EWP Options History — September 2008

In September 2008, EWP traded between $44.43 and $50.34. ATM implied volatility averaged 40.7%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 1.1% (HV 20d: 39.6%). Max pain ranged from $50.00 to $58.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 8 of 18 days. Put/call ratio averaged 3.32.

Notable Days

2008-09-15: Highest Volume — 105 contracts
2008-09-18: Largest IV spike — 355.2% change
2008-09-18: Highest IV Rank — 100.0%
2008-09-18: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.29	$44.43	$50.34	$50.34	$46.47
Max Pain	$56.44	$50.00	$58.00	$52.00	$58.00
ATM IV	40.7%	20.5%	94.7%	21.1%	79.4%
Expected Move	11.7%	5.9%	27.1%	6.1%	22.8%
HV 20d	39.6%	22.2%	60.6%	22.2%	60.6%
HV 60d	29.9%	22.8%	39.3%	22.8%	39.3%
IV Rank	38.6%	14.4%	100.0%	15.7%	81.2%
IV Percentile	68.4%	9.1%	100.0%	10.3%	99.6%
Term Structure	-13.8%	-125.3%	4.7%	3.7%	-22.9%
VWIV	38.5%	16.7%	79.3%	16.7%	79.3%
Skew 25d	6.8%	-15.1%	31.1%	1.9%	31.1%
Skew 10d	1.1%	-30.2%	10.2%	7.3%	10.2%
Call IV 25d	41.6%	19.3%	80.4%	19.3%	50.8%
Put IV 25d	48.4%	20.3%	82.0%	21.2%	82.0%
Bid-Ask Spread %	121.82	52.62	200.00	80.80	109.56
Gamma HHI	0.39	0.32	0.46	0.40	0.38
Net GEX	-107.8K	-234.7K	-13.7K	-234.7K	-108.1K
Net DEX	7.1M	668.1K	9.0M	7.6M	7.3M
Net VEX	-7.5K	-13.2K	-1.2K	-13.2K	-7.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.32	0.00	6.00	1.60	0.00
Total Volume	18.389	0	105	5	1
Total OI	2,298.889	445	2,671	2,671	2,377

Daily Data (18 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-09-03	$50.34	$52.00	21.1%	6.1%	22.2%	15.7%	0.0%	1.9%	3.7%	-234.7K	7.6M	-13.2K	0.00	80.80	N/A	N/A	0	5	553	2,118
2008-09-04	$47.69	$52.00	20.5%	5.9%	28.9%	14.4%	0.0%	0.4%	4.7%	-117.0K	8.7M	-8.2K	1.60	101.86	N/A	N/A	10	16	553	2,116
2008-09-09	$46.35	$58.00	24.2%	7.6%	27.3%	21.6%	16.7%	1.5%	1.0%	-67.3K	9.0M	-5.3K	5.67	90.05	N/A	N/A	3	17	548	2,100
2008-09-10	$46.29	$58.00	24.4%	7.6%	27.4%	22.0%	16.9%	1.2%	0.9%	-52.6K	8.7M	-4.8K	0.00	89.18	N/A	N/A	0	67	545	2,022
2008-09-11	$46.33	$58.00	27.5%	7.9%	26.8%	28.0%	20.9%	1.5%	1.4%	-52.2K	8.8M	-4.8K	6.00	87.13	N/A	N/A	1	6	545	2,037
2008-09-12	$47.49	$58.00	26.8%	7.7%	28.9%	26.7%	24.3%	3.2%	1.4%	-88.7K	8.6M	-6.5K	0.00	86.14	N/A	N/A	0	22	546	2,030
2008-09-15	$45.20	$58.00	37.5%	10.7%	32.4%	47.6%	33.3%	1.8%	-4.3%	-51.0K	8.4M	-4.6K	0.00	93.63	N/A	N/A	0	105	546	2,013
2008-09-16	$46.01	$58.00	33.4%	9.6%	33.6%	39.6%	0.0%	7.2%	0.4%	-69.4K	8.5M	-6.1K	0.00	52.62	N/A	N/A	0	0	546	2,060
2008-09-17	$44.43	$50.00	20.8%	6.0%	35.0%	15.0%	0.0%	0.0%	-5.9%	-13.7K	2.3M	-1.2K	0.00	200.00	N/A	N/A	0	5	387	551
2008-09-18	$46.45	$50.00	94.7%	27.1%	39.2%	100.0%	0.0%	0.0%	-125.3%	-15.6K	668.1K	-2.7K	0.00	200.00	N/A	N/A	0	0	122	323
2008-09-19	$49.89	$58.00	30.3%	8.7%	47.5%	21.0%	37.4%	24.6%	4.6%	-226.9K	7.3M	-11.4K	0.00	143.81	N/A	N/A	0	24	546	2,061
2008-09-22	$48.66	$58.00	46.2%	13.3%	48.2%	40.6%	0.0%	8.4%	-16.8%	-153.3K	6.9M	-10.4K	0.00	145.57	N/A	N/A	0	0	433	1,905
2008-09-23	$48.07	$58.00	48.5%	13.9%	48.1%	43.3%	49.4%	15.3%	-14.9%	-137.7K	7.0M	-9.5K	0.00	145.49	N/A	N/A	0	10	433	1,898
2008-09-24	$47.80	$58.00	40.4%	11.6%	48.2%	33.4%	44.3%	17.8%	-18.2%	-130.2K	7.2M	-8.9K	0.00	142.89	N/A	N/A	0	30	433	1,908
2008-09-25	$49.30	$58.00	48.8%	14.0%	49.5%	43.7%	0.0%	2.3%	-16.3%	-159.8K	6.1M	-12.0K	0.00	140.93	N/A	N/A	6	0	433	1,938
2008-09-26	$49.47	$58.00	49.8%	14.3%	49.3%	44.9%	62.6%	5.0%	-18.1%	-180.3K	6.8M	-10.7K	0.00	144.14	N/A	N/A	0	3	439	1,938
2008-09-29	$44.97	$58.00	58.8%	16.9%	59.3%	56.0%	0.0%	-15.1%	-24.2%	-82.1K	7.4M	-6.4K	0.00	138.89	N/A	N/A	0	0	439	1,938
2008-09-30	$46.47	$58.00	79.4%	22.8%	60.6%	81.2%	79.3%	31.1%	-22.9%	-108.1K	7.3M	-7.5K	0.00	109.56	N/A	N/A	0	1	439	1,938