CGW Options History — June 2009 In June 2009, CGW traded between $14.93 and $15.94. ATM implied volatility averaged 48.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 19.9% (HV 20d: 28.9%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 19 of 22 trading days. Put/call ratio averaged 0.00.
Notable Days 2009-06-22 : Highest Volume — 144 contracts2009-06-05 : Largest IV spike — 455.1% change2009-06-30 : Highest IV Rank — 29.3%2009-06-30 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $15.48 $14.93 $15.94 $15.55 $15.67 Max Pain $13.73 $13.00 $14.00 $14.00 $13.00 ATM IV 48.8% 9.9% 65.2% 59.3% 65.2% Expected Move 14.0% 2.8% 18.7% 17.0% 18.7% HV 20d 28.9% 25.1% 33.6% 32.2% 25.4% HV 60d 32.0% 29.6% 36.7% 36.7% 29.6% IV Rank 20.5% 0.0% 29.3% 25.0% 29.3% IV Percentile 58.1% 0.0% 86.5% 81.3% 86.5% VWIV 41.6% 9.9% 57.0% 9.9% 49.8% Skew 25d 0.6% -33.1% 28.4% 5.0% 14.7% Skew 10d -12.7% -34.3% 40.0% -21.4% -20.7% Call IV 25d 60.6% 36.0% 69.7% 63.1% 54.1% Put IV 25d 61.2% 31.4% 70.1% 68.1% 68.8% Bid-Ask Spread % 174.79 165.45 200.00 173.39 186.63 Gamma HHI 0.41 0.38 0.53 0.38 0.53 Net GEX 758 -32 3.9K -32 281 Net DEX -35.8K -141.7K -2.4K -2.8K -28.4K Net VEX -165 -476 -48 -66 -92 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 7.136 0 144 0 0 Total OI 58.818 17 167 22 41
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 2009-06-01 $15.55 $14.00 59.3% 17.0% 32.2% 25.0% 0.0% 5.0% 0.0% -32 -2.8K -66 0.00 173.39 N/A N/A 0 0 9 13 2009-06-02 $15.93 $14.00 58.5% 16.8% 32.6% 24.5% 0.0% 4.9% 0.0% -31 -3.7K -65 0.00 169.38 N/A N/A 0 0 9 13 2009-06-03 $15.47 $14.00 57.5% 16.5% 33.2% 24.0% 0.0% 2.2% 0.0% -30 -2.7K -65 0.00 172.96 N/A N/A 0 0 9 13 2009-06-04 $15.60 $14.00 9.9% 2.8% 33.2% 0.0% 9.9% 0.0% 0.0% 8 -2.4K -48 0.00 200.00 N/A N/A 9 0 7 10 2009-06-05 $15.43 $14.00 54.9% 15.8% 33.6% 23.9% 57.0% 3.1% 0.0% 44 -6.8K -81 0.00 172.71 N/A N/A 1 0 14 13 2009-06-08 $15.52 $14.00 61.4% 17.6% 33.6% 27.3% 0.0% 4.5% 0.0% 61 -8.0K -83 0.00 173.36 N/A N/A 0 0 15 13 2009-06-09 $15.77 $14.00 46.7% 13.4% 32.3% 19.5% 36.0% 28.4% 0.0% 154 -9.6K -76 0.00 168.24 N/A N/A 2 0 15 13 2009-06-10 $15.68 $14.00 61.2% 17.6% 30.1% 27.3% 0.0% 4.6% 0.0% 65 -8.4K -83 0.00 168.78 N/A N/A 0 0 15 13 2009-06-11 $15.94 $14.00 61.0% 17.5% 30.2% 27.1% 0.0% 4.2% 0.0% 71 -9.2K -82 0.00 169.10 N/A N/A 0 0 15 13 2009-06-12 $15.85 $14.00 61.0% 17.5% 25.1% 27.1% 0.0% 4.4% 0.0% 70 -8.9K -81 0.00 169.72 N/A N/A 0 0 15 13 2009-06-15 $15.42 $14.00 45.8% 13.1% 27.5% 19.1% 0.0% -12.9% 0.0% 58 -7.7K -80 0.00 173.03 N/A N/A 0 0 15 13 2009-06-16 $15.12 $14.00 45.4% 13.0% 25.9% 18.8% 55.2% -0.4% 0.0% 82 -6.4K -80 0.00 170.64 N/A N/A 1 0 15 13 2009-06-17 $15.27 $14.00 35.2% 10.1% 25.6% 13.4% 0.0% 10.2% 0.0% 97 -7.1K -77 0.00 179.54 N/A N/A 0 0 15 13 2009-06-18 $15.17 $14.00 33.4% 9.6% 25.6% 12.5% 0.0% 3.0% 0.0% 109 -6.7K -76 0.00 179.99 N/A N/A 0 0 15 13 2009-06-19 $15.37 $14.00 46.5% 13.3% 25.8% 19.4% 0.0% -13.9% 0.0% 66 -7.4K -78 0.00 175.70 N/A N/A 0 0 15 13 2009-06-22 $14.98 $14.00 29.7% 8.5% 27.6% 10.5% 49.8% -33.1% 0.0% 66 -6.2K -77 0.00 180.67 N/A N/A 144 0 15 13 2009-06-23 $14.93 $13.00 31.3% 9.0% 27.2% 11.4% 0.0% -17.6% 0.0% 3.9K -119.6K -462 0.00 165.45 N/A N/A 0 0 154 13 2009-06-24 $15.02 $13.00 46.9% 13.5% 26.6% 19.7% 0.0% -25.5% 0.0% 2.4K -122.3K -474 0.00 175.90 N/A N/A 0 0 154 13 2009-06-25 $15.47 $13.00 58.3% 16.7% 28.2% 25.7% 0.0% 3.0% 0.0% 2.5K -134.6K -476 0.00 174.50 N/A N/A 0 0 154 13 2009-06-26 $15.59 $13.00 49.4% 14.2% 28.0% 21.0% 0.0% 23.7% 0.0% 3.7K -135.9K -465 0.00 173.42 N/A N/A 0 0 154 13 2009-06-29 $15.75 $13.00 55.5% 15.9% 26.9% 24.2% 0.0% 14.7% 0.0% 3.0K -141.7K -465 0.00 172.21 N/A N/A 0 0 154 13 2009-06-30 $15.67 $13.00 65.2% 18.7% 25.4% 29.3% 0.0% 0.0% 0.0% 281 -28.4K -92 0.00 186.63 N/A N/A 0 0 28 13
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