CGW Options History — May 2009 In May 2009, CGW traded between $13.98 and $15.17. ATM implied volatility averaged 57.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 25.2% (HV 20d: 31.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 9 of 19 trading days. Put/call ratio averaged 0.00.
Notable Days 2009-05-13 : Highest Volume — 10 contracts2009-05-26 : Largest IV drop — 19.9% change2009-05-22 : Highest IV Rank — 32.2%2009-05-22 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.67 $13.98 $15.17 $13.98 $15.17 Max Pain $12.95 $12.00 $14.00 $12.00 $14.00 ATM IV 57.0% 50.4% 72.3% 55.1% 57.7% Expected Move 16.4% 14.4% 20.7% 15.8% 16.5% HV 20d 31.9% 29.0% 36.2% 30.3% 31.6% HV 60d 40.9% 36.6% 42.4% 41.0% 36.6% IV Rank 23.9% 20.4% 32.2% 22.9% 24.1% IV Percentile 74.5% 63.9% 90.5% 72.2% 76.2% VWIV 46.8% 43.2% 50.4% 50.4% 43.2% Skew 25d 11.0% -8.8% 33.1% 33.1% 11.3% Skew 10d -11.2% -40.8% 19.5% -0.5% -15.9% Call IV 25d 53.4% 32.1% 78.4% 32.1% 55.7% Put IV 25d 64.3% 49.7% 69.6% 65.2% 67.0% Bid-Ask Spread % 180.80 168.66 187.28 186.63 179.15 Gamma HHI 0.38 0.31 0.41 0.31 0.39 Net GEX 35 -45 176 21 -39 Net DEX -3.2K -6.9K -75 -2.4K -2.0K Net VEX -49 -70 -12 -22 -66 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 0.789 0 10 0 0 Total OI 15.842 5 22 7 22
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 2009-05-01 $13.98 $12.00 55.1% 15.8% 30.3% 22.9% 0.0% 33.1% 0.0% 21 -2.4K -22 0.00 186.63 N/A N/A 0 0 4 3 2009-05-04 $14.47 $12.00 55.4% 15.9% 31.1% 23.1% 50.4% 14.0% 0.0% 23 -2.9K -21 0.00 183.37 N/A N/A 5 0 4 3 2009-05-05 $14.45 $12.00 55.6% 15.9% 31.1% 23.2% 0.0% 11.2% 0.0% 104 -6.1K -39 0.00 184.93 N/A N/A 0 0 9 3 2009-05-06 $14.45 $12.00 56.6% 16.2% 30.8% 23.7% 0.0% 7.4% 0.0% 165 -5.9K -35 0.00 178.29 N/A N/A 0 0 9 3 2009-05-07 $14.45 $12.00 56.0% 16.1% 29.7% 23.4% 0.0% 12.7% 0.0% 104 -6.1K -38 0.00 184.93 N/A N/A 0 0 9 3 2009-05-08 $14.92 $12.00 54.2% 15.5% 29.0% 22.4% 0.0% 7.4% 0.0% 166 -6.9K -35 0.00 174.04 N/A N/A 0 0 9 3 2009-05-11 $14.48 $12.00 57.6% 16.5% 31.8% 24.2% 0.0% 9.2% 0.0% 169 -5.9K -35 0.00 178.66 N/A N/A 0 0 9 3 2009-05-12 $14.68 $12.00 54.7% 15.7% 30.7% 22.7% 0.0% 8.0% 0.0% 176 -6.3K -34 0.00 168.66 N/A N/A 0 0 9 3 2009-05-13 $14.07 $12.00 50.4% 14.4% 34.7% 20.4% 43.2% 6.3% 0.0% 107 -5.4K -37 0.00 182.94 N/A N/A 0 10 9 3 2009-05-15 $14.28 $14.00 57.4% 16.4% 34.4% 24.1% 0.0% 13.4% 0.0% -44 -75 -69 0.00 184.73 N/A N/A 0 0 9 13 2009-05-18 $14.80 $14.00 55.0% 15.8% 36.2% 22.9% 0.0% 12.3% 0.0% -45 -1.2K -69 0.00 181.75 N/A N/A 0 0 9 13 2009-05-19 $15.03 $14.00 55.6% 15.9% 31.9% 23.2% 0.0% 11.9% 0.0% -42 -1.7K -70 0.00 180.49 N/A N/A 0 0 9 13 2009-05-20 $14.92 $14.00 56.0% 16.1% 32.0% 23.4% 0.0% 11.2% 0.0% -42 -1.5K -69 0.00 180.49 N/A N/A 0 0 9 13 2009-05-21 $14.84 $12.00 62.9% 18.0% 32.0% 27.1% 0.0% 0.0% 0.0% -7 -1.4K -12 0.00 187.28 N/A N/A 0 0 2 3 2009-05-22 $14.85 $14.00 72.3% 20.7% 31.5% 32.2% 0.0% -8.8% 0.0% -37 -1.5K -69 0.00 181.08 N/A N/A 0 0 9 13 2009-05-26 $15.05 $14.00 57.9% 16.6% 31.6% 24.4% 0.0% 12.3% 0.0% -39 -1.7K -68 0.00 176.91 N/A N/A 0 0 9 13 2009-05-27 $14.80 $14.00 57.1% 16.4% 32.5% 24.0% 0.0% 12.4% 0.0% -41 -1.2K -67 0.00 180.40 N/A N/A 0 0 9 13 2009-05-28 $14.98 $14.00 56.3% 16.1% 32.5% 23.4% 0.0% 12.1% 0.0% -41 -1.6K -67 0.00 180.43 N/A N/A 0 0 9 13 2009-05-29 $15.17 $14.00 57.7% 16.5% 31.6% 24.1% 0.0% 11.3% 0.0% -39 -2.0K -66 0.00 179.15 N/A N/A 0 0 9 13
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