CGW Options History — November 2008 In November 2008, CGW traded between $11.83 and $16.67. ATM implied volatility averaged 58.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 24.2% (HV 20d: 82.8%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2008-11-26 : Highest Volume — 10 contracts2008-11-20 : Largest IV spike — 149.0% change2008-11-06 : Highest IV Rank — 61.6%2008-11-06 : Largest Expected Move — 36.4%Monthly Statistics Metric Avg Min Max Open Close Price $14.71 $11.83 $16.67 $16.01 $14.29 Max Pain $14.42 $14.00 $16.00 $16.00 $14.00 ATM IV 58.6% 42.4% 126.9% 58.2% 48.0% Expected Move 16.3% 12.1% 36.4% 16.7% 13.8% HV 20d 82.8% 70.2% 94.6% 90.6% 87.1% HV 60d 67.3% 60.3% 77.2% 60.3% 76.6% IV Rank 24.8% 16.0% 61.6% 24.6% 19.1% IV Percentile 90.9% 86.1% 98.4% 93.7% 87.3% Term Structure -13.9% -51.9% -3.6% -8.8% -13.4% Skew 25d 3.3% -28.9% 73.5% 0.9% -1.0% Skew 10d -3.6% -52.1% 8.3% 6.2% 1.0% Call IV 25d 49.9% 38.6% 131.6% 48.9% 46.8% Put IV 25d 53.2% 40.1% 145.7% 49.8% 45.9% Bid-Ask Spread % 121.58 113.87 171.33 120.81 119.14 Gamma HHI 0.44 0.18 0.69 0.24 0.44 Net GEX -967 -1.7K 1.0K -326 -1.4K Net DEX 28.3K -3.1K 49.4K 14.4K 26.7K Net VEX -98 -274 -48 -170 -71 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.526 0 10 0 0 Total OI 198.263 133 248 248 143
Daily Data (19 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 2008-11-03 $16.01 $16.00 58.2% 16.7% 90.6% 24.6% 0.0% 0.9% -8.8% -326 14.4K -170 0.00 120.81 N/A N/A 0 0 201 47 2008-11-04 $16.67 $16.00 57.9% 16.6% 89.6% 24.4% 0.0% 4.7% -8.6% 276 5.0K -192 0.00 120.78 N/A N/A 0 0 201 47 2008-11-05 $16.10 $16.00 57.6% 16.5% 90.3% 24.3% 0.0% 0.2% -7.6% -469 14.6K -161 0.00 120.10 N/A N/A 0 0 201 47 2008-11-06 $15.26 $16.00 126.9% 36.4% 87.7% 61.6% 0.0% 73.5% -46.1% 1.0K -3.1K -274 0.00 171.33 N/A N/A 0 0 201 47 2008-11-07 $15.69 $14.00 54.4% 14.2% 87.9% 22.5% 0.0% 2.4% -10.3% -1.4K 26.9K -110 0.00 113.87 N/A N/A 0 0 156 47 2008-11-10 $15.79 $14.00 55.3% 14.1% 76.0% 23.0% 0.0% 4.0% -10.1% -1.6K 25.8K -102 0.00 115.09 N/A N/A 0 0 156 47 2008-11-11 $15.15 $14.00 58.6% 14.4% 76.9% 24.8% 0.0% 0.6% -11.3% -1.6K 33.0K -91 0.00 116.81 N/A N/A 0 0 156 47 2008-11-12 $14.30 $14.00 59.9% 14.0% 72.1% 25.5% 0.0% -0.5% -10.1% -1.4K 41.8K -75 0.00 114.65 N/A N/A 0 0 156 47 2008-11-13 $15.15 $14.00 49.7% 14.2% 73.7% 20.0% 0.0% 1.1% -9.3% -1.7K 33.7K -86 0.00 116.75 N/A N/A 0 0 156 47 2008-11-14 $14.50 $14.00 48.7% 14.0% 74.6% 19.5% 0.0% 2.0% -8.4% -1.6K 42.1K -72 0.00 114.74 N/A N/A 0 0 156 47 2008-11-17 $14.60 $14.00 45.1% 12.9% 74.8% 17.5% 0.0% 2.8% -7.1% -1.7K 42.0K -67 0.00 118.65 N/A N/A 0 0 156 47 2008-11-18 $14.29 $14.00 49.9% 14.3% 73.3% 20.1% 0.0% -3.9% -21.0% -1.3K 43.0K -68 0.00 119.06 N/A N/A 0 0 156 47 2008-11-19 $13.50 $14.00 45.2% 13.0% 70.2% 17.6% 0.0% -3.5% -10.3% -1.1K 48.8K -52 0.00 116.30 N/A N/A 0 0 156 47 2008-11-20 $11.83 $14.00 112.5% 32.3% 83.6% 53.8% 0.0% -28.9% -51.9% -118 41.8K -64 0.00 142.27 N/A N/A 0 0 156 47 2008-11-21 $13.35 $14.00 48.4% 13.9% 94.4% 19.3% 0.0% 2.9% -8.9% -900 49.4K -48 0.00 114.97 N/A N/A 0 0 156 47 2008-11-24 $14.03 $14.00 48.6% 13.9% 94.6% 19.4% 0.0% 1.8% -8.5% -983 18.6K -52 0.00 118.51 N/A N/A 0 0 106 27 2008-11-25 $14.50 $14.00 42.4% 12.1% 88.2% 16.0% 0.0% 1.8% -3.6% -1.0K 16.9K -54 0.00 117.87 N/A N/A 0 0 106 27 2008-11-26 $14.51 $14.00 45.7% 13.1% 87.2% 17.9% 0.0% 2.0% -8.8% -992 16.0K -53 0.00 118.28 N/A N/A 0 10 106 27 2008-11-28 $14.29 $14.00 48.0% 13.8% 87.1% 19.1% 0.0% -1.0% -13.4% -1.4K 26.7K -71 0.00 119.14 N/A N/A 0 0 106 37
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