CGW Options History — November 2021

In November 2021, CGW traded between $58.59 and $60.82. ATM implied volatility averaged 14.8%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.3% (HV 20d: 8.5%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-11-17: Highest Volume — 107 contracts
  • 2021-11-18: Largest IV spike — 36.8% change
  • 2021-11-30: Highest IV Rank — 7.1%
  • 2021-11-30: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.03$58.59$60.82$59.23$58.59
Max Pain$55.52$55.00$58.00$57.00$56.00
ATM IV14.8%10.6%20.1%18.2%20.1%
Expected Move4.1%3.0%5.8%5.2%5.8%
HV 20d8.5%7.4%10.2%9.7%10.2%
HV 60d11.5%11.2%11.8%11.6%11.8%
IV Rank3.4%0.5%7.1%5.8%7.1%
IV Percentile13.2%0.4%34.0%22.4%34.0%
Term Structure-0.0%-8.8%5.0%-8.8%-0.7%
VWIV15.4%11.3%24.8%13.6%24.8%
Skew 25d1.6%-2.2%4.7%0.7%2.6%
Skew 10d3.5%-1.4%8.2%-0.9%5.1%
Call IV 25d13.8%9.2%21.9%15.3%21.9%
Put IV 25d15.4%11.4%24.5%16.1%24.5%
Bid-Ask Spread %124.87116.57130.68119.93123.73
Gamma HHI0.150.110.180.160.13
Net GEX52.0K34.6K66.5K43.4K34.6K
Net DEX-425.6K-562.4K-248.6K-352.9K-248.6K
Net VEX-2.7K-3.3K-1.4K-2.2K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.291.000.350.98
Total Volume82.048541075481
Total OI378.81329408329404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$59.23$57.0018.2%5.2%9.7%5.8%13.6%0.7%-8.8%43.4K-352.9K-2.2K0.35119.93N/AN/A401431316
2021-11-02$59.57$57.0014.2%4.1%9.5%3.0%14.3%4.2%0.7%41.4K-322.7K-1.7K0.29120.45N/AN/A481431516
2021-11-03$59.44$58.0014.5%4.1%9.3%3.2%14.8%-0.5%-2.7%43.7K-327.1K-1.8K0.29118.02N/AN/A491431516
2021-11-04$59.98$55.0015.0%3.4%9.5%3.5%13.7%4.7%1.0%37.8K-299.8K-1.4K0.31116.57N/AN/A451431616
2021-11-05$60.14$55.0016.7%4.0%8.9%4.7%15.1%-0.5%0.5%51.9K-440.1K-2.6K0.52119.84N/AN/A603131816
2021-11-08$60.49$55.0017.1%4.0%8.1%5.0%15.2%2.2%0.9%54.8K-509.7K-3.3K0.59125.60N/AN/A563333433
2021-11-09$60.46$55.0014.8%3.7%8.1%3.4%13.9%2.1%-1.0%55.6K-480.4K-3.0K0.59127.97N/AN/A563333535
2021-11-10$60.21$55.0012.4%3.6%8.1%1.8%14.3%2.9%0.4%55.3K-441.5K-2.9K0.65122.89N/AN/A513333835
2021-11-11$60.30$55.0011.6%3.3%7.4%1.2%12.4%3.4%5.0%57.4K-500.9K-3.1K0.55126.00N/AN/A603336235
2021-11-12$60.73$55.0012.1%3.5%7.5%1.5%13.7%1.6%3.7%59.3K-526.2K-3.0K0.55125.11N/AN/A603336235
2021-11-15$60.44$55.0013.1%3.8%8.0%2.2%16.4%-2.2%1.4%61.5K-510.3K-3.2K0.54129.46N/AN/A613336235
2021-11-16$60.56$55.0010.6%3.0%7.9%0.5%11.3%1.9%3.7%66.5K-545.1K-3.3K0.54127.99N/AN/A613336435
2021-11-17$60.52$55.0010.6%3.0%8.0%0.5%11.8%1.9%4.4%66.3K-524.3K-3.1K0.45128.58N/AN/A743336435
2021-11-18$60.82$55.0014.5%4.1%8.0%3.2%14.7%-2.0%-2.3%64.3K-562.4K-3.3K0.51117.21N/AN/A653337335
2021-11-19$60.80$55.0013.8%4.0%7.6%2.7%14.1%2.1%-1.9%62.0K-536.8K-3.0K0.58125.48N/AN/A573337135
2021-11-22$60.50$55.0015.0%4.3%8.0%3.6%15.1%1.1%-1.7%59.7K-478.3K-3.0K0.70127.90N/AN/A443136133
2021-11-23$60.01$55.0016.7%4.8%8.6%4.7%17.7%1.8%-0.9%49.6K-392.5K-2.6K0.69128.93N/AN/A453136433
2021-11-24$59.66$56.0013.9%4.0%8.8%2.7%14.9%1.5%1.8%50.1K-364.6K-2.7K0.79130.66N/AN/A393136033
2021-11-26$58.89$56.0018.3%5.3%8.9%5.9%21.4%2.5%-3.4%38.0K-287.9K-2.3K1.00130.68N/AN/A404036033
2021-11-29$59.34$56.0017.6%5.1%9.2%5.4%20.5%1.9%-1.0%38.8K-285.0K-2.4K0.98129.25N/AN/A414036143
2021-11-30$58.59$56.0020.1%5.8%10.2%7.1%24.8%2.6%-0.7%34.6K-248.6K-2.5K0.98123.73N/AN/A414036143