CGW Options History — September 2021

In September 2021, CGW traded between $55.97 and $60.42. ATM implied volatility averaged 17.7%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.0% (HV 20d: 10.7%). Max pain ranged from $57.00 to $62.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2021-09-02: Highest Volume — 131 contracts
  • 2021-09-15: Largest IV spike — 127.1% change
  • 2021-09-15: Highest IV Rank — 17.7%
  • 2021-09-15: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.72$55.97$60.42$59.99$55.97
Max Pain$60.86$57.00$62.00$57.00$61.00
ATM IV17.7%13.8%35.4%15.4%23.3%
Expected Move5.0%3.7%10.1%4.4%6.7%
HV 20d10.7%8.9%14.3%8.9%13.7%
HV 60d227.6%227.3%227.9%227.6%227.9%
IV Rank5.4%2.7%17.7%3.9%9.3%
IV Percentile11.2%3.2%21.6%6.8%21.6%
Term Structure-0.8%-14.5%3.8%-2.5%-5.2%
VWIV12.9%10.9%15.7%15.7%10.9%
Skew 25d4.2%-2.1%13.8%4.2%13.8%
Skew 10d6.3%-5.6%15.5%2.1%15.5%
Call IV 25d15.5%8.3%44.0%12.3%17.2%
Put IV 25d19.7%12.3%41.9%16.5%31.0%
Bid-Ask Spread %129.26119.43154.38127.04130.86
Gamma HHI0.250.160.360.160.21
Net GEX41.2K15.5K85.1K28.9K16.8K
Net DEX-278.3K-456.1K-84.6K-298.6K-106.2K
Net VEX-2.2K-3.1K-1.2K-1.5K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.000.070.00
Total Volume12.3330131150
Total OI306.095169385169285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$59.99$57.0015.4%4.4%8.9%3.9%15.7%4.2%-2.5%28.9K-298.6K-1.5K0.07127.04N/AN/A14115514
2021-09-02$60.42$62.0014.4%3.9%9.1%3.1%0.0%3.7%2.4%30.2K-346.9K-1.8K0.11128.81N/AN/A1181317314
2021-09-03$60.34$61.0017.4%4.1%8.9%5.2%11.6%1.0%3.2%30.4K-330.8K-1.8K0.00122.11N/AN/A60017415
2021-09-07$59.79$61.0015.4%3.7%9.6%3.8%0.0%-1.6%3.8%42.2K-360.4K-2.7K0.33122.77N/AN/A3128728
2021-09-08$60.00$61.0014.3%4.1%9.5%3.0%13.5%2.9%2.6%85.1K-453.0K-3.1K0.33126.18N/AN/A6234328
2021-09-09$59.95$61.0014.0%4.0%9.4%2.8%0.0%3.5%2.4%81.4K-411.0K-2.6K0.00127.14N/AN/A5034329
2021-09-10$59.53$61.0013.8%4.0%9.8%2.7%0.0%1.7%2.3%66.1K-365.4K-2.7K0.00126.44N/AN/A4034530
2021-09-13$59.30$61.0015.1%4.3%9.8%3.6%0.0%6.3%1.6%65.4K-363.3K-2.5K0.00126.11N/AN/A0035130
2021-09-14$59.31$61.0015.6%4.5%9.7%4.0%10.9%3.9%1.3%64.6K-374.1K-2.7K0.00127.18N/AN/A2035130
2021-09-15$59.50$61.0035.4%10.1%9.0%17.7%0.0%-2.1%-14.5%51.1K-456.1K-2.8K0.00154.38N/AN/A2035130
2021-09-16$59.17$61.0015.2%4.4%9.2%3.7%0.0%1.1%1.3%62.6K-330.4K-2.5K1.00126.62N/AN/A1135330
2021-09-17$58.24$61.0014.9%4.3%10.8%3.5%0.0%12.6%-0.7%56.8K-203.9K-2.1K0.00127.84N/AN/A3035530
2021-09-20$57.56$61.0020.4%5.9%11.0%7.3%0.0%6.9%-1.0%22.3K-181.1K-2.2K0.00119.43N/AN/A0026514
2021-09-21$57.89$61.0019.8%5.7%11.2%6.9%0.0%9.2%-2.8%24.2K-205.5K-2.3K0.00145.94N/AN/A8026714
2021-09-22$58.24$61.0017.1%4.9%11.4%5.0%0.0%4.2%-0.2%24.1K-187.0K-2.0K0.00127.04N/AN/A4026714
2021-09-23$58.83$61.0013.9%4.0%12.0%2.8%0.0%5.1%0.1%26.7K-215.5K-2.1K0.00122.71N/AN/A1026814
2021-09-24$58.47$61.0015.3%4.4%11.9%3.8%0.0%4.2%-2.6%24.9K-179.9K-2.0K0.00125.36N/AN/A0026814
2021-09-27$57.89$61.0017.7%5.1%11.7%5.4%0.0%1.9%-4.1%24.7K-189.9K-2.1K0.00137.15N/AN/A0026914
2021-09-28$56.43$61.0024.2%6.9%14.3%9.9%0.0%0.6%-3.6%15.5K-84.6K-1.2K0.00133.63N/AN/A2026914
2021-09-29$56.40$61.0019.6%5.6%14.3%6.7%0.0%5.0%0.4%20.9K-200.4K-2.4K0.00129.64N/AN/A8026914
2021-09-30$55.97$61.0023.3%6.7%13.7%9.3%0.0%13.8%-5.2%16.8K-106.2K-1.5K0.00130.86N/AN/A0027114