CGW Options History — January 2009 In January 2009, CGW traded between $12.61 and $14.77. ATM implied volatility averaged 46.2%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 0.6% (HV 20d: 45.6%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-01-06 : Highest Volume — 13 contracts2009-01-15 : Largest IV drop — 51.9% change2009-01-13 : Highest IV Rank — 37.2%2009-01-02 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $13.51 $12.61 $14.77 $14.59 $12.79 Max Pain $13.00 $13.00 $13.00 $13.00 $13.00 ATM IV 46.2% 34.5% 81.7% 46.5% 40.5% Expected Move 11.0% 9.4% 13.3% 13.3% 11.6% HV 20d 45.6% 41.4% 50.4% 50.4% 42.3% HV 60d 69.7% 63.8% 78.1% 78.1% 64.2% IV Rank 18.1% 11.8% 37.2% 18.3% 15.0% IV Percentile 77.1% 66.7% 95.2% 79.8% 71.8% Term Structure -0.3% -6.9% 8.8% -6.9% -2.4% VWIV 36.3% 36.3% 36.3% 36.3% 36.3% Skew 25d 5.3% 1.1% 13.5% 2.5% 3.5% Skew 10d 5.6% -3.4% 15.4% 8.5% -3.4% Call IV 25d 36.1% 22.6% 49.8% 49.8% 41.9% Put IV 25d 41.4% 36.1% 52.3% 52.3% 45.4% Bid-Ask Spread % 137.42 126.45 146.78 146.78 139.15 Gamma HHI 0.44 0.37 0.64 0.37 0.41 Net GEX -199 -1.8K 1.1K 462 -241 Net DEX 3.2K -19.6K 20.7K -11.7K 10.8K Net VEX -62 -100 -29 -95 -43 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.8 0 13 0 0 Total OI 81.65 39 119 106 42
Daily Data (20 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 2009-01-02 $14.59 $13.00 46.5% 13.3% 50.4% 18.3% 0.0% 2.5% -6.9% 462 -11.7K -95 0.00 146.78 N/A N/A 0 0 49 57 2009-01-05 $14.66 $13.00 39.1% 12.1% 46.8% 14.3% 0.0% 7.4% 1.5% 918 -14.0K -77 0.00 126.45 N/A N/A 0 0 49 57 2009-01-06 $14.77 $13.00 41.0% 10.4% 46.6% 15.3% 36.3% 4.8% 0.7% 1.1K -16.7K -69 0.00 133.66 N/A N/A 13 0 49 57 2009-01-07 $14.40 $13.00 51.3% 10.5% 46.2% 20.9% 0.0% 4.0% -0.0% 949 -15.9K -100 0.00 134.36 N/A N/A 0 0 62 57 2009-01-08 $14.51 $13.00 48.9% 9.4% 46.1% 19.6% 0.0% 13.5% 3.1% 1.0K -19.6K -99 0.00 137.06 N/A N/A 0 0 62 57 2009-01-09 $14.06 $13.00 52.8% 10.6% 46.7% 21.7% 0.0% 12.7% 2.5% 248 -7.6K -96 0.00 134.91 N/A N/A 0 0 62 57 2009-01-12 $13.65 $13.00 61.0% 9.8% 47.6% 26.1% 0.0% 6.8% 3.1% -690 4.8K -83 0.00 135.32 N/A N/A 0 0 62 57 2009-01-13 $13.49 $13.00 81.7% 10.9% 47.2% 37.2% 0.0% 3.1% 1.0% -959 9.9K -77 0.00 138.49 N/A N/A 0 0 62 57 2009-01-14 $13.11 $13.00 79.2% 10.8% 48.1% 35.9% 0.0% 3.2% -0.3% -1.8K 20.7K -68 0.00 136.12 N/A N/A 0 0 62 57 2009-01-15 $13.29 $13.00 38.1% 10.9% 42.1% 13.8% 0.0% 2.1% -1.5% -1.5K 15.3K -67 0.00 139.41 N/A N/A 0 0 62 57 2009-01-16 $13.47 $13.00 36.5% 10.5% 42.1% 12.9% 0.0% 4.5% 2.5% -1.6K -1.8K -50 0.00 136.36 N/A N/A 0 0 62 57 2009-01-20 $12.61 $13.00 36.9% 10.6% 46.4% 13.1% 0.0% 2.7% -2.3% -273 14.1K -29 0.00 135.16 N/A N/A 0 0 22 17 2009-01-21 $13.05 $13.00 38.8% 11.1% 48.8% 14.2% 0.0% 3.1% -1.8% -235 10.7K -41 0.00 142.16 N/A N/A 0 0 22 17 2009-01-22 $12.84 $13.00 38.9% 11.1% 48.1% 14.2% 0.0% 4.3% -0.8% -258 12.1K -36 0.00 139.37 N/A N/A 0 0 22 17 2009-01-23 $12.65 $13.00 38.7% 11.1% 47.9% 14.1% 0.0% 1.1% -4.1% -262 13.8K -30 0.00 139.24 N/A N/A 2 0 22 17 2009-01-26 $12.79 $13.00 38.1% 10.9% 41.4% 13.8% 0.0% 3.5% -1.0% -252 11.5K -42 0.00 138.72 N/A N/A 0 0 24 17 2009-01-27 $12.93 $13.00 40.6% 11.7% 41.6% 15.1% 0.0% 10.5% -3.8% -236 10.5K -43 0.00 140.92 N/A N/A 0 0 24 17 2009-01-28 $13.45 $13.00 34.5% 9.9% 44.1% 11.8% 0.0% 7.8% 8.8% -231 7.4K -48 0.00 139.23 N/A N/A 1 0 24 17 2009-01-29 $13.07 $13.00 41.4% 11.9% 42.1% 15.5% 0.0% 4.9% -4.5% -210 9.1K -47 0.00 135.46 N/A N/A 0 0 25 17 2009-01-30 $12.79 $13.00 40.5% 11.6% 42.3% 15.0% 0.0% 3.5% -2.4% -241 10.8K -43 0.00 139.15 N/A N/A 0 0 25 17
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