EWP Options History — October 2008

In October 2008, EWP traded between $29.40 and $46.98. ATM implied volatility averaged 71.0%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 11.4% (HV 20d: 82.4%). Max pain ranged from $44.00 to $58.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 14.88.

Notable Days

  • 2008-10-03: Highest Volume — 59 contracts
  • 2008-10-31: Largest IV spike — 168.6% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.41$29.40$46.98$46.98$35.45
Max Pain$47.00$44.00$58.00$58.00$44.00
ATM IV71.0%30.0%140.1%62.0%80.6%
Expected Move16.7%8.6%23.2%17.8%23.1%
HV 20d82.4%60.5%106.1%60.5%106.1%
HV 60d54.7%39.4%71.3%39.4%71.3%
IV Rank55.1%13.3%100.0%59.9%53.1%
IV Percentile95.3%68.7%100.0%98.8%98.0%
Term Structure-10.6%-55.4%33.5%-21.6%-31.5%
VWIV49.4%31.5%59.3%31.5%49.9%
Skew 25d6.6%-25.3%42.4%23.7%-25.3%
Skew 10d8.0%-27.0%42.4%-18.0%0.7%
Call IV 25d54.0%40.6%93.3%58.2%93.3%
Put IV 25d60.6%42.0%90.8%81.9%68.0%
Bid-Ask Spread %118.9349.04200.00142.82128.26
Gamma HHI0.230.110.570.390.20
Net GEX-24.5K-120.3K0-120.3K-12.1K
Net DEX4.5M452.5K7.5M7.0M1.5M
Net VEX-2.7K-8.3K0-8.3K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.880.8558.0058.001.55
Total Volume18.273059010
Total OI1,569.6363112,3762,369716

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$46.98$58.0062.0%17.8%60.5%59.9%0.0%23.7%-21.6%-120.3K7.0M-8.3K0.00142.82N/AN/A004331,936
2008-10-02$44.75$58.0062.3%17.9%62.2%60.3%31.5%7.0%-17.0%-69.7K7.5M-5.9K0.00100.30N/AN/A0144391,937
2008-10-03$45.11$58.0065.1%18.7%62.3%63.7%59.3%25.7%-13.5%-77.4K7.3M-6.5K58.00119.53N/AN/A1584391,923
2008-10-06$43.08$0.0076.1%12.9%61.6%77.3%0.0%-11.8%0.9%-55.8K7.3M-5.2K0.00145.81N/AN/A074391,919
2008-10-07$42.32$0.0075.4%16.3%61.1%76.3%56.9%4.4%-10.0%-30.2K7.4M-4.0K0.0049.99N/AN/A0574391,913
2008-10-08$41.39$44.0073.0%16.4%61.4%73.5%0.0%5.7%-8.4%-23.4K7.4M-3.6K0.8549.04N/AN/A13114391,918
2008-10-09$38.27$44.00104.8%15.9%66.6%100.0%0.0%-16.3%-18.5%-25.0K6.9M-2.5K0.00131.67N/AN/A024421,913
2008-10-10$36.90$54.0081.0%23.2%65.9%74.0%0.0%0.0%-55.4%-1.4K1.6M-9970.00200.00N/AN/A04300464
2008-10-13$42.13$44.00122.5%17.0%82.1%100.0%0.0%-22.2%-5.1%-31.0K7.4M-3.4K4.00137.76N/AN/A144421,901
2008-10-14$41.18$44.00140.1%16.6%82.0%100.0%0.0%-23.7%-5.8%-31.1K7.2M-3.2K0.00145.22N/AN/A034431,900
2008-10-15$37.07$44.0075.6%15.2%88.8%49.2%49.9%-3.0%-12.9%-5.1K6.9M-1.2K0.00101.19N/AN/A0124421,900
2008-10-16$39.93$44.0058.9%16.9%91.8%36.0%0.0%8.3%-6.1%-7.5K7.2M-2.5K0.0090.50N/AN/A044421,889
2008-10-17$38.91$44.0056.9%16.3%87.1%34.5%0.0%3.5%-6.7%-6.8K7.0M-2.6K10.0094.86N/AN/A2204421,889
2008-10-20$40.39$44.0059.2%17.0%88.7%36.2%0.0%18.4%-1.4%-7.8K1.0M-2.4K0.0089.63N/AN/A020229341
2008-10-21$37.57$44.0052.4%15.0%91.4%30.9%0.0%4.5%-0.3%-7.2K1.1M-1.6K1.55103.45N/AN/A2031229361
2008-10-22$33.54$44.0052.8%15.1%98.2%31.2%0.0%21.4%-9.5%-5.3K1.2M-1.2K0.00123.26N/AN/A046229392
2008-10-23$33.55$44.0043.4%12.4%96.7%23.8%0.0%2.8%-9.1%-6.6K1.3M-1.3K0.00109.38N/AN/A020229436
2008-10-24$31.66$44.0062.0%17.8%97.3%38.5%0.0%31.0%-11.5%-5.9K1.3M-1.1K0.00118.00N/AN/A011229456
2008-10-27$29.40$44.0069.5%19.9%95.4%44.4%0.0%42.4%-13.0%-3.5K1.3M-7280.00115.40N/AN/A01229466
2008-10-28$32.22$44.0058.8%16.9%101.9%36.0%0.0%34.8%33.5%-6.3K1.4M-9930.00120.43N/AN/A030229467
2008-10-29$33.27$52.0030.0%8.6%103.0%13.3%0.0%0.0%0.0%0452.5K00.00200.00N/AN/A00175136
2008-10-31$35.45$44.0080.6%23.1%106.1%53.1%0.0%-25.3%-31.5%-12.1K1.5M-1.2K0.00128.26N/AN/A010229487