CGW Options History — February 2009

In February 2009, CGW traded between $11.50 and $13.66. ATM implied volatility averaged 49.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 9.2% (HV 20d: 39.8%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.00.

Notable Days

2009-02-17: Highest Volume — 3 contracts
2009-02-25: Largest IV spike — 155.8% change
2009-02-25: Highest IV Rank — 57.8%
2009-02-25: Largest Expected Move — 34.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.63	$11.50	$13.66	$12.66	$11.60
Max Pain	$14.58	$13.00	$15.00	$13.00	$15.00
ATM IV	49.0%	38.9%	119.8%	44.6%	46.0%
Expected Move	13.3%	10.2%	34.4%	12.8%	13.2%
HV 20d	39.8%	34.5%	43.3%	40.2%	36.6%
HV 60d	56.1%	43.6%	63.7%	63.6%	43.6%
IV Rank	19.6%	14.2%	57.8%	17.3%	18.0%
IV Percentile	75.8%	67.5%	97.2%	75.0%	75.0%
Term Structure	-5.4%	-24.9%	2.5%	-8.3%	-8.6%
VWIV	80.3%	80.3%	80.3%	80.3%	80.3%
Skew 25d	4.8%	-2.2%	40.1%	-0.1%	-1.2%
Skew 10d	-4.4%	-41.3%	3.8%	-6.9%	-8.6%
Call IV 25d	45.0%	35.8%	90.1%	46.8%	49.8%
Put IV 25d	49.8%	40.5%	130.2%	46.7%	48.6%
Bid-Ask Spread %	128.01	119.57	146.40	141.11	122.83
Gamma HHI	0.43	0.30	0.55	0.44	0.30
Net GEX	-163	-374	180	-245	77
Net DEX	7.2K	-4.5K	14.7K	12.1K	157
Net VEX	-34	-46	-21	-37	-21
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	2.00	2.00	2.00	2.00
Total Volume	0.211	0	3	0	0
Total OI	38.316	28	45	42	28

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
2009-02-02	$12.66	$13.00	44.6%	12.8%	40.2%	17.3%	0.0%	-0.1%	-8.3%	-245	12.1K	-37	0.00	141.11	N/A	N/A	0	0	25	17
2009-02-03	$13.06	$13.00	43.3%	12.4%	42.2%	16.6%	0.0%	6.0%	-8.1%	-217	10.3K	-40	0.00	141.28	N/A	N/A	0	0	25	17
2009-02-04	$13.09	$13.00	43.4%	12.4%	42.1%	16.6%	0.0%	4.5%	-6.8%	-250	9.9K	-41	0.00	141.10	N/A	N/A	0	0	25	17
2009-02-05	$13.18	$13.00	44.5%	12.8%	41.7%	17.2%	0.0%	6.2%	-5.5%	-249	9.6K	-40	0.00	141.10	N/A	N/A	0	0	25	17
2009-02-06	$13.58	$15.00	44.2%	10.2%	43.2%	17.1%	0.0%	4.8%	2.4%	-146	6.3K	-46	0.00	123.19	N/A	N/A	0	0	25	17
2009-02-09	$13.66	$15.00	45.7%	10.4%	42.0%	17.9%	0.0%	4.6%	2.5%	-145	5.8K	-44	0.00	123.10	N/A	N/A	0	0	25	17
2009-02-10	$13.17	$15.00	53.4%	10.9%	42.7%	22.0%	0.0%	4.7%	0.9%	-236	9.5K	-38	0.00	123.72	N/A	N/A	0	0	25	17
2009-02-11	$13.16	$15.00	52.0%	11.1%	42.5%	21.2%	0.0%	5.6%	1.2%	-294	9.6K	-37	0.00	123.96	N/A	N/A	0	0	25	17
2009-02-12	$13.12	$15.00	40.0%	11.5%	41.3%	14.8%	0.0%	2.5%	-2.4%	-289	9.7K	-36	0.00	125.26	N/A	N/A	0	0	25	17
2009-02-13	$13.15	$15.00	38.9%	11.2%	41.0%	14.2%	0.0%	3.6%	-0.6%	-315	9.6K	-36	0.00	124.99	N/A	N/A	0	0	25	17
2009-02-17	$12.60	$15.00	42.6%	12.2%	43.3%	16.2%	0.0%	6.1%	-5.3%	-374	13.0K	-27	2.00	120.96	N/A	N/A	1	2	25	17
2009-02-18	$12.39	$15.00	43.8%	12.6%	36.9%	16.8%	0.0%	-1.5%	-6.3%	-359	14.7K	-33	0.00	119.57	N/A	N/A	0	0	26	19
2009-02-19	$12.30	$15.00	44.9%	12.9%	34.5%	17.4%	0.0%	-0.2%	-8.2%	-329	9.3K	-30	0.00	123.87	N/A	N/A	0	0	26	14
2009-02-20	$12.04	$15.00	43.1%	12.4%	34.8%	16.5%	0.0%	-1.3%	-6.1%	-236	11.3K	-27	0.00	120.29	N/A	N/A	0	0	26	14
2009-02-23	$11.68	$15.00	43.4%	12.4%	35.9%	16.6%	80.3%	3.3%	-5.8%	88	1.4K	-22	0.00	123.58	N/A	N/A	0	1	25	4
2009-02-24	$12.17	$15.00	46.8%	13.4%	39.0%	18.5%	0.0%	6.1%	-2.4%	167	-842	-26	0.00	123.37	N/A	N/A	0	0	25	3
2009-02-25	$11.79	$15.00	119.8%	34.4%	40.0%	57.8%	0.0%	40.1%	-24.9%	180	-4.5K	-35	0.00	146.40	N/A	N/A	0	0	25	3
2009-02-26	$11.50	$15.00	50.3%	14.4%	37.0%	20.4%	0.0%	-2.2%	-9.7%	74	214	-21	0.00	122.56	N/A	N/A	0	0	25	3
2009-02-27	$11.60	$15.00	46.0%	13.2%	36.6%	18.0%	0.0%	-1.2%	-8.6%	77	157	-21	0.00	122.83	N/A	N/A	0	0	25	3