CGW Options History — September 2009 In September 2009, CGW traded between $16.62 and $18.21. ATM implied volatility averaged 88.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded above realized volatility by 68.7% (HV 20d: 19.5%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 11 of 13 trading days. Put/call ratio averaged 0.00.
Notable Days 2009-09-14 : Highest Volume — 2 contracts2009-09-15 : Largest IV drop — 100.0% change2009-09-18 : Highest IV Rank — 59.5%2009-09-18 : Largest Expected Move — 35.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.48 $16.62 $18.21 $16.62 $18.07 Max Pain $14.00 $14.00 $14.00 $14.00 $14.00 ATM IV 88.2% 48.6% 122.0% 48.6% 122.0% Expected Move 25.3% 13.9% 35.0% 13.9% 35.0% HV 20d 19.5% 15.6% 21.7% 21.5% 16.0% HV 60d 21.8% 20.8% 22.8% 22.8% 20.9% IV Rank 41.6% 20.6% 59.5% 20.6% 59.5% IV Percentile 87.3% 36.9% 96.4% 36.9% 96.4% VWIV 110.0% 110.0% 110.0% 110.0% 110.0% Skew 25d 44.3% 20.2% 79.1% 33.6% 20.2% Skew 10d 52.8% 2.9% 85.8% 69.8% 2.9% Call IV 25d 47.2% 40.7% 50.9% 50.9% 40.7% Put IV 25d 91.5% 60.9% 129.1% 84.5% 60.9% Bid-Ask Spread % 160.50 140.47 188.90 169.62 146.09 Gamma HHI 0.80 0.47 1.00 0.89 1.00 Net GEX 972 0 3.1K 3.1K 0 Net DEX -38.3K -83.7K -11.7K -74.7K -16.3K Net VEX -38 -102 0 -101 0 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 0.154 0 2 0 0 Total OI 45.462 22 83 83 22
Daily Data (13 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 2009-09-01 $16.62 $14.00 48.6% 13.9% 21.5% 20.6% 0.0% 33.6% 0.0% 3.1K -74.7K -101 0.00 169.62 N/A N/A 0 0 70 13 2009-09-02 $16.63 $14.00 79.1% 22.7% 21.4% 36.7% 0.0% 0.0% 0.0% 2.2K -70.9K -102 0.00 188.90 N/A N/A 0 0 70 13 2009-09-03 $16.79 $14.00 79.8% 22.9% 20.1% 37.1% 0.0% 79.1% 0.0% 2.1K -73.6K -99 0.00 169.63 N/A N/A 0 0 70 13 2009-09-04 $16.91 $14.00 76.9% 22.0% 20.2% 35.6% 0.0% 20.2% 0.0% 2.3K -77.6K -91 0.00 165.90 N/A N/A 0 0 70 13 2009-09-08 $17.22 $14.00 89.7% 25.7% 20.9% 42.4% 0.0% 0.0% 0.0% 2.3K -83.7K -76 0.00 163.06 N/A N/A 0 0 70 13 2009-09-09 $17.50 $14.00 90.9% 26.1% 21.4% 43.0% 0.0% 0.0% 0.0% 119 -11.7K -10 0.00 160.91 N/A N/A 0 0 9 13 2009-09-10 $17.73 $14.00 90.5% 26.0% 21.6% 42.8% 0.0% 0.0% 0.0% 150 -12.8K -8 0.00 158.55 N/A N/A 0 0 9 13 2009-09-11 $17.68 $14.00 96.4% 27.6% 21.7% 45.9% 0.0% 0.0% 0.0% 151 -12.7K -7 0.00 156.46 N/A N/A 0 0 9 13 2009-09-14 $17.83 $14.00 80.5% 23.1% 21.4% 37.5% 110.0% 0.0% 0.0% 210 -15.0K -2 0.00 157.19 N/A N/A 2 0 9 13 2009-09-15 $17.92 $14.00 0.0% 0.0% 16.0% 0.0% 0.0% 0.0% 0.0% 40 -16.1K 0 0.00 155.93 N/A N/A 0 0 9 13 2009-09-16 $18.21 $14.00 0.0% 0.0% 15.6% 0.0% 0.0% 0.0% 0.0% 5 -16.4K 0 0.00 153.81 N/A N/A 0 0 9 13 2009-09-17 $18.11 $14.00 115.5% 33.1% 16.0% 56.1% 0.0% 0.0% 0.0% 0 -16.3K 0 0.00 140.47 N/A N/A 0 0 9 13 2009-09-18 $18.07 $14.00 122.0% 35.0% 16.0% 59.5% 0.0% 0.0% 0.0% 0 -16.3K 0 0.00 146.09 N/A N/A 0 0 9 13
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