EWP Options History — April 2008

In April 2008, EWP traded between $61.05 and $64.16. ATM implied volatility averaged 28.4%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.6% (HV 20d: 22.8%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 7.93.

Notable Days

  • 2008-04-24: Highest Volume — 2,151 contracts
  • 2008-04-30: Largest IV spike — 102.1% change
  • 2008-04-30: Highest IV Rank — 81.4%
  • 2008-04-30: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.02$61.05$64.16$63.09$62.71
Max Pain$63.32$60.00$64.00$61.00$64.00
ATM IV28.4%21.2%44.4%27.7%44.4%
Expected Move8.3%6.1%12.7%7.9%12.7%
HV 20d22.8%17.7%29.4%29.4%17.8%
HV 60d29.8%27.6%32.2%32.2%27.6%
IV Rank38.1%18.5%81.4%36.1%81.4%
IV Percentile53.8%11.4%98.6%55.5%98.6%
Term Structure-1.5%-19.7%3.0%3.0%-19.7%
VWIV28.1%21.8%36.7%27.3%21.8%
Skew 25d4.4%-0.6%37.4%4.9%37.4%
Skew 10d5.7%-3.8%43.1%10.3%43.1%
Call IV 25d26.4%19.6%30.5%25.3%23.7%
Put IV 25d30.8%21.9%61.1%30.3%61.1%
Bid-Ask Spread %46.9418.11183.2957.00183.29
Gamma HHI0.190.110.310.140.23
Net GEX-253.7K-556.4K-3.7K-178.1K-498.4K
Net DEX2.1M466.3K6.6M786.8K6.3M
Net VEX-16.5K-42.3K-9.4K-10.1K-37.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.930.0051.4628.000.00
Total Volume167.81802,1518715
Total OI2,040.5919714,1601,5573,763

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$63.09$61.0027.7%7.9%29.4%36.1%27.3%4.9%3.0%-178.1K786.8K-10.1K28.0057.00N/AN/A3843481,209
2008-04-02$63.23$61.0027.5%7.9%28.5%35.7%0.0%4.6%3.0%-185.6K787.3K-11.1K12.0060.67N/AN/A121443501,293
2008-04-03$63.16$61.0027.3%7.8%28.2%35.2%23.7%4.0%2.1%-201.2K1.1M-13.0K0.1047.65N/AN/A1013501,415
2008-04-04$63.54$0.0028.1%8.7%27.4%37.2%0.0%-0.3%-3.4%-202.6K812.4K-11.8K0.0019.20N/AN/A003421,416
2008-04-07$63.85$0.0026.7%8.8%27.1%33.5%0.0%-0.6%-3.9%-190.3K466.3K-11.1K0.0921.32N/AN/A5653421,416
2008-04-08$63.20$0.0027.8%8.6%27.5%36.4%28.9%0.8%-0.8%-222.2K905.8K-11.5K0.0019.06N/AN/A703411,421
2008-04-09$62.72$64.0026.5%8.5%22.6%32.9%0.0%-0.4%-0.8%-257.0K1.1M-11.5K3.3318.77N/AN/A12403481,421
2008-04-10$62.30$64.0030.0%8.6%22.7%42.4%29.7%0.9%0.5%-274.4K1.4M-12.2K2.6718.70N/AN/A383601,461
2008-04-11$61.05$60.0030.6%8.8%23.6%43.9%30.1%1.7%-0.1%-394.8K2.9M-12.2K1.1318.11N/AN/A40452241,469
2008-04-14$61.67$64.0029.8%8.5%22.9%41.8%30.0%0.6%0.2%-387.5K2.3M-11.6K4.0019.24N/AN/A142521,489
2008-04-15$62.18$64.0031.0%8.9%23.0%45.1%0.0%0.4%-1.0%-326.5K1.8M-11.0K12.5020.92N/AN/A4502511,493
2008-04-16$64.04$64.0028.5%8.2%23.9%38.3%28.9%1.6%-0.6%-104.6K758.7K-9.9K3.3826.04N/AN/A8272511,543
2008-04-17$63.28$64.0028.6%8.2%21.1%38.6%0.0%0.3%0.2%-197.9K933.4K-10.0K12.0023.56N/AN/A3362581,540
2008-04-18$64.05$64.0027.5%7.9%20.9%35.7%27.5%1.5%-0.6%-3.7K603.0K-9.4K2.9328.84N/AN/A421232571,540
2008-04-21$64.16$64.0027.6%7.9%19.3%35.9%27.2%-0.3%-0.6%-74.5K849.0K-10.1K0.0052.66N/AN/A0105158813
2008-04-22$63.35$64.0026.5%7.6%19.8%32.8%0.0%-0.2%1.6%-79.4K968.8K-10.0K1.0034.44N/AN/A250250158813
2008-04-23$63.14$64.0025.2%7.2%19.7%29.3%25.6%0.5%2.6%-99.1K1.2M-10.7K0.2531.32N/AN/A4010158898
2008-04-24$62.90$64.0038.1%10.9%19.8%64.4%36.7%32.7%-14.4%-102.2K1.3M-20.8K51.46181.15N/AN/A412,1106781,408
2008-04-25$63.19$64.0022.9%6.6%19.7%23.3%21.8%3.5%-1.1%-498.3K5.5M-42.3K0.0045.11N/AN/A0767123,448
2008-04-28$63.23$64.0021.2%6.1%19.6%18.5%0.0%1.5%0.9%-545.9K5.7M-37.0K0.0058.33N/AN/A004693,274
2008-04-29$62.47$64.0021.9%6.3%17.7%20.6%0.0%2.8%-0.1%-556.4K6.6M-37.4K0.0047.21N/AN/A0274693,274
2008-04-30$62.71$64.0044.4%12.7%17.8%81.4%0.0%37.4%-19.7%-498.4K6.3M-37.5K0.00183.29N/AN/A1504693,294