EWP Options History — March 2008

In March 2008, EWP traded between $56.04 and $61.83. ATM implied volatility averaged 30.3%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.1% (HV 20d: 27.3%). Max pain ranged from $55.00 to $62.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2008-03-20: Highest Volume — 239 contracts
  • 2008-03-13: Largest IV spike — 16.8% change
  • 2008-03-18: Highest IV Rank — 53.1%
  • 2008-03-18: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.96$56.04$61.83$57.03$61.41
Max Pain$60.30$55.00$62.00$55.00$61.00
ATM IV30.3%26.3%33.9%30.3%28.6%
Expected Move8.9%8.0%9.7%8.7%8.2%
HV 20d27.3%20.1%34.0%33.7%28.5%
HV 60d30.8%28.8%32.0%28.8%31.8%
IV Rank43.3%32.5%53.1%43.2%38.6%
IV Percentile67.6%46.1%78.6%70.2%61.1%
Term Structure0.3%-8.7%4.4%4.1%1.4%
VWIV29.4%15.2%36.2%29.3%15.2%
Skew 25d4.1%-6.7%8.1%8.1%3.3%
Skew 10d9.2%-14.8%19.9%12.4%16.8%
Call IV 25d30.7%26.0%49.6%26.9%27.4%
Put IV 25d34.8%30.6%49.3%35.0%30.6%
Bid-Ask Spread %65.2738.18155.3538.1861.19
Gamma HHI0.130.100.280.110.15
Net GEX-97.0K-204.3K13.0K-83.1K-204.3K
Net DEX2.2M1.2M3.5M3.0M1.7M
Net VEX-10.9K-11.9K-9.8K-11.8K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.005.130.255.13
Total Volume41.9502395549
Total OI1,581.451,3841,7181,5601,526

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$57.03$55.0030.3%8.7%33.7%43.2%29.3%8.1%4.1%-83.1K3.0M-11.8K0.2538.18N/AN/A44114571,103
2008-03-04$56.22$55.0032.1%9.2%34.0%48.1%30.8%8.1%1.5%-88.5K3.3M-10.9K0.0345.82N/AN/A3414671,104
2008-03-05$57.32$55.0030.4%8.7%20.1%43.5%0.0%7.3%3.1%-86.1K2.9M-11.5K0.2541.99N/AN/A414671,104
2008-03-06$56.62$55.0030.3%8.7%20.2%43.4%27.8%7.8%3.1%-92.3K3.2M-10.9K0.0045.03N/AN/A204711,105
2008-03-07$56.26$62.0031.9%9.3%20.4%47.4%33.6%4.7%4.4%-96.9K3.4M-10.4K3.0055.11N/AN/A264691,105
2008-03-10$56.04$62.0031.4%9.4%20.4%46.2%32.6%3.6%3.9%-106.0K3.5M-9.8K2.0057.40N/AN/A5104671,103
2008-03-11$58.86$62.0026.9%8.9%26.4%33.9%31.2%5.8%-0.2%-54.7K2.1M-11.5K0.2446.13N/AN/A118284721,097
2008-03-12$58.53$62.0026.3%9.0%25.4%32.5%32.4%5.7%-1.3%-4.3K1.9M-11.9K0.1248.78N/AN/A2635901,115
2008-03-13$59.43$62.0030.8%8.8%25.5%44.5%28.4%5.6%-0.2%13.0K1.5M-11.9K0.0043.40N/AN/A065731,118
2008-03-14$58.50$62.0033.4%9.6%26.2%51.7%0.0%-6.2%-5.6%-70.2K2.1M-11.8K0.00150.23N/AN/A0105901,128
2008-03-17$58.65$62.0033.4%9.6%26.1%51.7%0.0%-6.7%-8.7%-74.9K2.1M-10.9K0.00151.19N/AN/A005731,114
2008-03-18$59.97$62.0033.9%9.7%27.0%53.1%36.2%2.1%-4.2%-71.5K1.2M-11.4K0.81155.35N/AN/A16135731,114
2008-03-19$58.15$62.0032.4%9.3%29.6%48.9%0.0%5.2%-1.2%2.7K2.6M-9.9K0.0054.73N/AN/A105801,124
2008-03-20$59.09$62.0030.5%8.7%29.9%43.8%28.7%4.9%-0.1%-71.3K1.9M-10.1K0.0651.49N/AN/A226135811,124
2008-03-24$60.60$61.0028.9%8.3%30.9%39.6%28.8%5.2%1.2%-174.5K2.0M-10.4K4.7551.59N/AN/A4193061,089
2008-03-25$61.34$61.0029.3%8.4%30.9%40.4%0.0%4.8%0.9%-165.9K1.5M-10.1K2.5750.42N/AN/A35903061,078
2008-03-26$61.80$61.0028.0%8.0%30.1%37.0%27.7%4.3%2.5%-171.4K1.4M-11.1K0.0051.24N/AN/A1703261,138
2008-03-27$61.83$61.0028.2%8.1%30.0%37.5%28.1%4.9%1.6%-168.2K1.4M-10.9K1.0052.31N/AN/A553431,138
2008-03-28$61.45$61.0029.4%8.4%30.1%40.9%30.4%4.1%0.4%-172.7K1.5M-10.7K0.0053.90N/AN/A0353481,143
2008-03-31$61.41$61.0028.6%8.2%28.5%38.6%15.2%3.3%1.4%-204.3K1.7M-10.4K5.1361.19N/AN/A8413481,178