CGW Options History — May 2008

In May 2008, CGW traded between $24.51 and $25.73. ATM implied volatility averaged 18.1%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.5% (HV 20d: 13.7%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2008-05-19: Highest Volume — 240 contracts
  • 2008-05-23: Largest IV spike — 37.1% change
  • 2008-05-06: Highest IV Rank — 56.2%
  • 2008-05-08: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$24.51$25.73$24.51$25.73
Max Pain$24.81$23.00$25.00$23.00$25.00
ATM IV18.1%12.6%24.0%23.2%15.3%
Expected Move5.4%3.6%7.2%6.6%4.4%
HV 20d13.7%10.3%17.5%17.5%10.3%
HV 60d23.2%22.2%24.0%23.9%22.2%
IV Rank35.1%14.8%56.2%53.3%24.9%
IV Percentile36.5%6.1%74.4%69.3%20.7%
Term Structure2.4%0.3%6.7%0.8%1.2%
VWIV17.0%12.5%21.9%12.5%17.2%
Skew 25d1.7%-5.4%6.6%3.7%0.6%
Skew 10d3.0%1.1%5.2%5.2%2.2%
Call IV 25d17.9%12.3%23.7%20.7%15.2%
Put IV 25d19.7%14.3%27.7%24.4%15.8%
Bid-Ask Spread %105.0892.04115.42108.69114.41
Gamma HHI0.480.420.560.420.50
Net GEX120.5K76.9K189.8K76.9K189.8K
Net DEX-1.0M-1.6M-847.4K-877.8K-1.6M
Net VEX-5.0K-5.4K-4.4K-5.4K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.140.000.00
Total Volume16.286024000
Total OI1,462.9521,3641,5771,3941,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$24.51$23.0023.2%6.6%17.5%53.3%0.0%3.7%0.8%76.9K-877.8K-5.4K0.00108.69N/AN/A001,181213
2008-05-02$24.70$23.0022.6%6.5%17.3%51.2%0.0%6.5%2.5%81.3K-882.8K-5.4K0.00108.22N/AN/A001,181213
2008-05-05$24.81$25.0023.0%7.1%17.3%52.5%0.0%6.6%1.1%83.4K-966.3K-5.4K0.0092.98N/AN/A001,181213
2008-05-06$24.80$25.0024.0%7.1%17.2%56.2%0.0%6.2%1.3%83.4K-961.6K-5.3K0.0093.50N/AN/A001,181213
2008-05-07$24.52$25.0021.1%7.1%16.5%45.9%0.0%4.0%1.1%80.5K-847.7K-5.1K0.0092.04N/AN/A001,181213
2008-05-08$24.71$25.0020.5%7.2%16.7%43.7%0.0%4.3%0.8%81.8K-923.9K-5.2K0.0093.88N/AN/A001,181213
2008-05-09$24.61$25.0019.8%7.1%15.7%40.9%0.0%3.5%0.9%82.1K-889.7K-5.1K0.0093.51N/AN/A201,181213
2008-05-12$24.95$25.0017.1%5.7%16.2%31.3%0.0%1.0%2.3%95.7K-1.0M-4.9K0.00100.56N/AN/A001,183213
2008-05-13$24.87$25.0017.8%5.2%16.4%33.8%0.0%-2.2%4.9%97.8K-847.4K-4.5K0.0098.29N/AN/A2601,183213
2008-05-14$24.92$25.0019.3%4.9%12.5%39.2%12.5%1.2%2.6%104.5K-862.3K-4.4K0.14107.56N/AN/A1421,183213
2008-05-15$25.17$25.0017.5%5.0%12.3%32.7%0.0%2.9%2.3%117.1K-1.0M-4.6K0.00110.58N/AN/A001,197211
2008-05-16$25.28$25.0014.7%4.2%12.1%22.5%21.9%-5.4%6.6%118.2K-1.1M-4.5K0.00102.18N/AN/A4101,197211
2008-05-19$25.33$25.0018.0%5.2%11.6%34.4%16.4%1.4%0.9%131.4K-1.1M-4.5K0.04110.72N/AN/A230101,158206
2008-05-20$25.10$25.0014.9%4.3%11.5%23.2%0.0%3.0%3.6%155.2K-1.1M-5.3K0.00113.16N/AN/A001,365206
2008-05-21$25.30$25.0014.1%4.0%11.4%20.3%0.0%-1.5%4.5%160.3K-1.1M-5.1K0.00109.95N/AN/A1401,365206
2008-05-22$25.24$25.0012.6%3.6%11.4%14.8%0.0%-1.0%6.7%162.3K-1.2M-5.2K0.00109.61N/AN/A001,371206
2008-05-23$25.16$25.0017.2%4.9%10.8%31.6%0.0%-0.9%1.1%143.9K-1.1M-5.2K0.00110.79N/AN/A201,371206
2008-05-27$25.23$25.0018.2%5.2%10.7%35.2%0.0%1.5%0.7%144.5K-1.0M-4.9K0.00109.22N/AN/A001,369206
2008-05-28$25.43$25.0014.6%4.2%10.8%22.1%0.0%1.8%4.6%164.3K-1.3M-5.0K0.00111.46N/AN/A001,369206
2008-05-29$25.57$25.0015.9%4.5%10.8%26.8%17.2%-0.4%0.3%175.5K-1.4M-5.0K0.00115.42N/AN/A101,369206
2008-05-30$25.73$25.0015.3%4.4%10.3%24.9%0.0%0.6%1.2%189.8K-1.6M-5.1K0.00114.41N/AN/A001,369206