EWP Options History — August 2007

In August 2007, EWP traded between $56.12 and $60.90. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.9% (HV 20d: 24.4%). Max pain ranged from $55.00 to $61.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.92.

Notable Days

  • 2007-08-16: Highest Volume — 405 contracts
  • 2007-08-16: Largest IV spike — 98.2% change
  • 2007-08-21: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.98$56.12$60.90$59.21$58.13
Max Pain$59.23$55.00$61.00$55.00$60.00
ATM IV28.3%15.7%40.2%21.2%34.9%
Expected Move8.2%6.1%11.0%6.1%10.0%
HV 20d24.4%22.0%26.7%22.0%25.9%
HV 60d21.7%21.2%22.2%21.3%22.1%
Term Structure-0.1%-3.6%4.0%1.5%-3.6%
VWIV25.2%20.9%33.4%21.2%28.6%
Skew 25d4.2%0.5%10.4%2.8%8.5%
Skew 10d11.5%2.5%24.9%2.8%14.0%
Call IV 25d25.7%20.8%33.7%21.0%28.2%
Put IV 25d29.9%23.6%38.2%23.8%36.7%
Bid-Ask Spread %32.1614.8157.7557.7525.91
Gamma HHI0.590.400.940.890.44
Net GEX-22.5K-36.3K-4.4K-4.9K-17.4K
Net DEX638.6K55.7K1.2M58.6K833.9K
Net VEX-4.0K-7.0K-634-645-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.003.840.000.00
Total Volume36.957040511
Total OI433.0436379263781

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$59.21$55.0021.2%6.1%22.0%0.0%21.2%2.8%1.5%-4.9K58.6K-6450.0057.75N/AN/A101350
2007-08-02$59.17$55.0021.2%6.1%22.0%0.0%0.0%2.9%1.8%-4.4K55.7K-6540.0055.67N/AN/A001450
2007-08-03$58.44$55.0021.3%6.1%22.1%0.0%0.0%2.7%2.7%-5.9K75.7K-6470.0044.91N/AN/A011350
2007-08-06$59.43$0.0021.0%6.7%22.9%0.0%23.6%2.8%-1.4%-4.7K63.8K-6340.0017.23N/AN/A01001351
2007-08-07$59.49$60.0020.6%6.7%22.5%0.0%0.0%2.9%-1.3%-29.8K331.6K-1.7K0.0017.85N/AN/A0013151
2007-08-08$60.90$60.0021.2%6.2%23.6%0.0%20.9%3.1%0.5%-28.5K269.0K-1.6K0.0014.81N/AN/A7013151
2007-08-09$60.63$60.0040.2%6.1%22.7%0.0%0.0%2.8%1.0%-35.4K341.9K-1.6K0.0016.70N/AN/A0019151
2007-08-10$58.63$60.0020.6%6.6%25.6%0.0%23.7%2.5%-1.3%-29.3K386.0K-1.6K1.4016.36N/AN/A101419151
2007-08-13$58.35$60.0017.3%6.9%25.6%0.0%0.0%2.7%-1.9%-30.4K412.4K-1.9K0.0017.70N/AN/A04629165
2007-08-14$57.65$60.0016.7%6.8%25.8%0.0%0.0%1.4%-1.6%-36.3K599.2K-2.5K0.0023.56N/AN/A0029210
2007-08-15$56.33$60.0015.7%6.9%26.7%0.0%22.2%0.7%0.4%-32.6K672.4K-2.3K3.8436.07N/AN/A197329210
2007-08-16$56.12$61.0031.2%8.9%26.4%0.0%28.8%0.5%4.0%-35.6K886.4K-3.5K1.1350.09N/AN/A19021548283
2007-08-17$56.83$59.0031.3%9.0%26.3%0.0%0.0%3.7%1.9%-18.7K888.2K-6.4K0.0049.22N/AN/A03222456
2007-08-20$56.67$59.0031.1%8.9%26.0%0.0%24.2%1.7%2.5%-19.0K926.8K-6.2K0.0038.36N/AN/A037222448
2007-08-21$56.36$60.0038.3%11.0%25.7%0.0%0.0%4.5%0.4%-20.4K1.0M-6.0K0.0033.22N/AN/A046222451
2007-08-22$57.31$60.0035.5%10.2%26.4%0.0%0.0%7.2%1.0%-23.0K967.3K-6.8K0.3628.87N/AN/A145222497
2007-08-23$57.12$60.0035.7%10.2%22.2%0.0%0.0%7.3%0.6%-23.9K995.7K-6.8K0.0033.60N/AN/A010235502
2007-08-24$58.19$60.0034.5%9.9%23.2%0.0%0.0%10.4%-2.7%-22.4K828.9K-7.0K0.0026.92N/AN/A011235512
2007-08-27$57.53$60.0034.3%9.8%23.0%0.0%0.0%8.6%-2.9%-24.2K959.4K-6.7K0.0034.83N/AN/A00235511
2007-08-28$56.20$60.0036.3%10.4%24.4%0.0%0.0%3.0%-1.4%-29.4K1.2M-6.4K0.0039.66N/AN/A00235511
2007-08-29$57.59$60.0034.8%10.0%25.5%0.0%33.4%7.9%-2.8%-21.9K923.3K-6.7K0.6227.09N/AN/A2918235511
2007-08-30$57.25$59.0036.0%10.3%25.6%0.0%0.0%5.9%-0.1%-20.3K1.0M-7.0K0.0033.29N/AN/A00263529
2007-08-31$58.13$60.0034.9%10.0%25.9%0.0%28.6%8.5%-3.6%-17.4K833.9K-6.9K0.0025.91N/AN/A10252529