CGW Options History — March 2009 In March 2009, CGW traded between $10.33 and $12.47. ATM implied volatility averaged 67.8%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 17.7% (HV 20d: 50.1%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2009-03-17 : Highest Volume — 1 contracts2009-03-18 : Largest IV spike — 157.8% change2009-03-20 : Highest IV Rank — 68.4%2009-03-18 : Largest Expected Move — 30.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.49 $10.33 $12.47 $10.84 $12.17 Max Pain $13.00 $12.00 $15.00 $15.00 $12.00 ATM IV 67.8% 40.9% 139.6% 55.8% 72.5% Expected Move 16.4% 11.3% 30.3% 16.0% 20.8% HV 20d 50.1% 42.4% 54.6% 42.4% 47.3% HV 60d 45.3% 43.5% 47.0% 44.8% 43.9% IV Rank 29.7% 15.3% 68.4% 23.3% 32.3% IV Percentile 85.0% 61.1% 98.8% 83.3% 91.3% Term Structure -9.1% -29.4% -2.0% -15.1% -10.5% VWIV 50.3% 40.9% 59.7% 40.9% 59.7% Skew 25d 4.3% -7.4% 15.1% -7.0% 8.7% Skew 10d -0.3% -68.1% 37.2% -20.0% 8.7% Call IV 25d 55.3% 30.4% 121.0% 55.8% 58.0% Put IV 25d 59.6% 36.1% 131.8% 48.8% 66.7% Bid-Ask Spread % 149.50 117.14 192.89 117.14 174.37 Gamma HHI 0.29 0.25 0.32 0.28 0.29 Net GEX 19 0 54 54 11 Net DEX 319 -1.1K 1.4K 821 -1.1K Net VEX -17 -23 0 -19 -22 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 0.136 0 1 0 0 Total OI 20.636 7 29 28 7
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 2009-03-02 $10.84 $15.00 55.8% 16.0% 42.4% 23.3% 0.0% -7.0% -15.1% 54 821 -19 0.00 117.14 N/A N/A 0 0 25 3 2009-03-03 $10.74 $15.00 51.7% 14.8% 42.4% 21.1% 0.0% -1.6% -10.8% 29 1.1K -17 0.00 119.43 N/A N/A 0 0 25 3 2009-03-04 $11.27 $15.00 51.2% 14.7% 44.9% 20.8% 0.0% 0.0% -13.4% 0 1.1K 0 0.00 117.49 N/A N/A 0 0 21 1 2009-03-05 $10.62 $15.00 54.8% 15.7% 48.3% 22.7% 0.0% -7.4% -14.2% 27 1.1K -17 0.00 119.98 N/A N/A 0 0 25 3 2009-03-06 $10.56 $0.00 56.5% 11.8% 47.9% 23.7% 0.0% 4.6% -5.6% 26 1.2K -16 0.00 143.65 N/A N/A 0 0 25 3 2009-03-09 $10.33 $0.00 64.2% 12.5% 45.5% 27.8% 0.0% 5.6% -6.3% 19 1.4K -15 0.00 142.91 N/A N/A 0 0 25 3 2009-03-10 $10.93 $0.00 58.3% 11.6% 51.5% 24.6% 0.0% 0.0% -2.8% 0 1.1K 0 0.00 120.45 N/A N/A 0 0 21 1 2009-03-11 $10.87 $0.00 60.5% 12.9% 50.7% 25.8% 0.0% 4.3% -3.2% 25 952 -17 0.00 150.09 N/A N/A 0 0 25 3 2009-03-12 $11.19 $0.00 41.7% 11.9% 52.4% 15.7% 0.0% 5.7% -4.0% 28 774 -18 0.00 143.54 N/A N/A 0 0 25 3 2009-03-13 $11.22 $0.00 43.1% 12.3% 52.6% 16.4% 0.0% 3.0% -4.9% 35 703 -18 0.00 143.07 N/A N/A 0 0 25 3 2009-03-16 $11.31 $0.00 51.2% 14.7% 52.7% 20.8% 0.0% 0.0% -5.1% 0 1.1K 0 0.00 154.95 N/A N/A 0 0 21 1 2009-03-17 $11.73 $0.00 40.9% 11.7% 53.2% 15.3% 0.0% 5.5% -2.0% 38 413 -19 0.00 139.38 N/A N/A 0 1 25 3 2009-03-18 $12.00 $0.00 105.6% 30.3% 53.8% 50.1% 0.0% 10.8% -29.4% 10 443 -23 0.00 177.23 N/A N/A 0 0 25 4 2009-03-19 $11.83 $12.00 102.5% 11.3% 53.9% 48.4% 40.9% 5.7% 0.0% 23 797 -22 0.00 123.43 N/A N/A 0 1 25 4 2009-03-20 $11.84 $12.00 139.6% 11.4% 53.4% 68.4% 0.0% 5.8% 0.0% 21 880 -22 0.00 125.40 N/A N/A 0 0 25 4 2009-03-23 $12.39 $0.00 84.1% 24.1% 54.6% 38.5% 0.0% 15.1% -10.5% 11 -977 -23 0.00 192.89 N/A N/A 0 0 4 3 2009-03-24 $12.20 $12.00 71.1% 20.4% 53.1% 31.6% 0.0% 4.7% 0.0% 10 -961 -23 0.00 175.48 N/A N/A 0 0 4 3 2009-03-25 $12.37 $12.00 71.5% 20.5% 51.9% 31.8% 0.0% 4.3% 0.0% 10 -995 -23 0.00 177.55 N/A N/A 0 0 4 3 2009-03-26 $12.47 $12.00 70.9% 20.3% 50.9% 31.4% 0.0% 4.4% 0.0% 11 -1.0K -23 0.00 177.56 N/A N/A 0 0 4 3 2009-03-27 $12.18 $12.00 71.0% 20.3% 51.8% 31.5% 59.7% 4.8% 0.0% 10 -918 -22 0.00 177.50 N/A N/A 1 0 4 3 2009-03-30 $11.80 $12.00 72.5% 20.8% 46.6% 32.3% 0.0% 4.9% 0.0% 10 -875 -22 0.00 175.48 N/A N/A 0 0 4 3 2009-03-31 $12.17 $12.00 72.5% 20.8% 47.3% 32.3% 0.0% 8.7% 0.0% 11 -1.1K -22 0.00 174.37 N/A N/A 0 0 4 3
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