EWP Options History — August 2008

In August 2008, EWP traded between $48.55 and $53.41. ATM implied volatility averaged 22.5%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.0% (HV 20d: 25.5%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-08-15: Highest Volume — 147 contracts
  • 2008-08-21: Largest IV spike — 89.4% change
  • 2008-08-21: Highest IV Rank — 23.0%
  • 2008-08-14: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$48.55$53.41$52.19$50.32
Max Pain$52.10$51.00$53.00$53.00$51.00
ATM IV22.5%13.2%25.8%22.4%21.3%
Expected Move6.8%3.8%7.4%6.4%6.1%
HV 20d25.5%21.3%29.1%26.6%23.4%
HV 60d22.0%21.6%22.8%21.7%22.8%
IV Rank15.5%0.0%23.0%13.7%15.9%
IV Percentile18.5%0.0%32.5%18.7%11.1%
Term Structure1.6%-0.3%17.4%2.5%3.7%
VWIV20.2%14.4%23.7%20.8%18.7%
Skew 25d1.4%-3.2%3.0%-1.4%2.5%
Skew 10d3.8%-21.5%10.5%6.6%9.3%
Call IV 25d22.6%16.7%24.4%23.6%19.1%
Put IV 25d24.0%13.5%26.2%22.2%21.6%
Bid-Ask Spread %52.9622.69176.9069.0773.93
Gamma HHI0.410.340.480.410.41
Net GEX-233.3K-344.4K-142.4K-283.1K-204.2K
Net DEX6.7M4.8M7.8M5.6M7.2M
Net VEX-15.7K-20.4K-11.6K-19.0K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.005.250.005.25
Total Volume32.3014720125
Total OI2,432.82,2672,5682,2672,551

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$52.19$53.0022.4%6.4%26.6%13.7%0.0%-1.4%2.5%-283.1K5.6M-19.0K0.0069.07N/AN/A2003681,899
2008-08-04$51.88$53.0022.5%7.2%26.5%14.0%0.0%1.9%0.4%-282.1K5.8M-18.7K0.0023.56N/AN/A103881,929
2008-08-05$53.41$53.0023.1%7.1%28.3%15.2%0.0%1.7%1.1%-304.6K4.8M-20.4K3.6425.24N/AN/A11403891,929
2008-08-06$53.20$53.0022.7%7.1%28.1%14.3%0.0%1.2%0.8%-319.4K5.2M-20.0K0.0026.26N/AN/A003801,969
2008-08-07$51.98$53.0023.7%7.3%29.1%16.4%0.0%2.1%0.1%-301.2K6.0M-18.4K0.0026.12N/AN/A003801,969
2008-08-08$51.99$53.0024.4%7.3%28.1%17.8%0.0%1.7%0.4%-306.0K6.0M-18.2K0.0024.61N/AN/A003801,969
2008-08-11$52.49$53.0022.5%7.2%28.3%13.9%0.0%1.4%0.5%-344.4K5.7M-18.4K1.0026.98N/AN/A10103801,969
2008-08-12$52.07$53.0023.5%7.2%27.5%16.0%0.0%2.1%0.2%-331.9K6.1M-17.8K2.9027.78N/AN/A10293901,979
2008-08-13$51.19$53.0015.8%7.2%27.0%0.1%0.0%1.8%0.4%-270.6K6.7M-16.6K0.5522.69N/AN/A20113901,998
2008-08-14$50.33$53.0025.8%7.4%25.5%20.7%0.0%1.4%-0.3%-215.7K7.1M-15.0K0.6826.19N/AN/A40273911,989
2008-08-15$50.13$53.0022.1%6.3%24.5%13.2%20.8%0.3%0.7%-207.1K7.4M-13.4K0.4743.45N/AN/A100474311,980
2008-08-18$49.71$51.0021.4%6.1%24.5%11.8%0.0%-0.5%1.0%-170.2K7.2M-13.0K0.0055.65N/AN/A0105201,936
2008-08-19$48.98$51.0023.5%6.7%24.7%16.0%23.7%2.5%1.0%-142.4K7.4M-12.1K0.0070.96N/AN/A0825201,936
2008-08-20$49.01$51.0013.2%3.8%23.9%0.0%14.4%-3.2%17.4%-166.2K7.1M-15.3K1.46176.90N/AN/A13195202,018
2008-08-21$49.12$51.0024.9%7.1%22.4%23.0%0.0%2.8%0.8%-162.2K7.5M-13.1K0.0062.97N/AN/A015332,027
2008-08-22$49.78$51.0024.4%7.0%23.2%22.1%0.0%1.6%0.5%-182.9K7.3M-13.9K0.0061.62N/AN/A005332,026
2008-08-25$48.55$51.0024.8%7.1%24.0%22.8%23.3%3.0%0.6%-143.2K7.8M-11.6K0.0077.97N/AN/A0135332,026
2008-08-26$48.79$51.0024.2%6.9%21.3%21.6%0.0%2.6%0.7%-151.8K7.8M-12.0K0.0068.82N/AN/A055332,035
2008-08-27$49.54$51.0024.3%7.0%22.4%21.8%0.0%2.4%0.3%-175.9K7.5M-12.9K0.0068.33N/AN/A025332,030
2008-08-28$50.32$51.0021.3%6.1%23.4%15.9%18.7%2.5%3.7%-204.2K7.2M-14.2K5.2573.93N/AN/A201055332,018