EWP Options History — November 2008 In November 2008, EWP traded between $28.74 and $36.53. ATM implied volatility averaged 51.8%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 49.9% (HV 20d: 101.7%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 0 of 17 trading days. Term structure was in contango for 14 of 17 days. Put/call ratio averaged 6.75.
Notable Days 2008-11-05 : Highest Volume — 58 contracts2008-11-25 : Largest IV spike — 61.6% change2008-11-25 : Highest IV Rank — 56.3%2008-11-25 : Largest Expected Move — 24.3%Monthly Statistics Metric Avg Min Max Open Close Price $33.46 $28.74 $36.53 $36.53 $34.27 Max Pain $42.24 $42.00 $44.00 $44.00 $42.00 ATM IV 51.8% 38.0% 84.7% 52.4% 54.2% Expected Move 15.1% 10.9% 24.3% 15.0% 15.5% HV 20d 101.7% 88.9% 111.7% 106.9% 88.9% HV 60d 78.2% 71.6% 83.6% 71.6% 83.5% IV Rank 30.4% 19.6% 56.3% 30.9% 32.3% IV Percentile 88.7% 80.6% 98.4% 90.9% 89.3% Term Structure 23.2% -24.5% 47.6% -3.7% 37.8% VWIV 49.8% 36.6% 67.4% 50.8% 45.5% Skew 25d -13.0% -41.1% 37.9% -3.2% -27.8% Skew 10d -12.0% -41.1% 37.8% 15.7% -27.8% Call IV 25d 61.8% 35.9% 93.2% 54.0% 73.0% Put IV 25d 48.8% 36.6% 73.8% 50.8% 45.2% Bid-Ask Spread % 101.92 62.53 132.46 104.69 107.01 Gamma HHI 0.27 0.20 0.34 0.20 0.34 Net GEX -7.7K -18.8K -147 -13.9K -10.7K Net DEX 1.4M 1.3M 1.8M 1.6M 1.4M Net VEX -476 -1.2K -52 -1.2K -405 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.75 0.00 13.50 13.50 0.00 Total Volume 4.941 0 58 58 0 Total OI 687.353 643 774 726 653
Daily Data (17 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 2008-11-05 $36.53 $44.00 52.4% 15.0% 106.9% 30.9% 50.8% -3.2% -3.7% -13.9K 1.6M -1.2K 13.50 104.69 N/A N/A 4 54 229 497 2008-11-06 $34.14 $44.00 38.0% 10.9% 108.2% 19.6% 36.6% -2.9% 9.6% -9.5K 1.7M -626 0.00 106.05 N/A N/A 0 9 232 538 2008-11-07 $36.34 $42.00 54.8% 16.9% 111.3% 32.8% 0.0% 37.9% -9.3% -18.8K 1.8M -1.1K 0.00 112.32 N/A N/A 0 0 232 542 2008-11-10 $34.93 $42.00 42.8% 14.8% 111.7% 23.4% 0.0% 6.3% 7.8% -12.2K 1.7M -829 0.00 69.87 N/A N/A 0 0 232 542 2008-11-11 $33.75 $42.00 44.8% 14.3% 109.1% 25.0% 0.0% 3.6% 14.4% -7.6K 1.4M -468 0.00 89.30 N/A N/A 0 0 232 442 2008-11-12 $32.40 $42.00 56.6% 14.7% 109.3% 34.2% 0.0% 12.0% 39.7% -7.5K 1.3M -531 0.00 105.00 N/A N/A 1 0 232 440 2008-11-13 $35.72 $42.00 52.4% 15.0% 104.0% 30.9% 0.0% 8.1% 6.0% -13.3K 1.4M -828 0.00 62.53 N/A N/A 0 0 232 440 2008-11-14 $33.58 $42.00 54.3% 15.6% 105.6% 32.4% 0.0% 1.4% 20.9% -476 1.5M -139 0.00 102.00 N/A N/A 0 0 232 440 2008-11-17 $32.44 $42.00 49.6% 14.2% 100.0% 28.7% 47.5% -31.4% 41.4% -6.9K 1.4M -415 0.00 105.69 N/A N/A 0 1 232 440 2008-11-18 $32.43 $42.00 49.3% 14.1% 95.4% 28.5% 67.4% -29.5% 41.5% -6.8K 1.4M -399 0.00 104.99 N/A N/A 0 1 232 440 2008-11-19 $30.38 $42.00 43.8% 12.6% 97.3% 24.2% 51.3% -37.7% 47.6% -227 1.3M -52 0.00 105.00 N/A N/A 0 3 232 441 2008-11-20 $28.74 $42.00 49.8% 14.3% 96.5% 28.9% 0.0% -41.1% 47.1% -147 1.3M -52 0.00 104.16 N/A N/A 0 1 232 444 2008-11-21 $31.17 $42.00 60.7% 17.4% 100.2% 37.4% 0.0% -32.5% 43.1% -281 1.4M -82 0.00 105.11 N/A N/A 0 0 232 444 2008-11-24 $33.16 $42.00 52.4% 15.0% 95.2% 30.9% 0.0% -31.2% 38.4% -7.5K 1.3M -334 0.00 107.17 N/A N/A 0 0 232 411 2008-11-25 $34.29 $42.00 84.7% 24.3% 96.0% 56.3% 0.0% -26.7% -24.5% -10.8K 1.3M -512 0.00 132.46 N/A N/A 0 0 232 411 2008-11-26 $34.47 $42.00 40.1% 11.5% 93.4% 21.3% 45.5% -27.0% 35.8% -4.0K 1.4M -147 0.00 109.27 N/A N/A 0 10 232 411 2008-11-28 $34.27 $42.00 54.2% 15.5% 88.9% 32.3% 0.0% -27.8% 37.8% -10.7K 1.4M -405 0.00 107.01 N/A N/A 0 0 232 421
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