EWP Options History — June 2008

In June 2008, EWP traded between $54.12 and $61.23. ATM implied volatility averaged 24.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.1% (HV 20d: 18.9%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 17.70.

Notable Days

  • 2008-06-26: Highest Volume — 265 contracts
  • 2008-06-12: Largest IV spike — 30.7% change
  • 2008-06-12: Highest IV Rank — 25.7%
  • 2008-06-10: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.77$54.12$61.23$60.92$54.12
Max Pain$62.71$60.00$65.00$64.00$60.00
ATM IV24.0%17.6%27.2%20.3%26.0%
Expected Move7.2%5.8%7.8%5.8%7.5%
HV 20d18.9%17.9%20.4%18.8%19.3%
HV 60d20.2%18.7%22.4%22.4%19.0%
IV Rank19.3%6.5%25.7%11.8%23.3%
IV Percentile34.2%6.7%53.1%13.3%41.7%
Term Structure-2.0%-3.9%0.9%0.2%-1.1%
VWIV23.3%17.4%26.3%19.6%17.4%
Skew 25d1.9%-5.6%6.8%0.4%-1.2%
Skew 10d4.5%-2.4%9.0%5.3%0.3%
Call IV 25d22.8%18.0%25.8%19.9%20.6%
Put IV 25d24.7%19.3%28.7%20.3%19.4%
Bid-Ask Spread %61.5249.6297.2050.1262.35
Gamma HHI0.350.190.540.210.54
Net GEX-369.8K-685.8K-266.1K-639.1K-279.9K
Net DEX10.1M5.3M12.7M9.9M6.3M
Net VEX-24.5K-29.2K-19.6K-28.2K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.700.00264.000.132.00
Total Volume53.14302651845
Total OI3,658.0952,5474,2153,9262,547

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$60.92$64.0020.3%5.8%18.8%11.8%19.6%0.4%0.2%-639.1K9.9M-28.2K0.1350.12N/AN/A1624863,440
2008-06-03$60.75$64.0022.2%6.4%18.8%15.6%0.0%0.8%-0.7%-612.3K10.0M-28.9K3.6068.96N/AN/A15544923,440
2008-06-04$60.40$64.0022.0%6.3%18.5%15.4%0.0%0.5%0.9%-584.5K10.6M-29.2K0.0071.73N/AN/A005063,491
2008-06-05$61.23$64.0020.5%5.9%19.2%12.3%17.8%2.4%-0.5%-685.8K10.0M-27.7K0.0451.77N/AN/A5225063,491
2008-06-06$59.32$65.0023.2%7.8%20.1%17.8%0.0%6.1%-0.7%-450.4K11.6M-28.1K0.0071.53N/AN/A005583,491
2008-06-09$58.81$65.0020.3%7.7%19.2%12.0%25.3%6.8%-3.5%-387.9K12.3M-25.2K0.6870.03N/AN/A56385583,491
2008-06-10$57.97$64.0017.6%7.8%19.5%6.5%24.5%4.8%-3.9%-334.4K12.6M-25.2K3.1053.10N/AN/A20626043,525
2008-06-11$57.36$64.0020.8%7.8%17.9%12.9%24.6%2.9%-2.2%-298.5K12.7M-24.3K1.5556.20N/AN/A11176243,460
2008-06-12$57.91$64.0027.2%7.8%18.7%25.7%0.0%4.2%-3.7%-300.3K12.4M-24.1K0.0053.90N/AN/A006333,458
2008-06-13$58.63$64.0026.8%7.7%19.5%25.0%0.0%6.4%-2.1%-324.0K12.1M-24.1K0.0055.80N/AN/A0716333,458
2008-06-16$58.44$64.0026.9%7.7%18.4%25.1%25.8%5.0%-3.9%-301.3K12.2M-23.4K0.2854.81N/AN/A43126333,466
2008-06-17$58.47$64.0026.3%7.5%18.2%24.0%26.3%4.4%-3.7%-283.7K12.1M-23.6K0.0954.20N/AN/A1116583,474
2008-06-18$57.60$64.0027.0%7.7%18.5%25.4%25.6%4.0%-3.0%-291.2K12.6M-23.9K3.4055.41N/AN/A10346693,474
2008-06-19$57.60$63.0026.1%7.5%18.6%23.5%24.8%3.8%-2.1%-283.0K12.4M-23.5K0.0055.62N/AN/A8206793,455
2008-06-20$56.70$60.0020.3%5.8%18.8%11.9%24.6%2.3%-1.3%-266.1K12.5M-23.2K3.5049.62N/AN/A10357603,455
2008-06-23$56.47$60.0025.0%7.2%18.4%21.3%21.7%0.8%-0.9%-286.8K5.3M-22.7K0.2766.74N/AN/A41114602,143
2008-06-24$56.02$60.0026.7%7.6%18.1%24.7%25.2%-0.3%-3.0%-283.3K5.6M-22.6K0.5597.20N/AN/A20114672,154
2008-06-25$55.86$60.0026.4%7.6%18.1%24.1%0.0%-3.4%-2.8%-282.1K5.6M-22.8K0.0067.11N/AN/A0584672,164
2008-06-26$54.12$60.0026.0%7.5%20.3%23.4%22.5%-5.6%-2.6%-295.2K6.8M-21.7K264.0058.96N/AN/A12644672,208
2008-06-27$54.45$60.0026.1%7.5%20.4%23.4%0.0%-4.4%-1.2%-295.7K6.6M-22.0K0.0066.76N/AN/A1104672,208
2008-06-30$54.12$60.0026.0%7.5%19.3%23.3%17.4%-1.2%-1.1%-279.9K6.3M-19.6K2.0062.35N/AN/A15304772,070