EWP Options History — January 2009 In January 2009, EWP traded between $30.23 and $38.31. ATM implied volatility averaged 61.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 16.4% (HV 20d: 45.0%). Max pain ranged from $40.00 to $52.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 7.50.
Notable Days 2009-01-23 : Highest Volume — 31 contracts2009-01-12 : Largest IV spike — 142.1% change2009-01-13 : Highest IV Rank — 100.0%2009-01-29 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $33.98 $30.23 $38.31 $38.31 $31.32 Max Pain $40.60 $40.00 $52.00 $52.00 $40.00 ATM IV 61.5% 28.0% 150.4% 78.5% 46.1% Expected Move 14.3% 8.0% 24.4% 22.5% 13.2% HV 20d 45.0% 33.9% 55.5% 42.2% 55.3% HV 60d 74.6% 65.3% 82.3% 82.3% 65.3% IV Rank 36.1% 11.7% 100.0% 51.5% 24.0% IV Percentile 79.2% 42.9% 100.0% 96.0% 71.4% Term Structure -0.1% -37.4% 27.8% -17.0% 3.5% VWIV 50.3% 38.9% 70.4% 52.1% 70.4% Skew 25d 2.2% -39.1% 64.9% -36.1% 6.2% Skew 10d 7.5% -54.2% 58.2% -51.6% 20.8% Call IV 25d 52.1% 26.9% 107.7% 101.0% 42.0% Put IV 25d 54.3% 29.2% 95.5% 64.8% 48.2% Bid-Ask Spread % 107.74 46.31 169.01 129.08 80.79 Gamma HHI 0.56 0.24 0.78 0.27 0.50 Net GEX 647 -2.6K 2.6K -2.6K 1.1K Net DEX 438.4K 286 784.6K 784.6K 114.9K Net VEX -82 -187 -12 -129 -65 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.50 0.00 30.00 0.00 0.00 Total Volume 3.1 0 31 0 0 Total OI 278.85 28 464 438 80
Daily Data (20 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 2009-01-02 $38.31 $52.00 78.5% 22.5% 42.2% 51.5% 0.0% -36.1% 0.0% -2.6K 784.6K -129 0.00 129.08 N/A N/A 0 0 226 212 2009-01-05 $37.90 $40.00 85.9% 13.8% 40.7% 57.3% 52.1% -39.1% -17.0% -395 770.4K -148 0.00 166.67 N/A N/A 10 0 242 212 2009-01-06 $38.11 $40.00 28.0% 10.7% 40.5% 11.7% 0.0% 2.3% 3.1% 2.6K 772.5K -151 0.00 46.31 N/A N/A 0 0 252 212 2009-01-07 $37.65 $40.00 52.7% 14.2% 38.7% 31.2% 0.0% 47.4% -18.5% 1.7K 762.0K -150 0.00 169.01 N/A N/A 0 0 252 212 2009-01-08 $37.93 $40.00 28.4% 10.6% 38.2% 12.0% 0.0% 2.0% -0.9% 2.6K 769.6K -151 0.00 48.48 N/A N/A 0 0 252 212 2009-01-09 $36.38 $40.00 35.0% 9.9% 39.7% 17.2% 0.0% 6.0% 6.5% 1.9K 755.2K -94 0.00 85.28 N/A N/A 0 0 252 212 2009-01-12 $35.50 $40.00 84.8% 11.0% 40.5% 56.4% 0.0% 3.7% 6.3% 1.5K 739.6K -81 0.00 62.35 N/A N/A 0 0 252 212 2009-01-13 $34.69 $40.00 150.4% 12.9% 40.9% 100.0% 0.0% 13.1% 11.3% 1.1K 725.2K -67 0.00 127.22 N/A N/A 0 0 252 212 2009-01-14 $33.09 $40.00 81.2% 8.0% 43.2% 49.6% 0.0% -11.9% 27.8% 23 700.4K -12 0.00 105.63 N/A N/A 0 0 252 212 2009-01-15 $33.46 $40.00 29.3% 8.4% 34.3% 11.8% 0.0% -10.5% 27.6% 50 708.1K -12 0.00 107.25 N/A N/A 0 0 252 212 2009-01-16 $33.44 $40.00 41.9% 12.0% 33.9% 20.9% 0.0% -10.8% 27.5% 365 706.2K -24 0.00 136.30 N/A N/A 0 0 252 212 2009-01-20 $30.23 $40.00 50.0% 14.3% 46.4% 26.8% 0.0% -1.0% 2.7% 173 4.2K -16 0.00 95.22 N/A N/A 0 0 26 2 2009-01-21 $31.82 $40.00 51.3% 14.7% 51.7% 27.8% 0.0% 1.7% -0.6% 538 286 -41 0.00 70.36 N/A N/A 0 0 26 2 2009-01-22 $30.93 $40.00 52.2% 15.0% 52.1% 28.4% 42.3% 2.3% -0.9% 382 1.7K -32 0.00 75.58 N/A N/A 0 10 26 2 2009-01-23 $30.94 $40.00 52.3% 15.0% 50.6% 28.5% 38.9% 1.6% -0.9% 190 32.2K -35 30.00 69.85 N/A N/A 1 30 26 12 2009-01-26 $31.42 $40.00 49.7% 14.3% 50.9% 26.7% 47.6% 2.9% 0.5% -361 121.0K -63 0.00 101.65 N/A N/A 10 0 27 42 2009-01-27 $31.85 $40.00 73.9% 21.2% 51.3% 44.3% 0.0% 4.9% -23.9% 1.4K 117.2K -65 0.00 164.73 N/A N/A 0 0 37 42 2009-01-28 $33.22 $40.00 72.7% 20.9% 54.1% 43.4% 70.4% -5.0% -19.4% 561 104.7K -118 0.00 159.91 N/A N/A 1 0 37 42 2009-01-29 $31.36 $40.00 85.2% 24.4% 55.5% 52.5% 0.0% 64.9% -37.4% 47 78.5K -187 0.00 153.05 N/A N/A 0 0 38 42 2009-01-30 $31.32 $40.00 46.1% 13.2% 55.3% 24.0% 0.0% 6.2% 3.5% 1.1K 114.9K -65 0.00 80.79 N/A N/A 0 0 38 42
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