EWP Options History — September 2007

In September 2007, EWP traded between $55.67 and $60.80. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 6.1% (HV 20d: 24.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-09-26: Highest Volume — 802 contracts
  • 2007-09-13: Largest IV drop — 20.6% change
  • 2007-09-05: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.18$55.67$60.80$58.45$60.80
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV30.9%24.3%39.2%34.8%24.6%
Expected Move8.7%7.0%10.3%10.0%7.1%
HV 20d24.8%21.0%28.2%25.2%24.0%
HV 60d22.6%21.4%23.7%21.9%23.7%
Term Structure1.3%-6.8%10.7%-3.6%7.8%
VWIV26.2%25.1%27.3%27.3%25.1%
Skew 25d4.4%0.6%8.8%8.6%5.4%
Skew 10d9.2%1.1%21.7%15.2%5.4%
Call IV 25d29.9%16.8%38.4%28.3%27.7%
Put IV 25d34.3%25.6%39.0%36.9%33.1%
Bid-Ask Spread %49.4015.85159.3831.7842.35
Gamma HHI0.500.270.840.410.53
Net GEX-20.2K-148.2K183.0K-14.5K-146.2K
Net DEX982.1K286.2K2.0M797.6K1.5M
Net VEX-6.3K-9.9K-5.0K-6.7K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.001.730.000.55
Total Volume75.474080206
Total OI882.1056431,1987811,198

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$58.45$60.0034.8%10.0%25.2%0.0%0.0%8.6%-3.6%-14.5K797.6K-6.7K0.0031.78N/AN/A00252529
2007-09-05$57.28$60.0036.0%10.3%26.1%0.0%0.0%3.4%-0.0%-21.6K1.1M-6.4K0.0039.19N/AN/A100252529
2007-09-06$57.12$60.0035.7%10.2%24.4%0.0%0.0%5.3%-0.0%-22.5K1.1M-6.4K0.0039.83N/AN/A280252529
2007-09-07$56.27$60.0036.8%10.3%24.7%0.0%0.0%3.7%-0.3%-26.5K1.3M-6.2K0.0046.50N/AN/A040270529
2007-09-10$56.02$60.0039.2%10.1%22.1%0.0%0.0%0.6%0.8%-23.1K1.2M-5.8K0.0047.61N/AN/A050270499
2007-09-11$56.91$60.0038.3%10.2%23.0%0.0%0.0%0.8%1.0%-14.0K998.0K-5.9K0.0047.32N/AN/A00270499
2007-09-12$56.98$60.0038.2%10.2%22.6%0.0%0.0%0.7%0.5%-8.2K832.6K-5.2K0.0046.23N/AN/A03270449
2007-09-13$57.27$60.0030.3%8.7%21.0%0.0%0.0%8.8%0.4%-19.0K1.1M-5.5K1.2062.91N/AN/A124149270502
2007-09-14$56.64$60.0032.2%9.2%21.4%0.0%0.0%3.5%0.4%-46.7K1.6M-5.6K0.0057.48N/AN/A013384601
2007-09-17$55.67$60.0030.2%8.7%21.8%0.0%0.0%0.0%0.3%-69.7K2.0M-5.0K0.0070.04N/AN/A04384614
2007-09-18$58.49$60.0029.8%8.5%28.2%0.0%27.3%0.0%-6.8%-22.7K519.2K-6.1K1.73159.38N/AN/A2645390618
2007-09-19$59.07$60.0026.2%7.5%28.2%0.0%26.4%0.0%0.5%56.4K583.3K-6.4K0.0061.54N/AN/A340407663
2007-09-20$59.28$60.0025.1%7.2%27.7%0.0%0.0%0.0%1.6%118.0K469.3K-6.0K0.0063.54N/AN/A010417663
2007-09-21$59.60$60.0026.3%7.6%27.7%0.0%0.0%0.0%0.8%183.0K286.2K-5.8K0.0016.91N/AN/A012417673
2007-09-24$59.61$60.0026.1%7.5%27.0%0.0%26.0%4.9%0.5%-55.0K583.0K-5.5K1.3522.43N/AN/A2027129517
2007-09-25$59.24$60.0026.1%7.5%26.7%0.0%0.0%4.8%1.4%-54.8K584.2K-5.8K0.0030.08N/AN/A00149524
2007-09-26$60.05$60.0026.5%7.6%25.3%0.0%0.0%5.3%10.7%-48.0K497.6K-5.3K0.0015.85N/AN/A0802129514
2007-09-27$60.64$60.0024.3%7.0%24.2%0.0%25.1%5.3%8.3%-148.2K1.6M-9.9K0.5537.58N/AN/A20111491,049
2007-09-28$60.80$60.0024.6%7.1%24.0%0.0%0.0%5.4%7.8%-146.2K1.5M-9.9K0.0042.35N/AN/A061491,049