EWP Options History — February 2008

In February 2008, EWP traded between $53.58 and $59.03. ATM implied volatility averaged 35.8%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.5% (HV 20d: 37.3%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.57.

Notable Days

  • 2008-02-19: Highest Volume — 182 contracts
  • 2008-02-07: Largest IV spike — 31.9% change
  • 2008-02-07: Highest IV Rank — 100.0%
  • 2008-02-07: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.29$53.58$59.03$58.16$57.40
Max Pain$54.60$54.00$55.00$55.00$55.00
ATM IV35.8%27.9%51.2%36.1%30.7%
Expected Move10.6%8.0%12.4%10.3%8.8%
HV 20d37.3%32.4%42.1%33.3%34.2%
HV 60d29.6%27.0%30.9%27.2%29.3%
IV Rank59.2%36.8%100.0%63.9%44.3%
IV Percentile84.0%62.1%100.0%90.7%71.2%
Term Structure-1.2%-6.5%4.0%-1.4%3.6%
VWIV35.8%28.3%44.1%43.5%29.0%
Skew 25d10.3%5.9%13.8%6.5%8.3%
Skew 10d12.1%-3.9%14.2%13.0%11.5%
Call IV 25d30.4%25.3%38.2%32.2%26.6%
Put IV 25d40.7%32.4%44.3%38.8%34.9%
Bid-Ask Spread %29.9416.9488.9166.0332.30
Gamma HHI0.170.110.220.200.11
Net GEX-79.9K-115.8K-40.3K-40.3K-78.3K
Net DEX2.8M2.0M3.3M2.2M2.8M
Net VEX-9.6K-12.6K-7.3K-11.0K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.570.0045.000.001.90
Total Volume38.150182100
Total OI1,301.051,0461,5601,2111,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$58.16$55.0036.1%10.3%33.3%63.9%0.0%6.5%-1.4%-40.3K2.2M-11.0K0.0066.03N/AN/A100361850
2008-02-04$57.85$54.0035.7%10.0%32.4%62.9%0.0%13.8%0.2%-43.1K2.3M-10.5K0.0016.94N/AN/A00371850
2008-02-05$53.58$54.0039.4%12.4%41.1%73.5%43.5%9.6%-5.7%-70.8K3.2M-7.3K1.1323.88N/AN/A1517371850
2008-02-06$54.45$54.0038.8%12.3%41.8%72.0%0.0%10.3%-5.8%-75.8K3.2M-8.1K0.2721.34N/AN/A154383867
2008-02-07$54.31$54.0051.2%12.4%41.4%100.0%44.1%5.9%-6.5%-72.7K3.2M-7.9K0.0088.91N/AN/A047398871
2008-02-08$54.07$54.0038.1%12.2%41.0%64.3%0.0%11.2%-5.2%-78.2K3.2M-7.9K0.0022.90N/AN/A01398884
2008-02-11$54.09$54.0036.6%12.4%40.9%60.4%32.3%10.2%-5.5%-81.1K3.3M-7.5K0.0025.79N/AN/A100398883
2008-02-12$55.47$54.0035.4%11.4%42.1%57.1%37.1%12.4%-3.0%-91.7K3.1M-8.3K0.0021.08N/AN/A20388883
2008-02-13$56.25$54.0032.6%11.2%40.7%49.4%40.8%13.7%-3.1%-97.8K2.9M-8.8K0.0019.70N/AN/A026390883
2008-02-14$55.94$55.0038.7%11.1%40.1%66.1%38.5%12.6%-2.4%-98.9K3.0M-8.7K10.5019.68N/AN/A221390908
2008-02-15$55.84$55.0039.1%11.2%39.8%67.2%0.0%12.0%-2.3%-100.3K3.0M-8.5K0.1521.18N/AN/A203392908
2008-02-19$56.27$55.0037.7%10.8%39.9%63.2%31.0%12.2%-1.4%-115.8K3.1M-8.4K0.4021.83N/AN/A13052141905
2008-02-20$56.20$55.0037.9%10.9%36.6%63.9%0.0%12.5%-2.2%-98.6K3.0M-9.6K0.0022.60N/AN/A00271957
2008-02-21$55.96$55.0034.9%10.0%36.0%55.6%28.5%10.2%1.2%-99.8K3.1M-9.4K0.0126.82N/AN/A1001271957
2008-02-22$56.47$55.0034.4%9.9%33.0%54.4%36.5%10.5%1.5%-78.4K2.8M-10.1K0.3926.13N/AN/A3614371957
2008-02-25$57.16$55.0032.5%9.3%32.4%49.2%39.3%11.2%3.7%-73.8K2.6M-10.4K45.0026.98N/AN/A290407967
2008-02-26$58.47$55.0029.8%8.6%33.0%42.0%28.3%7.9%3.4%-73.2K2.3M-12.1K0.4528.28N/AN/A22104091,017
2008-02-27$59.03$55.0028.0%8.0%32.9%36.9%29.0%7.3%4.0%-62.9K2.0M-12.4K3.7333.35N/AN/A11414311,023
2008-02-28$58.79$55.0027.9%8.0%33.0%36.8%0.0%7.1%3.9%-66.2K2.1M-12.6K1.9033.02N/AN/A21404371,063
2008-02-29$57.40$55.0030.7%8.8%34.2%44.3%0.0%8.3%3.6%-78.3K2.8M-12.4K0.0032.30N/AN/A004571,103