CGW Options History — April 2008

In April 2008, CGW traded between $23.73 and $24.88. ATM implied volatility averaged 24.1%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.2% (HV 20d: 26.3%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2008-04-18: Highest Volume — 45 contracts
  • 2008-04-04: Largest IV drop — 15.5% change
  • 2008-04-01: Highest IV Rank — 68.4%
  • 2008-04-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.32$23.73$24.88$24.34$24.70
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV24.1%19.2%27.4%27.4%23.7%
Expected Move7.1%6.6%7.8%7.8%6.8%
HV 20d26.3%17.2%33.4%33.4%17.3%
HV 60d27.5%25.2%29.9%29.9%25.2%
IV Rank56.5%38.9%68.4%68.4%55.2%
IV Percentile74.7%41.6%85.6%85.6%72.2%
Term Structure0.6%-0.6%2.2%-0.6%0.8%
VWIV26.2%25.2%27.4%27.4%25.2%
Skew 25d7.7%4.0%12.3%7.2%5.7%
Skew 10d5.4%3.5%7.8%7.8%4.9%
Call IV 25d18.0%14.5%22.0%22.0%19.3%
Put IV 25d25.7%20.7%29.2%29.2%25.0%
Bid-Ask Spread %93.4576.02107.4082.92107.40
Gamma HHI0.380.320.440.390.43
Net GEX73.7K64.5K85.0K65.8K80.1K
Net DEX-787.0K-993.1K-582.9K-793.0K-903.5K
Net VEX-5.5K-5.8K-5.1K-5.8K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.400.000.00
Total Volume10.273045172
Total OI1,332.8181,2981,3921,2981,392

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$24.34$23.0027.4%7.8%33.4%68.4%27.4%7.2%-0.6%65.8K-793.0K-5.8K0.0082.92N/AN/A1701,115183
2008-04-02$24.30$23.0027.1%7.8%33.3%67.6%0.0%7.2%-0.2%66.8K-785.8K-5.8K0.0076.02N/AN/A1201,122183
2008-04-03$24.25$23.0023.9%6.9%33.3%56.0%0.0%6.3%0.3%71.2K-781.1K-5.8K0.0076.28N/AN/A001,122183
2008-04-04$24.52$0.0020.2%6.6%33.3%42.6%0.0%10.1%1.7%74.8K-837.0K-5.8K0.0088.14N/AN/A401,122183
2008-04-07$24.52$0.0020.6%6.6%32.4%43.8%0.0%11.4%-0.4%75.7K-856.7K-5.8K0.0088.65N/AN/A501,122183
2008-04-08$24.41$0.0019.2%6.9%31.8%38.9%0.0%7.9%1.3%74.1K-777.1K-5.5K0.0089.74N/AN/A001,127183
2008-04-09$23.99$0.0022.0%7.0%30.2%49.1%0.0%4.0%-0.2%70.6K-655.2K-5.4K0.0090.27N/AN/A001,127183
2008-04-10$24.10$0.0025.2%7.2%30.1%60.6%0.0%6.8%1.0%72.0K-715.8K-5.4K0.0088.74N/AN/A1601,127183
2008-04-11$23.75$0.0024.0%6.9%29.3%56.2%25.9%12.3%0.9%65.8K-582.9K-5.2K0.0091.76N/AN/A051,143183
2008-04-14$23.73$23.0024.2%6.9%26.4%57.0%0.0%8.4%1.1%65.9K-586.8K-5.1K0.0095.95N/AN/A3201,143188
2008-04-15$23.76$23.0023.7%6.8%26.2%55.2%0.0%9.7%1.0%72.0K-640.6K-5.3K0.0096.07N/AN/A001,175188
2008-04-16$24.50$23.0025.8%7.4%27.0%62.6%0.0%7.8%0.5%82.9K-871.2K-5.6K0.4092.38N/AN/A521,175188
2008-04-17$24.28$23.0025.0%7.2%23.5%59.8%0.0%8.4%0.5%85.0K-814.3K-5.6K0.0092.63N/AN/A001,173186
2008-04-18$24.47$23.0025.8%7.4%23.5%62.7%0.0%8.1%-0.0%79.6K-853.7K-5.5K0.0093.76N/AN/A4501,173186
2008-04-21$24.29$23.0024.8%7.1%22.9%59.1%0.0%7.3%1.0%66.9K-746.8K-5.3K0.0096.76N/AN/A001,126185
2008-04-22$24.05$23.0025.5%7.3%22.2%61.8%0.0%6.8%-0.3%64.5K-671.0K-5.1K0.2098.14N/AN/A1531,126185
2008-04-23$24.28$23.0024.9%7.1%21.7%59.6%0.0%6.9%0.4%67.4K-726.2K-5.3K0.0098.90N/AN/A001,141188
2008-04-24$24.44$23.0025.2%7.2%21.8%60.8%25.2%4.0%0.9%70.6K-811.4K-5.5K0.0099.85N/AN/A3801,141188
2008-04-25$24.74$23.0024.0%6.9%21.0%56.3%0.0%7.3%0.5%80.9K-949.9K-5.7K0.0099.08N/AN/A001,179188
2008-04-28$24.88$23.0024.0%6.9%20.9%56.3%0.0%9.2%0.2%85.0K-993.1K-5.5K0.00105.70N/AN/A001,179188
2008-04-29$24.77$23.0023.3%6.7%17.2%53.8%0.0%7.0%2.2%84.5K-961.3K-5.5K0.00106.73N/AN/A0251,179188
2008-04-30$24.70$23.0023.7%6.8%17.3%55.2%0.0%5.7%0.8%80.1K-903.5K-5.4K0.00107.40N/AN/A201,179213