EWP Options History — December 2008

In December 2008, EWP traded between $31.85 and $40.36. ATM implied volatility averaged 57.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 11.8% (HV 20d: 69.3%). Max pain ranged from $42.00 to $52.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days.

Notable Days

  • 2008-12-16: Highest Volume — 32 contracts
  • 2008-12-30: Largest IV spike — 55.8% change
  • 2008-12-01: Highest IV Rank — 77.1%
  • 2008-12-01: Largest Expected Move — 31.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.54$31.85$40.36$31.85$37.83
Max Pain$50.18$42.00$52.00$42.00$52.00
ATM IV57.5%33.4%111.1%111.1%36.7%
Expected Move16.6%9.6%31.9%31.9%10.5%
HV 20d69.3%42.2%90.0%87.5%42.2%
HV 60d85.1%82.7%86.5%84.6%82.7%
IV Rank34.9%16.0%77.1%77.1%18.6%
IV Percentile84.5%62.7%99.2%99.2%66.7%
Term Structure-12.2%-40.9%40.8%-40.9%8.7%
VWIV52.9%45.4%61.3%61.3%51.9%
Skew 25d-19.7%-39.3%16.3%-39.3%-9.0%
Skew 10d-19.2%-39.3%27.6%-39.3%0.3%
Call IV 25d64.5%31.3%87.4%87.4%41.2%
Put IV 25d44.8%30.9%60.2%48.2%32.2%
Bid-Ask Spread %117.11103.03134.00125.18106.54
Gamma HHI0.360.210.650.370.31
Net GEX-11.2K-49.1K75-4.8K-676
Net DEX1.2M747.8K1.6M1.3M789.9K
Net VEX-228-751-36-173-75
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume4.36403200
Total OI585.591444655653444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$31.85$42.00111.1%31.9%87.5%77.1%0.0%-39.3%-40.9%-4.8K1.3M-1730.00125.18N/AN/A00232421
2008-12-02$34.06$42.00101.1%29.0%90.0%69.3%0.0%-24.6%-38.0%-7.7K1.4M-1970.00134.00N/AN/A00226421
2008-12-03$34.50$42.0058.5%16.8%87.1%35.7%0.0%-28.8%38.2%-10.2K1.4M-2700.00107.75N/AN/A00232421
2008-12-04$33.51$42.0065.3%18.7%86.8%41.1%0.0%-32.5%40.8%-3.5K1.4M-790.00128.24N/AN/A00232421
2008-12-05$34.05$52.0063.3%18.3%83.8%39.5%0.0%-33.0%-34.2%-3.6K1.4M-690.00115.28N/AN/A00232421
2008-12-08$35.48$52.0060.9%17.5%82.0%37.6%61.3%-29.9%-33.5%-13.2K1.4M-2830.00117.07N/AN/A01232421
2008-12-09$35.00$52.0058.1%18.2%80.9%35.4%0.0%-31.7%-35.4%-9.6K1.4M-1820.00116.33N/AN/A00232420
2008-12-10$36.24$52.0058.9%17.2%80.7%36.0%0.0%-28.1%-33.4%-16.1K1.4M-2780.00118.09N/AN/A00232420
2008-12-11$36.52$52.0059.8%17.2%79.0%36.8%0.0%-27.3%-33.6%-18.8K1.4M-3640.00118.62N/AN/A00232420
2008-12-12$36.95$52.0058.8%16.8%71.3%35.9%0.0%-26.9%-33.4%-20.3K1.4M-2960.00119.43N/AN/A00232420
2008-12-15$37.45$52.0059.6%17.1%67.3%36.5%0.0%-26.5%-35.0%-17.0K1.5M-1500.00120.53N/AN/A00232420
2008-12-16$40.05$52.0052.2%15.0%68.9%30.7%0.0%-22.8%-17.5%-27.2K1.2M-7450.00125.50N/AN/A032232420
2008-12-17$40.36$52.0051.9%14.9%68.8%30.5%45.4%-23.8%-16.7%-28.0K1.2M-7510.00128.96N/AN/A026232419
2008-12-18$39.07$52.0056.2%16.1%64.9%33.9%51.9%-23.2%-25.2%-49.1K1.4M-3290.00125.36N/AN/A019232413
2008-12-19$38.48$52.0058.3%16.7%60.7%35.5%0.0%-27.2%-30.2%-12.6K1.6M-1320.00123.98N/AN/A016232423
2008-12-22$38.08$52.0037.5%10.7%55.9%19.2%0.0%-0.4%7.4%-2.2K747.8K-3360.00104.23N/AN/A00232212
2008-12-23$36.41$52.0040.3%11.5%55.6%21.3%0.0%-11.5%6.4%-552763.5K-690.00105.09N/AN/A02232212
2008-12-24$36.80$52.0044.9%12.9%54.6%25.0%0.0%-3.1%4.8%-590771.2K-680.00104.64N/AN/A00232212
2008-12-26$36.97$52.0046.0%13.2%54.6%25.9%0.0%-2.4%4.3%-693774.5K-700.00103.03N/AN/A00232212
2008-12-29$36.53$52.0033.4%9.6%54.8%16.0%0.0%1.4%22.0%75769.9K-360.00105.94N/AN/A00232212
2008-12-30$37.70$52.0052.0%14.9%47.6%30.6%0.0%16.3%6.1%-543787.8K-740.00122.59N/AN/A00232212
2008-12-31$37.83$52.0036.7%10.5%42.2%18.6%0.0%-9.0%8.7%-676789.9K-750.00106.54N/AN/A00232212