%0.0%6.4%-0.6%52.5K-602.9K-5.9K0.0589.22N/AN/A2011,407194
2008-03-12$23.47$25.0027.6%8.4%24.7%69.2%0.0%12.3%0.2%50.8K-555.6K-5.9K0.0092.82N/AN/A1501,407195
2008-03-13$24.05$25.0031.0%8.9%24.1%81.7%0.0%11.3%-0.9%56.6K-743.9K-6.3K0.0084.49N/AN/A301,396195
2008-03-14$23.22$25.0031.4%9.0%26.6%83.3%31.5%13.0%-0.7%46.5K-548.7K-5.8K1.0089.39N/AN/A221,396195
2008-03-17$23.04$23.0033.1%9.5%26.7%89.1%0.0%11.0%-1.8%44.4K-500.4K-5.6K0.0088.85N/AN/A001,396197
2008-03-18$23.61$23.0028.0%8.0%28.2%70.7%0.0%6.4%-0.5%53.4K-581.8K-5.7K0.0098.88N/AN/A2401,396197
2008-03-19$22.78$23.0027.8%8.0%30.8%70.2%0.0%5.5%-0.5%38.6K-364.5K-5.0K0.0098.17N/AN/A001,420197
2008-03-20$22.88$23.0027.4%7.9%30.9%68.7%0.0%1.4%0.7%49.3K-364.4K-4.9K0.00127.04N/AN/A0421,420197
2008-03-24$23.36$23.0029.3%8.4%31.8%75.3%0.0%5.8%-2.0%49.2K-481.0K-5.3K0.00106.09N/AN/A2801,080172
2008-03-25$23.84$23.0025.3%7.2%31.8%60.8%25.4%9.5%-0.1%52.6K-576.7K-5.6K0.00109.87N/AN/A2101,080182
2008-03-26$23.52$23.0024.2%7.0%31.8%57.2%0.0%4.8%1.5%52.1K-561.5K-5.5K0.00110.94N/AN/A001,085182
2008-03-27$23.66$23.0025.5%7.3%31.6%61.6%0.0%0.7%2.2%52.4K-561.0K-5.5K0.00110.94N/AN/A001,085182
2008-03-28$23.29$23.0024.9%7.1%32.0%59.6%25.0%5.1%0.8%48.6K-454.8K-5.2K0.00116.39N/AN/A011,085182
2008-03-31$23.50$23.0026.6%7.6%31.8%65.6%23.5%3.6%0.9%49.7K-479.5K-5.1K0.0077.34N/AN/A3001,085183