EWP Options History — December 2007

In December 2007, EWP traded between $63.02 and $68.68. ATM implied volatility averaged 27.8%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.0% (HV 20d: 23.8%). Max pain ranged from $60.00 to $66.00. Net GEX was positive for 1 of 16 trading days. Term structure was in contango for 9 of 16 days. Put/call ratio averaged 0.66.

Notable Days

2007-12-20: Highest Volume — 584 contracts
2007-12-31: Largest IV drop — 19.2% change
2007-12-20: Highest IV Rank — 46.2%
2007-12-18: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.10	$63.02	$68.68	$67.74	$63.65
Max Pain	$61.31	$60.00	$66.00	$65.00	$60.00
ATM IV	27.8%	20.2%	32.7%	27.2%	20.2%
Expected Move	8.0%	5.8%	9.4%	7.8%	5.8%
HV 20d	23.8%	21.3%	27.3%	27.3%	21.3%
HV 60d	22.3%	20.9%	22.9%	22.9%	22.4%
IV Rank	37.8%	22.6%	46.2%	46.2%	22.6%
IV Percentile	40.5%	14.0%	57.1%	57.1%	14.0%
Term Structure	0.2%	-5.5%	7.5%	1.0%	7.5%
VWIV	28.7%	18.7%	33.6%	27.8%	18.7%
Skew 25d	2.1%	-5.9%	4.9%	3.5%	1.5%
Skew 10d	2.4%	-6.6%	8.3%	2.0%	2.3%
Call IV 25d	26.4%	14.3%	33.1%	26.3%	16.6%
Put IV 25d	28.5%	18.1%	33.9%	29.8%	18.1%
Bid-Ask Spread %	49.60	23.50	109.94	24.32	109.94
Gamma HHI	0.14	0.11	0.22	0.13	0.22
Net GEX	-57.6K	-131.8K	10.8K	-47.5K	-1.7K
Net DEX	382.5K	-148.4K	1.4M	161.8K	477.3K
Net VEX	-12.0K	-14.7K	-10.7K	-11.7K	-12.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	4.29	0.00	2.00
Total Volume	56.313	0	584	1	3
Total OI	1,419.25	1,257	1,937	1,258	1,804

Daily Data (16 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-12-03	$67.74	$65.00	27.2%	7.8%	27.3%	0.0%	27.8%	3.5%	1.0%	-47.5K	161.8K	-11.7K	0.00	24.32	N/A	N/A	1	0	265	993
2007-12-04	$68.22	$65.00	27.5%	7.9%	27.3%	0.0%	27.5%	2.0%	0.9%	-45.2K	46.3K	-11.2K	0.00	29.40	N/A	N/A	1	0	264	993
2007-12-05	$68.19	$65.00	27.3%	7.8%	26.9%	0.0%	29.3%	2.5%	1.6%	-42.9K	24.5K	-11.1K	0.38	30.52	N/A	N/A	40	15	265	993
2007-12-06	$68.29	$66.00	27.3%	7.8%	25.8%	0.0%	0.0%	2.7%	1.6%	-45.5K	4.2K	-11.4K	0.00	36.84	N/A	N/A	2	0	277	1,008
2007-12-10	$68.68	$60.00	27.4%	8.1%	24.2%	0.0%	25.2%	1.3%	-2.3%	-36.9K	-146.7K	-10.8K	0.00	33.48	N/A	N/A	3	0	278	1,008
2007-12-11	$67.48	$60.00	29.2%	8.0%	24.1%	0.0%	33.1%	-5.9%	0.8%	-39.1K	-148.4K	-10.7K	0.00	109.22	N/A	N/A	1	0	278	1,008
2007-12-12	$68.29	$60.00	27.4%	8.0%	23.8%	0.0%	28.0%	2.3%	-1.8%	-34.7K	-69.7K	-10.8K	0.13	30.67	N/A	N/A	8	1	278	1,008
2007-12-13	$67.07	$60.00	28.4%	8.2%	21.6%	0.0%	0.0%	1.8%	-2.0%	-38.6K	148.3K	-11.3K	0.00	30.34	N/A	N/A	9	0	286	1,009
2007-12-14	$65.41	$60.00	29.1%	8.3%	23.1%	0.0%	30.3%	3.0%	-1.2%	-65.6K	656.7K	-11.9K	0.00	29.90	N/A	N/A	58	0	293	1,009
2007-12-17	$64.38	$60.00	32.2%	9.2%	23.3%	0.0%	33.6%	3.3%	-2.7%	-99.1K	915.1K	-12.2K	4.29	23.82	N/A	N/A	14	60	341	1,009
2007-12-18	$64.94	$60.00	32.7%	9.4%	22.9%	0.0%	32.3%	3.3%	-5.5%	-97.4K	717.1K	-12.1K	1.05	25.11	N/A	N/A	38	40	351	1,064
2007-12-19	$64.19	$60.00	32.3%	9.3%	22.4%	0.0%	33.0%	2.9%	-2.7%	-131.8K	1.1M	-12.6K	0.00	23.50	N/A	N/A	0	21	340	1,104
2007-12-20	$63.02	$60.00	26.3%	7.5%	21.9%	46.2%	25.6%	1.8%	0.1%	-125.5K	1.4M	-12.3K	0.73	77.88	N/A	N/A	338	246	340	1,101
2007-12-21	$63.80	$60.00	25.0%	7.2%	22.1%	41.3%	0.0%	2.9%	1.3%	-80.8K	700.1K	-14.7K	0.00	70.23	N/A	N/A	0	2	656	1,281
2007-12-24	$64.23	$60.00	25.0%	7.2%	22.2%	41.2%	0.0%	4.9%	7.0%	10.8K	147.6K	-14.1K	0.00	108.47	N/A	N/A	0	0	593	1,211
2007-12-31	$63.65	$60.00	20.2%	5.8%	21.3%	22.6%	18.7%	1.5%	7.5%	-1.7K	477.3K	-12.7K	2.00	109.94	N/A	N/A	1	2	593	1,211