CGW Options History — June 2008

In June 2008, CGW traded between $23.30 and $26.20. ATM implied volatility averaged 16.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.6% (HV 20d: 16.4%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2008-06-05: Highest Volume — 99 contracts
  • 2008-06-06: Largest IV spike — 55.6% change
  • 2008-06-09: Highest IV Rank — 41.4%
  • 2008-06-12: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.69$23.30$26.20$25.54$23.54
Max Pain$25.81$25.00$26.00$25.00$26.00
ATM IV16.9%13.0%20.5%15.1%15.0%
Expected Move4.8%3.7%5.5%4.3%4.3%
HV 20d16.4%10.6%22.1%10.6%22.1%
HV 60d18.9%16.8%22.1%22.1%17.5%
IV Rank28.2%13.2%41.4%23.9%20.8%
IV Percentile27.3%6.0%54.0%19.0%13.1%
Term Structure1.9%-0.5%8.6%2.1%2.3%
VWIV17.1%13.9%18.6%13.9%17.5%
Skew 25d1.7%-3.8%6.2%1.1%-0.1%
Skew 10d2.4%0.1%3.8%3.8%1.4%
Call IV 25d15.4%11.1%20.8%16.0%16.8%
Put IV 25d17.1%15.6%19.0%17.1%16.7%
Bid-Ask Spread %114.54108.13121.02116.56121.02
Gamma HHI0.410.310.530.530.43
Net GEX102.4K27.8K234.8K197.1K36.1K
Net DEX-734.9K-2.0M-118.2K-1.4M-177.9K
Net VEX-3.7K-5.1K-2.4K-4.9K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0020.000.000.00
Total Volume12.476099230
Total OI1,413.4767861,6991,574809

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$25.54$25.0015.1%4.3%10.6%23.9%13.9%1.1%2.1%197.1K-1.4M-4.9K0.00116.56N/AN/A2301,368206
2008-06-03$25.74$25.0016.0%4.6%10.8%27.3%0.0%-0.7%1.1%198.4K-1.5M-5.0K0.00115.82N/AN/A031,389206
2008-06-04$25.73$25.0018.3%5.2%10.8%33.0%0.0%-2.1%-0.5%189.5K-1.5M-4.9K0.00113.92N/AN/A001,389209
2008-06-05$26.20$25.0013.0%3.7%11.1%13.2%18.6%5.7%8.6%234.8K-2.0M-4.8K2.96118.11N/AN/A25741,389209
2008-06-06$25.80$26.0020.3%5.2%12.8%40.4%0.0%6.2%1.3%189.1K-1.5M-5.1K0.00108.13N/AN/A2001,409283
2008-06-09$25.67$26.0020.5%5.1%12.8%41.4%0.0%4.4%1.2%187.9K-1.4M-4.8K0.00108.15N/AN/A501,409283
2008-06-10$25.42$26.0017.2%5.4%12.7%28.8%0.0%1.8%3.2%164.2K-1.2M-4.8K0.00110.64N/AN/A1001,404283
2008-06-11$24.76$26.0018.2%5.3%16.0%32.6%0.0%4.1%0.8%94.2K-562.6K-3.9K0.00110.23N/AN/A501,404283
2008-06-12$24.49$26.0019.0%5.5%16.4%35.8%0.0%3.3%0.6%74.8K-420.5K-3.7K0.00111.75N/AN/A1101,409283
2008-06-13$24.85$26.0014.8%4.2%16.9%19.8%0.0%4.9%5.7%90.2K-559.4K-3.8K10.00109.44N/AN/A1101,416283
2008-06-16$24.83$26.0018.2%5.2%16.8%32.9%18.2%1.1%0.9%80.8K-552.7K-3.5K20.00113.51N/AN/A1201,416273
2008-06-17$24.86$26.0017.5%5.0%16.7%30.0%17.5%0.2%1.9%89.5K-586.2K-3.5K0.00114.48N/AN/A101,417253
2008-06-18$24.53$26.0015.2%4.4%17.1%21.4%0.0%3.0%1.7%59.4K-433.2K-3.3K0.00114.90N/AN/A101,416253
2008-06-19$24.61$26.0017.4%5.0%16.8%29.7%0.0%0.3%1.2%63.0K-484.0K-3.3K0.80115.47N/AN/A541,416253
2008-06-20$23.90$26.0017.5%5.0%19.5%30.2%0.0%0.4%0.4%27.8K-185.4K-2.8K0.00115.35N/AN/A071,416253
2008-06-23$23.96$26.0017.4%5.0%19.6%29.8%0.0%2.1%1.3%39.4K-270.3K-2.8K0.00116.34N/AN/A140637149
2008-06-24$23.57$26.0014.2%4.1%20.1%17.6%0.0%1.1%3.0%33.8K-157.3K-2.5K0.00119.73N/AN/A200638149
2008-06-25$23.91$26.0017.2%4.9%20.7%28.9%0.0%1.1%1.3%39.4K-267.1K-2.9K0.00117.76N/AN/A00658149
2008-06-26$23.32$26.0016.4%4.7%21.8%25.9%0.0%-3.8%2.2%30.7K-118.2K-2.4K0.00113.97N/AN/A20658149
2008-06-27$23.30$26.0017.2%4.9%21.5%29.0%0.0%2.0%0.3%31.0K-171.9K-2.6K0.00120.06N/AN/A00658149
2008-06-30$23.54$26.0015.0%4.3%22.1%20.8%0.0%-0.1%2.3%36.1K-177.9K-2.4K0.00121.02N/AN/A00660149