CGW Options History — September 2008

In September 2008, CGW traded between $19.51 and $23.11. ATM implied volatility averaged 29.0%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.6% (HV 20d: 29.7%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2008-09-17: Highest Volume — 45 contracts
2008-09-18: Largest IV spike — 371.3% change
2008-09-18: Highest IV Rank — 100.0%
2008-09-18: Largest Expected Move — 30.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.33	$19.51	$23.11	$23.10	$19.70
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	29.0%	19.9%	104.6%	21.4%	21.0%
Expected Move	8.2%	5.6%	30.0%	6.1%	6.0%
HV 20d	29.7%	13.4%	43.2%	16.9%	43.2%
HV 60d	26.0%	22.0%	30.4%	22.0%	30.4%
IV Rank	33.5%	9.2%	100.0%	34.6%	9.2%
IV Percentile	63.4%	38.5%	100.0%	57.5%	45.2%
Term Structure	-5.0%	-83.7%	4.8%	0.4%	0.1%
VWIV	17.2%	17.2%	17.2%	17.2%	17.2%
Skew 25d	0.7%	-17.3%	7.4%	3.4%	-3.1%
Skew 10d	-1.1%	-35.6%	4.7%	4.0%	-3.6%
Call IV 25d	28.7%	16.5%	139.4%	19.6%	22.8%
Put IV 25d	29.4%	18.8%	122.1%	23.0%	19.7%
Bid-Ask Spread %	133.70	117.32	184.58	140.14	124.18
Gamma HHI	0.28	0.22	0.40	0.39	0.36
Net GEX	6.8K	-724	24.9K	22.7K	5.6K
Net DEX	-16.7K	-177.8K	149.1K	-117.1K	-44.0K
Net VEX	-489	-981	-243	-969	-322
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	2.00	0.00	2.00
Total Volume	4.143	0	45	0	0
Total OI	588.905	154	831	831	162

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-09-02	$23.10	$24.00	21.4%	6.1%	16.9%	34.6%	0.0%	3.4%	0.4%	22.7K	-117.1K	-969	0.00	140.14	N/A	N/A	0	0	725	106
2008-09-03	$23.11	$24.00	21.3%	6.1%	13.4%	34.5%	17.2%	7.4%	4.2%	24.9K	-124.7K	-981	0.00	135.60	N/A	N/A	4	0	725	106
2008-09-04	$21.89	$24.00	21.1%	6.0%	22.7%	33.5%	0.0%	2.1%	1.4%	1.1K	85.1K	-543	0.00	131.92	N/A	N/A	0	0	721	106
2008-09-05	$21.57	$0.00	22.2%	5.6%	23.0%	37.8%	0.0%	2.8%	1.7%	793	104.0K	-513	0.00	124.52	N/A	N/A	0	1	721	106
2008-09-08	$21.85	$0.00	23.6%	6.1%	22.9%	43.2%	0.0%	1.3%	0.2%	1.4K	72.1K	-523	0.00	123.45	N/A	N/A	0	0	721	99
2008-09-09	$20.90	$0.00	23.2%	6.3%	26.5%	41.8%	0.0%	5.1%	1.1%	309	149.1K	-324	0.00	117.32	N/A	N/A	0	0	721	99
2008-09-10	$21.26	$0.00	24.8%	6.4%	27.8%	47.9%	0.0%	5.1%	1.1%	-724	128.0K	-393	0.00	118.36	N/A	N/A	0	0	721	99
2008-09-11	$21.08	$0.00	22.5%	6.4%	27.8%	39.0%	0.0%	4.2%	0.8%	60	134.9K	-360	0.00	125.27	N/A	N/A	2	0	721	99
2008-09-12	$21.44	$0.00	19.9%	5.7%	28.9%	28.8%	0.0%	2.0%	4.4%	7.3K	52.3K	-311	0.00	128.21	N/A	N/A	0	0	723	54
2008-09-15	$21.00	$0.00	21.1%	6.1%	29.4%	33.7%	0.0%	1.8%	4.0%	4.8K	69.5K	-249	0.00	127.81	N/A	N/A	0	0	723	54
2008-09-16	$21.10	$0.00	22.5%	6.5%	29.6%	39.1%	0.0%	3.2%	-4.3%	5.1K	65.8K	-266	0.00	127.96	N/A	N/A	4	0	723	54
2008-09-17	$20.85	$0.00	22.2%	6.4%	29.6%	37.8%	0.0%	6.3%	4.8%	4.4K	71.1K	-243	0.00	130.42	N/A	N/A	45	0	723	54
2008-09-18	$21.37	$0.00	104.6%	30.0%	31.3%	100.0%	0.0%	-17.3%	-83.7%	2.4K	-177.8K	-665	0.00	184.58	N/A	N/A	16	0	768	5
2008-09-19	$22.04	$0.00	24.9%	7.1%	33.7%	13.5%	0.0%	-0.9%	-9.2%	15.1K	-175.8K	-565	0.00	138.44	N/A	N/A	7	0	765	5
2008-09-22	$21.69	$0.00	26.2%	7.5%	34.0%	14.8%	0.0%	-4.3%	-10.1%	9.4K	-148.9K	-530	0.00	151.38	N/A	N/A	2	0	154	0
2008-09-23	$21.15	$0.00	22.1%	6.3%	34.8%	10.4%	0.0%	1.4%	-0.7%	8.4K	-109.0K	-490	2.00	132.45	N/A	N/A	2	4	156	0
2008-09-24	$21.01	$0.00	21.8%	6.2%	34.8%	10.0%	0.0%	3.9%	1.1%	8.2K	-94.1K	-487	0.00	118.73	N/A	N/A	0	0	158	4
2008-09-25	$21.36	$0.00	22.7%	6.5%	35.3%	11.0%	0.0%	2.1%	-0.1%	8.7K	-110.2K	-526	0.00	132.80	N/A	N/A	0	0	158	4
2008-09-26	$21.04	$0.00	21.5%	6.2%	34.9%	9.7%	0.0%	4.6%	4.1%	8.2K	-96.1K	-509	0.00	130.34	N/A	N/A	0	0	158	4
2008-09-29	$19.51	$0.00	79.4%	22.8%	42.7%	72.6%	0.0%	-15.8%	-27.1%	4.3K	-84.0K	-493	0.00	163.78	N/A	N/A	0	0	158	4
2008-09-30	$19.70	$0.00	21.0%	6.0%	43.2%	9.2%	0.0%	-3.1%	0.1%	5.6K	-44.0K	-322	0.00	124.18	N/A	N/A	0	0	158	4