CGW Options History — August 2008

In August 2008, CGW traded between $22.62 and $23.89. ATM implied volatility averaged 24.3%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.3% (HV 20d: 21.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-08-15: Highest Volume — 50 contracts
  • 2008-08-13: Largest IV spike — 40.5% change
  • 2008-08-13: Highest IV Rank — 100.0%
  • 2008-08-07: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.34$22.62$23.89$23.00$23.43
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV24.3%18.3%38.0%24.3%18.3%
Expected Move6.6%5.2%7.3%7.0%5.2%
HV 20d21.0%17.2%25.9%23.4%17.2%
HV 60d22.1%21.1%22.4%21.1%22.0%
IV Rank47.7%22.4%100.0%49.8%22.4%
IV Percentile69.3%27.8%100.0%75.8%27.8%
Term Structure0.6%-3.1%5.1%2.5%5.1%
VWIV22.3%21.1%23.4%23.4%21.1%
Skew 25d4.1%-0.1%11.5%4.2%2.8%
Skew 10d4.1%2.4%5.2%5.2%4.6%
Call IV 25d18.3%11.7%21.2%21.2%17.4%
Put IV 25d22.4%19.6%25.4%25.4%20.2%
Bid-Ask Spread %125.33109.79139.05133.51126.17
Gamma HHI0.420.340.490.350.49
Net GEX30.5K19.6K40.8K23.4K30.5K
Net DEX-208.0K-347.2K-92.0K-132.1K-173.5K
Net VEX-1.6K-2.1K-1.0K-2.0K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.57105006
Total OI832.19799857857825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$23.00$0.0024.3%7.0%23.4%49.8%0.0%4.2%2.5%23.4K-132.1K-2.0K0.00133.51N/AN/A00691166
2008-08-04$22.62$24.0023.0%6.9%24.2%44.6%0.0%6.0%0.5%19.6K-97.5K-1.7K0.00115.30N/AN/A00691156
2008-08-05$23.28$24.0026.2%7.2%25.9%58.2%0.0%2.1%0.5%28.2K-208.1K-1.9K0.00123.11N/AN/A00691156
2008-08-06$23.55$24.0024.8%6.7%24.9%52.2%0.0%4.0%-1.8%32.6K-262.3K-2.0K0.00119.67N/AN/A00691156
2008-08-07$23.36$24.0028.8%7.3%25.1%69.1%0.0%4.4%0.8%32.9K-270.4K-2.0K0.00119.78N/AN/A00691156
2008-08-08$23.69$24.0021.8%6.9%25.3%39.1%0.0%11.5%-2.8%38.4K-327.3K-2.1K0.00109.79N/AN/A70691156
2008-08-11$23.89$24.0027.8%7.0%24.6%65.0%0.0%11.0%1.0%40.8K-347.2K-2.0K0.00120.40N/AN/A30690156
2008-08-12$23.74$24.0027.1%6.8%23.7%61.8%0.0%5.8%1.2%37.3K-301.1K-1.9K0.00115.02N/AN/A00693156
2008-08-13$23.60$24.0038.0%6.6%22.5%100.0%0.0%3.9%1.4%32.5K-239.4K-1.8K0.00124.66N/AN/A00693156
2008-08-14$23.59$24.0023.6%6.8%20.8%43.5%0.0%5.3%1.0%37.1K-287.3K-1.8K0.00122.20N/AN/A00693156
2008-08-15$23.60$24.0023.7%6.8%20.6%43.6%23.4%5.3%1.7%32.5K-237.7K-1.7K0.00114.41N/AN/A050693156
2008-08-18$23.44$24.0025.2%7.2%19.0%49.5%0.0%3.4%1.0%35.2K-236.1K-1.5K0.00124.14N/AN/A00693106
2008-08-19$23.15$24.0025.1%7.2%19.2%49.4%0.0%2.8%-0.2%29.2K-175.9K-1.3K0.00126.72N/AN/A00693106
2008-08-20$23.25$24.0024.8%7.1%19.2%47.9%0.0%2.7%0.5%27.8K-157.9K-1.3K0.00125.37N/AN/A200693106
2008-08-21$23.23$24.0024.6%7.1%17.7%47.4%0.0%3.6%0.8%31.1K-197.1K-1.4K0.00130.19N/AN/A00713106
2008-08-22$23.27$24.0020.1%5.7%17.4%29.4%0.0%2.1%1.3%28.3K-164.0K-1.2K0.00136.09N/AN/A00713106
2008-08-25$23.08$24.0021.3%6.1%17.3%34.2%0.0%-0.1%-3.1%26.4K-148.8K-1.2K0.00134.89N/AN/A00713106
2008-08-26$22.90$24.0021.2%6.1%17.5%33.8%0.0%0.5%-1.4%20.4K-92.0K-1.0K0.00139.05N/AN/A00713106
2008-08-27$23.08$24.0020.6%5.9%17.3%31.8%21.1%2.1%1.3%23.2K-118.9K-1.0K0.00137.23N/AN/A310713106
2008-08-28$23.40$24.0020.1%5.8%17.6%29.6%0.0%3.2%2.1%32.3K-193.5K-1.2K0.00134.18N/AN/A00719106
2008-08-29$23.43$24.0018.3%5.2%17.2%22.4%0.0%2.8%5.1%30.5K-173.5K-1.0K0.00126.17N/AN/A60719106