CGW Options History — October 2008

In October 2008, CGW traded between $13.21 and $19.70. ATM implied volatility averaged 80.1%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 8.1% (HV 20d: 72.0%). Max pain ranged from $16.00 to $22.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-10-08: Highest Volume — 53 contracts
  • 2008-10-02: Largest IV spike — 237.1% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-24: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.12$13.21$19.70$19.70$15.73
Max Pain$18.70$16.00$22.00$22.00$16.00
ATM IV80.1%26.1%198.2%26.1%58.0%
Expected Move16.4%7.5%31.1%7.5%16.6%
HV 20d72.0%43.2%94.2%43.2%93.2%
HV 60d47.5%30.3%60.3%30.3%60.3%
IV Rank43.0%9.9%100.0%14.7%24.5%
IV Percentile95.9%81.7%100.0%81.7%93.3%
Term Structure-12.1%-34.5%-2.3%-5.3%-8.7%
VWIV42.0%38.5%45.6%38.5%45.6%
Skew 25d0.8%-25.7%21.7%-1.3%1.2%
Skew 10d6.1%-16.6%35.8%-2.5%7.3%
Call IV 25d55.6%25.4%119.4%25.4%48.4%
Put IV 25d56.4%24.1%107.6%24.1%49.6%
Bid-Ask Spread %137.75110.45178.23135.49120.40
Gamma HHI0.360.180.900.350.23
Net GEX1.0K-1.2K5.7K5.7K-274
Net DEX-4.2K-62.4K44.5K-45.6K15.6K
Net VEX-188-417-53-330-175
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.52205300
Total OI210.174162248162248

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$19.70$0.0026.1%7.5%43.2%14.7%0.0%-1.3%-5.3%5.7K-45.6K-3300.00135.49N/AN/A001584
2008-10-02$18.53$0.0087.9%25.2%44.2%81.9%0.0%-25.7%-34.5%3.5K-62.4K-4170.00163.75N/AN/A001584
2008-10-03$18.85$0.0038.8%11.1%45.1%28.5%0.0%21.7%-2.3%2.5K-11.4K-1550.00128.05N/AN/A001584
2008-10-06$17.55$22.00123.8%19.0%49.9%100.0%0.0%8.4%-10.1%2.7K-49.2K-3590.00168.99N/AN/A001584
2008-10-07$16.54$22.00138.9%19.8%51.5%100.0%0.0%-5.7%-13.3%2.1K-32.1K-2670.00171.14N/AN/A011584
2008-10-08$16.27$22.0062.5%10.4%50.3%39.5%38.5%9.1%-3.9%6152.3K-590.00127.20N/AN/A5301585
2008-10-09$15.03$22.00188.0%21.3%55.4%100.0%0.0%-16.2%-15.1%1.7K-22.5K-2320.00160.17N/AN/A002015
2008-10-10$15.36$22.00198.2%21.9%55.8%100.0%0.0%-8.1%-14.9%1.9K-25.7K-2470.00163.71N/AN/A002015
2008-10-13$17.32$22.00173.4%21.4%73.9%86.7%0.0%5.1%-17.2%3.4K-57.0K-3850.00178.23N/AN/A002015
2008-10-14$17.41$22.0073.5%9.7%73.9%32.8%0.0%2.0%-6.1%1.8K-5.8K-1210.00134.44N/AN/A012015
2008-10-15$15.81$22.0077.6%22.3%80.1%35.1%0.0%0.8%-15.8%2.2K-29.8K-2610.00172.65N/AN/A002016
2008-10-16$16.47$22.0045.6%13.1%81.4%17.8%45.6%7.3%-10.1%1.2K-799-880.00117.17N/AN/A0242016
2008-10-17$16.72$16.0042.4%12.1%80.4%16.0%0.0%7.6%-8.8%2006.1K-1170.00112.60N/AN/A0520122
2008-10-20$16.62$16.0030.9%8.9%80.4%9.9%0.0%6.1%-3.6%-1.0K15.4K-900.00121.52N/AN/A0020127
2008-10-21$15.82$16.0038.7%11.1%81.4%14.1%0.0%4.9%-10.0%-1.2K21.5K-750.00121.22N/AN/A0020127
2008-10-22$14.56$16.0035.3%10.1%84.8%12.2%0.0%3.2%-9.7%-1.0K28.4K-530.00118.63N/AN/A0020127
2008-10-23$14.49$16.0058.6%16.8%84.0%24.8%0.0%8.1%-10.3%-25122.1K-950.00110.45N/AN/A02020127
2008-10-24$13.83$16.00108.6%31.1%84.5%51.8%0.0%-11.8%-29.1%57911.2K-2610.00157.18N/AN/A0020147
2008-10-27$13.21$16.0058.0%16.6%82.6%24.5%0.0%5.8%-7.0%-89844.5K-810.00120.87N/AN/A0020147
2008-10-28$14.60$16.0058.8%16.9%92.5%24.9%0.0%0.1%-9.7%-87331.3K-1310.00121.23N/AN/A0020147
2008-10-29$15.14$16.0059.0%16.9%94.2%25.0%0.0%-1.2%-9.4%-62625.1K-1630.00116.12N/AN/A0020147
2008-10-30$15.30$16.0059.0%16.9%92.7%25.0%0.0%-4.2%-23.2%-32921.4K-1650.00127.10N/AN/A0020147
2008-10-31$15.73$16.0058.0%16.6%93.2%24.5%0.0%1.2%-8.7%-27415.6K-1750.00120.40N/AN/A0020147