CGW Options History — December 2008

In December 2008, CGW traded between $13.18 and $15.41. ATM implied volatility averaged 62.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 14.7% (HV 20d: 76.9%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.17.

Notable Days

2008-12-23: Highest Volume — 50 contracts
2008-12-04: Largest IV spike — 173.0% change
2008-12-04: Highest IV Rank — 66.0%
2008-12-04: Largest Expected Move — 38.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.14	$13.18	$15.41	$13.18	$14.15
Max Pain	$13.77	$13.00	$14.00	$14.00	$13.00
ATM IV	62.2%	42.1%	135.1%	48.2%	51.5%
Expected Move	17.8%	12.1%	38.7%	13.8%	14.8%
HV 20d	76.9%	50.1%	91.6%	90.5%	50.1%
HV 60d	79.4%	78.0%	80.3%	78.0%	78.7%
IV Rank	26.7%	15.9%	66.0%	19.2%	21.0%
IV Percentile	89.2%	77.4%	98.4%	87.3%	84.1%
Term Structure	-7.5%	-44.2%	3.5%	-9.3%	-12.7%
VWIV	68.6%	41.4%	104.0%	60.4%	41.4%
Skew 25d	11.0%	-5.7%	76.5%	0.8%	2.4%
Skew 10d	13.6%	-35.6%	104.3%	-4.4%	7.7%
Call IV 25d	50.7%	38.5%	156.9%	48.6%	49.7%
Put IV 25d	61.7%	46.4%	151.1%	49.5%	52.1%
Bid-Ask Spread %	129.75	112.73	188.22	119.99	151.88
Gamma HHI	0.39	0.17	0.53	0.53	0.37
Net GEX	-1.5K	-2.6K	-71	-1.2K	-71
Net DEX	23.5K	-1.5K	42.4K	36.2K	-1.5K
Net VEX	-120	-161	-49	-49	-103
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.00	2.00	2.00	1.50
Total Volume	5.455	0	50	0	0
Total OI	161.227	96	213	143	106

Daily Data (22 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
2008-12-01	$13.18	$14.00	48.2%	13.8%	90.5%	19.2%	0.0%	0.8%	-9.3%	-1.2K	36.2K	-49	0.00	119.99	N/A	N/A	0	0	106	37
2008-12-02	$13.71	$14.00	47.7%	13.7%	91.6%	18.9%	0.0%	-2.2%	-11.9%	-1.5K	31.7K	-60	0.00	121.00	N/A	N/A	0	0	106	37
2008-12-03	$14.07	$14.00	49.5%	14.2%	90.8%	19.9%	0.0%	1.5%	-9.3%	-1.6K	29.4K	-61	0.00	118.20	N/A	N/A	0	10	106	37
2008-12-04	$13.41	$14.00	135.1%	38.7%	91.4%	66.0%	0.0%	-5.7%	-44.2%	-455	28.2K	-104	2.00	151.96	N/A	N/A	10	20	106	47
2008-12-05	$13.65	$14.00	63.2%	18.1%	90.3%	27.3%	60.4%	7.4%	-3.8%	-1.7K	37.4K	-136	0.00	115.26	N/A	N/A	0	20	116	67
2008-12-08	$14.13	$14.00	68.2%	18.6%	90.6%	30.0%	0.0%	13.4%	-4.3%	-2.2K	39.7K	-161	0.00	112.73	N/A	N/A	0	0	116	87
2008-12-09	$14.01	$14.00	65.7%	18.5%	90.6%	28.6%	0.0%	11.5%	-3.8%	-2.3K	42.4K	-158	0.00	120.69	N/A	N/A	0	0	116	87
2008-12-10	$14.36	$14.00	62.3%	18.8%	90.2%	26.8%	0.0%	16.0%	-5.1%	-2.4K	35.9K	-156	0.00	114.77	N/A	N/A	0	0	116	87
2008-12-11	$14.17	$14.00	64.5%	18.5%	87.9%	28.0%	0.0%	14.0%	-4.6%	-2.5K	39.8K	-153	0.00	115.93	N/A	N/A	0	0	116	87
2008-12-12	$14.41	$14.00	65.8%	18.9%	85.5%	28.7%	0.0%	15.2%	-4.9%	-2.5K	34.4K	-150	0.00	116.33	N/A	N/A	0	0	116	87
2008-12-15	$14.31	$14.00	66.6%	19.1%	84.1%	29.1%	0.0%	6.9%	-5.0%	-2.6K	33.8K	-139	0.00	120.58	N/A	N/A	0	0	116	87
2008-12-16	$15.21	$14.00	102.6%	29.4%	86.9%	48.5%	104.0%	76.5%	-31.5%	-1.4K	19.5K	-140	0.00	188.22	N/A	N/A	10	0	116	87
2008-12-17	$15.41	$14.00	64.1%	18.4%	86.5%	27.8%	0.0%	23.8%	-4.1%	-1.6K	5.1K	-136	0.00	117.64	N/A	N/A	0	0	126	87
2008-12-18	$14.94	$14.00	64.4%	18.5%	84.6%	27.9%	0.0%	16.8%	-4.2%	-2.1K	12.7K	-140	0.00	119.79	N/A	N/A	0	0	126	87
2008-12-19	$14.78	$14.00	63.3%	18.1%	67.8%	27.3%	0.0%	12.8%	-2.4%	-2.3K	14.8K	-135	0.00	122.54	N/A	N/A	0	0	126	87
2008-12-22	$14.33	$14.00	65.0%	18.6%	55.5%	28.2%	0.0%	6.3%	-1.5%	-1.2K	16.9K	-125	0.00	125.37	N/A	N/A	0	0	29	67
2008-12-23	$14.46	$14.00	42.9%	12.3%	52.8%	16.3%	41.4%	4.9%	1.3%	-1.4K	13.2K	-105	1.50	139.32	N/A	N/A	20	30	29	67
2008-12-24	$13.45	$13.00	43.0%	12.3%	57.5%	16.4%	0.0%	7.7%	3.5%	-813	15.6K	-114	0.00	137.16	N/A	N/A	0	0	49	57
2008-12-26	$13.51	$13.00	42.1%	12.1%	57.6%	15.9%	0.0%	3.2%	-1.6%	-817	13.9K	-109	0.00	140.40	N/A	N/A	0	0	49	57
2008-12-29	$13.44	$13.00	47.3%	13.5%	57.4%	18.7%	0.0%	3.8%	-3.3%	-888	15.7K	-102	0.00	140.27	N/A	N/A	0	0	49	57
2008-12-30	$14.04	$13.00	45.3%	13.0%	51.8%	17.6%	0.0%	5.6%	-2.0%	-193	1.8K	-101	0.00	144.50	N/A	N/A	0	0	49	57
2008-12-31	$14.15	$13.00	51.5%	14.8%	50.1%	21.0%	0.0%	2.4%	-12.7%	-71	-1.5K	-103	0.00	151.88	N/A	N/A	0	0	49	57