EWP Options History — January 2008

In January 2008, EWP traded between $54.32 and $63.67. ATM implied volatility averaged 32.2%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 7.3% (HV 20d: 25.0%). Max pain ranged from $55.00 to $63.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.65.

Notable Days

  • 2008-01-17: Highest Volume — 246 contracts
  • 2008-01-22: Largest IV spike — 35.5% change
  • 2008-01-22: Highest IV Rank — 100.0%
  • 2008-01-30: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.26$54.32$63.67$63.67$57.24
Max Pain$60.47$55.00$63.00$60.00$55.00
ATM IV32.2%25.0%48.4%25.5%35.9%
Expected Move9.1%7.0%13.9%7.3%10.3%
HV 20d25.0%17.8%32.4%20.4%32.4%
HV 60d24.8%22.4%27.6%22.4%26.9%
IV Rank63.5%41.3%100.0%43.2%63.3%
IV Percentile76.5%45.8%100.0%49.2%89.3%
Term Structure-0.3%-15.1%2.5%-0.7%1.2%
VWIV27.1%15.1%40.1%15.1%40.1%
Skew 25d3.1%-6.3%8.8%-4.0%3.8%
Skew 10d8.2%-6.3%26.2%4.2%6.5%
Call IV 25d32.0%18.0%76.9%23.1%33.8%
Put IV 25d35.0%18.6%73.6%19.1%37.6%
Bid-Ask Spread %71.9932.46154.6697.5569.42
Gamma HHI0.270.190.550.210.19
Net GEX-95.3K-250.7K-4.0K-4.0K-48.3K
Net DEX2.2M389.2K4.1M389.2K2.4M
Net VEX-11.3K-12.8K-9.6K-12.8K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.650.0050.500.000.00
Total Volume50.762024650
Total OI1,639.2861,1772,2441,8051,211

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$63.67$60.0025.5%7.3%20.4%43.2%15.1%-4.0%-0.7%-4.0K389.2K-12.8K0.0097.55N/AN/A505941,211
2008-01-03$63.30$60.0025.0%7.2%17.8%41.3%24.9%-5.1%0.1%-27.3K619.2K-12.5K8.4392.57N/AN/A7595991,211
2008-01-04$61.73$0.0026.2%7.0%19.3%45.8%0.0%7.7%1.2%-109.3K1.4M-12.2K20.0071.69N/AN/A1206051,209
2008-01-07$62.40$0.0028.0%7.4%20.0%52.7%25.7%1.1%1.1%-84.1K1.3M-12.1K0.0041.67N/AN/A2006041,227
2008-01-08$61.52$63.0028.2%7.4%20.2%53.7%0.0%6.6%1.2%-138.6K1.7M-11.9K0.0050.06N/AN/A0306041,227
2008-01-09$62.20$63.0026.8%7.4%20.6%48.2%0.0%1.2%1.3%-115.3K1.4M-11.9K0.0042.51N/AN/A0106041,257
2008-01-10$62.70$63.0025.7%7.4%21.0%43.7%24.8%2.6%0.8%-80.6K1.2M-12.1K0.3832.46N/AN/A26106041,267
2008-01-11$61.63$62.0025.9%7.4%21.4%44.8%0.0%2.9%1.6%-165.7K1.7M-12.0K2.0047.01N/AN/A366291,277
2008-01-14$62.24$62.0026.5%7.6%21.7%46.8%25.4%4.5%0.4%-140.9K1.2M-11.1K0.0041.77N/AN/A506321,277
2008-01-15$59.84$62.0026.7%7.6%24.6%47.5%0.0%0.9%1.9%-250.7K2.7M-11.2K0.0055.10N/AN/A0236291,277
2008-01-16$58.57$62.0028.6%8.2%24.2%55.2%28.5%1.7%-0.5%-193.7K3.7M-10.2K0.6163.56N/AN/A115706291,274
2008-01-17$57.62$61.0028.7%8.2%24.1%55.3%28.7%-0.1%2.4%-95.0K3.9M-10.3K1.4470.01N/AN/A1011457221,299
2008-01-18$57.76$61.0030.8%8.8%23.5%63.5%30.8%2.1%0.4%-99.0K4.1M-12.4K50.5063.56N/AN/A21018231,421
2008-01-22$55.30$61.0041.7%12.0%26.8%100.0%0.0%8.8%-7.4%-71.6K3.2M-10.8K0.00117.17N/AN/A00342944
2008-01-23$54.32$61.0039.8%11.4%26.3%92.8%34.9%8.7%1.8%-73.1K3.5M-9.6K18.4463.52N/AN/A9166332944
2008-01-24$56.61$61.0037.1%10.6%31.7%83.0%18.7%7.6%2.5%-56.4K2.6M-10.8K5.3059.62N/AN/A1053338856
2008-01-25$55.50$61.0045.3%13.0%31.8%100.0%0.0%-6.3%-2.4%-74.4K2.2M-11.1K0.00145.12N/AN/A012328853
2008-01-28$56.29$61.0040.0%11.5%31.9%82.9%40.1%8.0%1.5%-60.5K2.7M-10.0K0.0565.52N/AN/A201328849
2008-01-29$56.92$55.0036.1%10.4%32.2%70.5%0.0%6.9%1.2%-53.9K2.6M-10.4K0.0067.17N/AN/A00344850
2008-01-30$57.09$55.0048.4%13.9%32.4%100.0%0.0%4.9%-15.1%-59.3K2.3M-10.8K0.00154.66N/AN/A360344850
2008-01-31$57.24$55.0035.9%10.3%32.4%63.3%0.0%3.8%1.2%-48.3K2.4M-10.4K0.0069.42N/AN/A00361850