EWP Options History — May 2008

In May 2008, EWP traded between $62.15 and $65.30. ATM implied volatility averaged 22.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.9% (HV 20d: 18.1%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 14.11.

Notable Days

  • 2008-05-01: Highest Volume — 125 contracts
  • 2008-05-09: Largest IV spike — 194.9% change
  • 2008-05-09: Highest IV Rank — 100.0%
  • 2008-05-09: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.77$62.15$65.30$63.59$62.43
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV22.1%17.0%64.3%20.2%20.5%
Expected Move6.1%5.1%7.9%5.8%5.9%
HV 20d18.1%16.4%20.8%18.5%17.7%
HV 60d22.6%22.0%23.0%22.5%22.0%
IV Rank16.5%5.2%100.0%15.8%12.4%
IV Percentile16.0%3.6%100.0%8.5%14.2%
Term Structure-2.0%-4.7%4.9%1.5%0.0%
VWIV20.2%18.1%21.7%20.4%18.1%
Skew 25d2.2%-6.2%7.1%1.3%1.3%
Skew 10d7.3%-5.8%65.9%1.6%2.3%
Call IV 25d19.4%15.3%30.2%20.3%19.2%
Put IV 25d21.6%19.6%28.9%21.6%20.4%
Bid-Ask Spread %46.0921.33190.7263.4430.28
Gamma HHI0.260.230.280.250.26
Net GEX-632.3K-755.8K-521.5K-559.2K-755.8K
Net DEX5.3M3.1M7.9M5.2M7.7M
Net VEX-33.9K-38.2K-30.3K-35.5K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.110.0083.007.330.00
Total Volume25.9501251258
Total OI3,932.353,7784,0203,7783,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$63.59$64.0020.2%5.8%18.5%15.8%20.4%1.3%1.5%-559.2K5.2M-35.5K7.3363.44N/AN/A151104843,294
2008-05-02$63.58$64.0017.6%5.1%18.3%8.9%0.0%3.6%4.9%-572.8K5.3M-37.4K83.0066.93N/AN/A1834993,396
2008-05-05$63.99$64.0019.2%6.2%18.4%13.0%0.0%1.4%-4.2%-590.0K5.0M-36.3K0.0027.00N/AN/A204993,443
2008-05-06$64.43$64.0018.7%6.1%18.1%11.8%0.0%0.8%-4.2%-591.2K4.4M-35.1K0.0028.69N/AN/A094993,443
2008-05-07$62.75$64.0019.4%6.0%20.4%13.7%0.0%0.4%-4.7%-630.6K6.5M-36.5K0.0025.00N/AN/A504993,452
2008-05-08$63.63$64.0021.8%7.8%20.8%20.2%0.0%1.8%-3.9%-521.5K5.6M-38.2K0.00188.09N/AN/A0724943,452
2008-05-09$63.41$64.0064.3%7.9%19.3%100.0%0.0%-6.2%-3.5%-577.0K6.1M-37.3K0.00190.72N/AN/A004943,520
2008-05-12$64.50$64.0018.7%6.2%19.9%8.8%0.0%7.1%-3.1%-635.1K4.5M-34.2K0.0023.68N/AN/A074943,520
2008-05-13$64.02$64.0017.6%6.2%20.0%6.4%0.0%6.5%-2.9%-668.9K5.0M-35.3K0.0022.90N/AN/A004943,525
2008-05-14$64.21$64.0017.0%6.2%17.1%5.2%21.7%6.9%-1.9%-661.7K4.7M-34.8K15.0024.05N/AN/A2304943,525
2008-05-15$65.03$64.0021.7%6.2%17.0%14.7%0.0%5.4%-3.9%-595.8K3.5M-32.7K0.0028.83N/AN/A004953,525
2008-05-16$65.30$64.0021.6%6.2%16.6%14.6%0.0%5.6%-4.1%-576.7K3.1M-31.0K0.0031.45N/AN/A3604953,525
2008-05-19$64.69$64.0020.8%6.0%17.0%13.0%0.0%0.4%-3.7%-596.8K3.9M-31.7K0.0026.86N/AN/A004673,364
2008-05-20$64.44$64.0019.8%5.7%16.4%11.0%19.8%1.5%-1.7%-646.3K4.4M-31.7K1.0023.21N/AN/A12124673,364
2008-05-21$63.66$64.0020.0%5.7%16.9%11.3%20.6%1.0%-1.4%-663.9K5.4M-32.3K2.2923.16N/AN/A14324743,376
2008-05-22$63.99$64.0020.0%5.7%16.9%11.3%0.0%1.1%-1.5%-667.7K4.9M-31.8K60.0021.33N/AN/A1604843,378
2008-05-23$63.02$64.0020.5%5.9%17.8%12.2%20.4%0.8%-1.0%-690.4K6.4M-33.6K0.6721.41N/AN/A324853,438
2008-05-27$62.49$64.0020.5%5.9%18.1%12.3%0.0%1.5%-0.7%-716.5K7.3M-31.9K0.0024.76N/AN/A304883,440
2008-05-29$62.15$64.0021.2%6.1%17.6%13.7%0.0%1.4%-0.2%-727.7K7.9M-30.3K0.0030.08N/AN/A004913,440
2008-05-30$62.43$64.0020.5%5.9%17.7%12.4%18.1%1.3%0.0%-755.8K7.7M-30.5K0.0030.28N/AN/A804913,440