EWP Options History — July 2008

In July 2008, EWP traded between $51.47 and $54.80. ATM implied volatility averaged 27.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.2% (HV 20d: 21.2%). Max pain ranged from $53.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2008-07-31: Highest Volume — 170 contracts
  • 2008-07-09: Largest IV spike — 72.1% change
  • 2008-07-15: Highest IV Rank — 32.8%
  • 2008-07-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.40$51.47$54.80$53.73$53.40
Max Pain$53.74$53.00$60.00$60.00$53.00
ATM IV27.4%16.5%31.6%25.7%24.1%
Expected Move8.1%6.9%9.8%7.4%6.9%
HV 20d21.2%16.8%25.6%19.3%25.5%
HV 60d19.7%18.1%21.6%18.9%21.4%
IV Rank24.2%1.6%32.8%22.7%17.3%
IV Percentile55.2%0.4%78.6%39.7%22.6%
Term Structure-1.8%-9.7%1.8%-0.7%1.7%
VWIV29.3%24.3%38.0%24.3%24.7%
Skew 25d3.2%-9.3%6.8%-3.7%-0.4%
Skew 10d7.7%-9.3%15.7%-1.0%7.8%
Call IV 25d25.8%22.2%47.2%22.6%23.8%
Put IV 25d29.0%18.8%38.0%18.8%23.4%
Bid-Ask Spread %67.1138.92170.0354.2371.33
Gamma HHI0.500.430.630.530.43
Net GEX-268.4K-344.4K-240.0K-278.2K-284.8K
Net DEX5.6M4.2M7.0M6.6M4.7M
Net VEX-19.1K-21.0K-16.7K-19.7K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.203.001.861.83
Total Volume40.6190170126170
Total OI2,378.7141,9522,6572,5872,128

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$53.73$60.0025.7%7.4%19.3%22.7%24.3%-3.7%-0.7%-278.2K6.6M-19.7K1.8654.23N/AN/A44824872,100
2008-07-02$53.91$60.0028.8%8.3%19.6%27.0%0.0%-2.0%-2.1%-259.3K6.2M-21.0K1.00101.00N/AN/A10105152,122
2008-07-07$53.43$0.0028.6%8.2%18.2%26.6%0.0%3.9%-3.5%-268.0K6.6M-19.7K0.2050.47N/AN/A1025252,132
2008-07-08$54.10$0.0016.5%9.8%16.9%1.6%38.0%-9.3%-9.7%-300.6K6.5M-19.5K1.56170.03N/AN/A18285152,132
2008-07-09$53.58$53.0028.4%7.6%17.0%26.2%0.0%4.0%-1.5%-284.4K6.3M-19.7K0.0047.97N/AN/A055282,107
2008-07-10$53.96$53.0026.6%7.6%17.0%22.5%0.0%3.6%-1.5%-291.0K6.0M-20.0K1.1443.81N/AN/A50575232,087
2008-07-11$52.78$53.0029.4%8.4%18.1%28.1%0.0%4.2%-3.2%-254.6K6.3M-18.9K0.0058.67N/AN/A0235732,036
2008-07-14$52.48$53.0031.4%9.0%17.4%32.3%0.0%5.8%-5.5%-243.3K6.5M-18.4K0.0060.93N/AN/A045732,054
2008-07-15$51.47$53.0031.6%9.1%16.8%32.8%0.0%4.8%-5.4%-240.0K7.0M-16.7K0.0071.65N/AN/A0565732,056
2008-07-16$52.58$53.0029.2%8.4%19.5%27.8%0.0%6.1%-3.1%-240.1K6.3M-18.4K0.0061.67N/AN/A015732,019
2008-07-17$53.97$53.0027.4%7.8%22.4%23.9%31.9%6.3%-3.2%-283.7K5.6M-19.4K0.3352.60N/AN/A40135732,014
2008-07-18$54.80$53.0027.9%8.0%23.0%25.1%32.4%6.8%-0.9%-344.4K5.0M-20.0K2.3038.92N/AN/A10235932,018
2008-07-21$54.33$53.0028.0%8.0%23.1%25.4%0.0%4.7%1.3%-243.2K4.2M-19.5K0.0047.78N/AN/A002301,722
2008-07-22$53.71$53.0026.8%7.7%22.8%22.9%29.6%6.2%1.8%-254.8K4.6M-18.8K0.0048.35N/AN/A0522301,722
2008-07-23$54.40$53.0026.6%7.6%23.5%22.3%29.2%5.6%-1.0%-262.7K4.2M-19.3K0.3145.21N/AN/A64202301,760
2008-07-24$52.87$53.0028.7%8.2%25.3%26.8%28.4%3.4%-0.9%-247.7K4.9M-18.9K3.0061.27N/AN/A5152941,775
2008-07-25$52.86$53.0027.0%7.7%25.3%23.1%27.8%5.3%0.8%-255.1K5.0M-18.9K1.0084.29N/AN/A10102991,790
2008-07-28$52.02$53.0028.1%8.1%23.4%25.6%27.9%5.7%-0.1%-249.9K5.3M-17.9K0.0091.63N/AN/A0113091,800
2008-07-29$53.48$53.0028.3%8.1%25.6%26.0%0.0%3.2%0.4%-275.1K4.7M-19.0K0.0081.80N/AN/A003091,809
2008-07-30$53.62$53.0026.1%7.5%25.5%21.4%28.3%3.2%-0.6%-275.4K4.6M-18.9K0.0065.66N/AN/A0103091,809
2008-07-31$53.40$53.0024.1%6.9%25.5%17.3%24.7%-0.4%1.7%-284.8K4.7M-18.7K1.8371.33N/AN/A601103091,819