CGW Options History — July 2008

In July 2008, CGW traded between $21.58 and $23.80. ATM implied volatility averaged 21.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 3.8% (HV 20d: 25.3%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2008-07-02: Highest Volume — 80 contracts
  • 2008-07-15: Largest IV spike — 35.9% change
  • 2008-07-25: Highest IV Rank — 62.1%
  • 2008-07-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.85$21.58$23.80$23.35$23.21
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV21.4%15.8%26.5%16.7%22.6%
Expected Move6.2%4.5%7.6%4.8%6.5%
HV 20d25.3%21.7%28.0%21.7%23.1%
HV 60d19.7%17.6%21.1%17.6%21.1%
IV Rank41.6%19.9%62.1%26.9%42.5%
IV Percentile56.1%17.5%85.7%22.2%65.1%
Term Structure0.4%-1.7%2.3%2.2%2.3%
Skew 25d4.1%-0.5%8.4%2.0%2.7%
Skew 10d3.0%-2.9%5.7%1.8%5.3%
Call IV 25d17.3%13.9%21.3%15.9%21.1%
Put IV 25d21.4%15.7%25.4%18.0%23.8%
Bid-Ask Spread %114.04105.91131.10120.50129.16
Gamma HHI0.350.300.430.430.36
Net GEX22.7K7.6K36.4K31.8K27.4K
Net DEX-103.9K-319.8K85.2K-118.9K-183.4K
Net VEX-2.1K-2.5K-1.5K-2.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.290.000.00
Total Volume8.318080405
Total OI856.5795875809857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$23.35$26.0016.7%4.8%21.7%26.9%0.0%2.0%2.2%31.8K-118.9K-2.3K0.00120.50N/AN/A400660149
2008-07-02$22.48$26.0017.5%5.0%24.6%26.8%0.0%1.0%1.6%17.0K47.6K-1.6K1.29118.73N/AN/A3545646149
2008-07-03$22.55$26.0015.8%4.5%23.1%19.9%0.0%-0.5%1.3%17.3K40.1K-2.0K0.00120.09N/AN/A200681194
2008-07-07$22.45$0.0019.4%5.7%23.0%34.1%0.0%3.7%-1.7%15.5K-4.2K-1.9K0.00110.25N/AN/A50701169
2008-07-08$22.72$0.0017.0%5.2%23.9%24.9%0.0%0.9%2.1%20.5K-62.3K-2.1K0.00111.53N/AN/A00706169
2008-07-09$22.26$0.0019.3%5.4%24.4%33.7%0.0%4.6%-0.5%14.5K5.5K-1.9K0.00112.39N/AN/A00706169
2008-07-10$22.37$0.0019.2%5.5%23.6%33.5%0.0%5.4%0.7%15.2K1.2K-1.9K0.00109.26N/AN/A100706169
2008-07-11$22.24$0.0018.5%5.3%23.5%30.7%0.0%4.1%-0.5%10.9K53.7K-1.7K0.00110.73N/AN/A00696169
2008-07-14$21.94$0.0017.9%5.1%22.5%28.3%0.0%2.6%0.1%7.6K79.7K-1.5K0.00111.63N/AN/A40696169
2008-07-15$21.58$0.0024.4%7.0%22.7%53.8%0.0%6.3%0.1%8.8K85.2K-1.6K0.00105.94N/AN/A00700169
2008-07-16$22.15$0.0024.8%7.1%25.5%55.6%0.0%3.7%0.2%13.9K11.6K-1.8K0.00109.65N/AN/A00700169
2008-07-17$22.75$0.0024.6%7.0%27.7%54.5%0.0%6.8%-0.2%21.3K-101.7K-2.2K0.00107.78N/AN/A70700169
2008-07-18$22.97$0.0024.1%6.9%28.0%52.5%0.0%8.4%0.7%23.0K-118.9K-2.2K0.00108.28N/AN/A00693169
2008-07-21$23.51$0.0020.2%5.8%27.8%37.2%0.0%1.2%-0.6%32.0K-268.2K-2.5K0.00105.91N/AN/A10681166
2008-07-22$23.70$0.0023.2%6.6%28.0%49.0%0.0%8.0%0.6%34.0K-276.9K-2.4K0.00108.92N/AN/A00682166
2008-07-23$23.80$0.0024.1%6.9%27.4%52.5%0.0%8.4%-1.0%36.4K-319.8K-2.5K0.00109.78N/AN/A00682166
2008-07-24$23.29$0.0024.9%7.1%27.9%55.7%0.0%5.5%0.9%28.0K-177.2K-2.1K0.00112.56N/AN/A90682166
2008-07-25$23.48$0.0026.5%7.6%26.7%62.1%0.0%5.4%-1.6%33.4K-292.4K-2.4K0.00111.56N/AN/A00689166
2008-07-28$23.25$0.0024.4%7.0%26.9%50.5%0.0%4.7%0.9%27.5K-186.6K-2.1K0.00113.49N/AN/A00689166
2008-07-29$23.24$0.0023.1%6.6%26.6%44.7%0.0%2.1%0.3%29.3K-222.4K-2.3K0.00131.10N/AN/A20689166
2008-07-30$23.48$0.0023.2%6.7%26.7%45.3%0.0%2.5%1.0%33.2K-278.0K-2.3K0.00129.67N/AN/A00691166
2008-07-31$23.21$0.0022.6%6.5%23.1%42.5%0.0%2.7%2.3%27.4K-183.4K-2.1K0.00129.16N/AN/A50691166