EWP Options History — November 2007

In November 2007, EWP traded between $65.76 and $68.44. ATM implied volatility averaged 25.7%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.9% (HV 20d: 24.8%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.34.

Notable Days

  • 2007-11-20: Highest Volume — 119 contracts
  • 2007-11-15: Largest IV spike — 42.1% change
  • 2007-11-26: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.32$65.76$68.44$66.45$67.83
Max Pain$64.48$63.00$66.00$63.00$65.00
ATM IV25.7%19.5%29.3%25.8%27.2%
Expected Move7.8%7.0%8.4%7.4%7.8%
HV 20d24.8%19.2%28.6%19.9%27.7%
HV 60d22.7%21.4%23.6%22.5%23.2%
Term Structure1.6%0.2%6.1%3.0%1.2%
VWIV28.3%23.3%29.7%23.3%28.8%
Skew 25d2.7%0.3%7.9%1.2%3.3%
Skew 10d2.6%-4.7%9.0%-0.7%3.0%
Call IV 25d26.8%22.1%27.9%25.7%27.2%
Put IV 25d29.5%25.7%31.6%26.9%30.5%
Bid-Ask Spread %19.3712.2351.8251.8221.73
Gamma HHI0.140.110.190.190.14
Net GEX-55.5K-106.2K-26.4K-106.2K-48.4K
Net DEX554-578.7K605.7K109.9K189.6K
Net VEX-8.6K-12.1K-6.0K-6.8K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.340.0027.672.500.00
Total Volume42.3810119140
Total OI1,339.0959221,6661,3761,258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$66.45$63.0025.8%7.4%19.9%0.0%23.3%1.2%3.0%-106.2K109.9K-6.8K2.5051.82N/AN/A4101481,228
2007-11-02$67.40$64.0025.4%7.3%20.0%0.0%0.0%0.3%1.1%-89.4K17.8K-6.7K0.0049.12N/AN/A4001481,238
2007-11-05$67.09$63.0024.7%8.0%19.2%0.0%0.0%1.7%0.5%-55.1K-221.9K-6.3K0.0012.23N/AN/A021881,238
2007-11-06$68.00$63.0024.5%7.8%19.5%0.0%0.0%2.5%2.0%-48.1K-384.1K-6.0K0.0013.25N/AN/A0121881,240
2007-11-07$66.66$63.0024.2%8.0%21.3%0.0%29.4%2.1%0.3%-90.1K-19.8K-7.0K0.0013.66N/AN/A0101881,250
2007-11-08$68.40$64.0023.9%7.9%22.1%0.0%28.1%1.5%1.0%-41.2K-416.2K-6.0K3.3316.53N/AN/A21701881,260
2007-11-09$67.13$64.0023.9%7.9%23.3%0.0%0.0%1.9%0.9%-52.6K-243.9K-7.1K0.4013.28N/AN/A25102091,311
2007-11-12$66.19$64.0023.3%8.1%24.1%0.0%29.4%2.2%1.1%-55.0K-205.9K-7.5K0.0013.38N/AN/A0132331,311
2007-11-13$68.44$64.0023.2%7.7%26.4%0.0%28.7%2.8%3.0%-26.4K-578.7K-6.6K17.8014.67N/AN/A5892331,314
2007-11-14$67.87$64.0019.5%8.0%26.1%0.0%28.6%1.4%0.6%-30.0K-369.2K-7.7K3.4315.59N/AN/A23792331,383
2007-11-15$67.04$65.0027.7%7.9%26.4%0.0%0.0%2.1%0.7%-52.9K-138.6K-8.2K0.0016.98N/AN/A002241,424
2007-11-16$67.99$65.0027.2%7.8%25.6%0.0%0.0%4.4%1.0%-36.1K-407.7K-8.0K0.0014.12N/AN/A0612421,424
2007-11-19$66.71$65.0027.5%7.9%26.7%0.0%29.7%3.4%2.5%-55.5K434.0K-8.8K1.0014.65N/AN/A1212160762
2007-11-20$67.85$65.0024.4%7.0%26.7%0.0%29.1%7.9%6.1%-47.9K184.4K-8.7K10.9019.52N/AN/A10109172772
2007-11-21$66.80$65.0027.6%7.9%27.2%0.0%28.7%3.6%2.9%-63.6K542.4K-10.6K0.2214.83N/AN/A4510182881
2007-11-23$67.14$66.0027.9%8.0%27.2%0.0%0.0%2.6%1.1%-57.5K349.6K-10.8K0.0013.80N/AN/A90224891
2007-11-26$65.76$66.0029.3%8.4%26.8%0.0%27.0%3.9%0.2%-62.3K605.7K-11.3K2.1115.37N/AN/A2859233891
2007-11-27$66.77$66.0028.0%8.0%27.3%0.0%28.8%3.4%1.5%-53.6K370.8K-12.0K0.0019.77N/AN/A029258943
2007-11-28$68.40$65.0027.5%7.9%28.6%0.0%0.0%2.1%1.2%-43.2K-18.6K-11.0K27.6722.20N/AN/A383258942
2007-11-29$67.77$65.0027.3%7.8%28.5%0.0%0.0%3.3%0.9%-49.6K212.1K-12.1K0.0020.18N/AN/A70258993
2007-11-30$67.83$65.0027.2%7.8%27.7%0.0%0.0%3.3%1.2%-48.4K189.6K-12.1K0.0021.73N/AN/A00265993