EWP Options History — October 2007

In October 2007, EWP traded between $61.13 and $67.67. ATM implied volatility averaged 25.4%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.5% (HV 20d: 19.0%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.14.

Notable Days

  • 2007-10-04: Highest Volume — 215 contracts
  • 2007-10-11: Largest IV spike — 16.1% change
  • 2007-10-05: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.56$61.13$67.67$61.26$67.67
Max Pain$61.43$60.00$63.00$60.00$63.00
ATM IV25.4%23.5%27.3%24.8%24.8%
Expected Move7.6%7.0%8.7%7.1%7.1%
HV 20d19.0%12.3%23.6%23.6%18.2%
HV 60d23.1%22.3%23.8%23.7%22.5%
Term Structure2.7%-0.0%7.9%7.9%3.0%
VWIV25.7%16.8%29.0%24.4%16.8%
Skew 25d1.7%0.3%6.4%6.4%0.6%
Skew 10d2.7%0.8%6.4%6.4%1.3%
Call IV 25d27.3%24.7%31.9%28.2%24.7%
Put IV 25d29.0%25.3%34.6%34.6%25.3%
Bid-Ask Spread %28.6211.6759.7849.2059.78
Gamma HHI0.420.150.580.560.15
Net GEX-145.6K-175.4K-66.6K-139.6K-66.6K
Net DEX815.2K-120.4K1.6M1.3M-120.4K
Net VEX-8.5K-10.6K-5.7K-9.3K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.008.772.006.30
Total Volume40.2610215273
Total OI1,338.1741,1721,4881,2041,331

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$61.26$60.0024.8%7.1%23.6%0.0%0.0%6.4%7.9%-139.6K1.3M-9.3K0.0049.20N/AN/A021491,055
2007-10-02$61.54$60.0024.7%7.1%23.6%0.0%24.4%1.0%6.9%-136.6K1.3M-8.8K2.0026.71N/AN/A6121291,043
2007-10-03$61.21$60.0024.4%7.0%22.3%0.0%0.0%0.8%7.4%-141.8K1.4M-9.0K0.0026.93N/AN/A0151311,055
2007-10-04$61.14$60.0024.3%7.0%22.2%0.0%0.0%2.3%5.6%-146.5K1.4M-9.1K8.7732.45N/AN/A221931311,067
2007-10-05$61.92$60.0024.2%8.7%21.3%0.0%0.0%1.3%-0.0%-158.2K1.4M-10.4K0.0011.67N/AN/A501381,190
2007-10-08$61.13$60.0023.8%8.6%22.0%0.0%0.0%2.6%0.1%-163.3K1.6M-10.4K0.0013.24N/AN/A001381,190
2007-10-09$61.55$60.0023.7%8.2%21.6%0.0%29.0%2.8%1.3%-155.9K1.5M-9.9K1.0012.71N/AN/A50501381,190
2007-10-10$61.40$61.0023.5%8.0%21.7%0.0%28.2%2.0%1.5%-164.6K1.4M-10.6K0.0014.89N/AN/A0501881,240
2007-10-11$62.51$61.0027.3%7.8%22.3%0.0%0.0%1.5%0.8%-165.9K1.1M-10.1K0.0016.20N/AN/A0301881,265
2007-10-12$63.31$61.0026.7%7.7%21.7%0.0%26.9%1.9%1.3%-160.8K771.3K-9.6K0.0018.12N/AN/A031881,275
2007-10-15$63.24$61.0026.6%7.6%20.2%0.0%0.0%1.9%0.7%-165.4K691.4K-9.0K0.0019.88N/AN/A0251881,273
2007-10-16$63.15$61.0026.7%7.6%12.3%0.0%0.0%1.7%0.5%-164.5K703.3K-9.0K0.0020.19N/AN/A001881,290
2007-10-17$64.37$61.0026.7%7.7%13.3%0.0%26.7%0.8%1.0%-150.1K310.3K-8.1K6.0027.00N/AN/A2121881,290
2007-10-18$65.21$62.0026.3%7.5%13.7%0.0%0.0%1.2%1.3%-141.6K92.2K-7.6K1.2232.98N/AN/A18221871,301
2007-10-19$64.01$62.0026.1%7.5%16.0%0.0%25.7%2.5%1.7%-153.5K539.8K-8.4K5.0022.61N/AN/A14701691,305
2007-10-22$63.70$62.0026.1%7.5%16.2%0.0%26.2%2.9%2.6%-175.4K999.5K-8.5K3.8026.29N/AN/A10381201,123
2007-10-23$64.74$63.0025.6%7.3%16.4%0.0%25.9%1.7%2.9%-153.6K678.9K-7.8K0.7336.21N/AN/A15111301,136
2007-10-24$64.24$63.0026.3%7.5%16.6%0.0%0.0%1.6%2.3%-162.2K786.5K-8.0K0.0033.48N/AN/A0111381,141
2007-10-25$64.61$63.0025.8%7.4%16.4%0.0%0.0%1.3%3.1%-167.6K681.3K-7.9K0.0036.75N/AN/A101381,149
2007-10-26$66.30$63.0025.9%7.4%18.3%0.0%0.0%0.5%3.3%-114.4K123.1K-6.3K0.0039.02N/AN/A0891381,149
2007-10-29$66.81$63.0025.4%7.3%18.3%0.0%27.5%0.7%3.5%-99.7K55.5K-5.9K2.8537.86N/AN/A20571381,149
2007-10-30$66.87$63.0025.5%7.3%18.3%0.0%0.0%0.3%2.9%-101.0K88.6K-6.4K0.0044.01N/AN/A001381,193
2007-10-31$67.67$63.0024.8%7.1%18.2%0.0%16.8%0.6%3.0%-66.6K-120.4K-5.7K6.3059.78N/AN/A10631381,193