EWP Options History — February 2009 In February 2009, EWP traded between $27.01 and $32.49. ATM implied volatility averaged 55.3%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 2.0% (HV 20d: 53.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 9 of 19 days.
Notable Days 2009-02-23 : Highest Volume — 10 contracts2009-02-05 : Largest IV spike — 140.1% change2009-02-05 : Highest IV Rank — 70.6%2009-02-05 : Largest Expected Move — 31.5%Monthly Statistics Metric Avg Min Max Open Close Price $29.85 $27.01 $32.49 $30.81 $27.71 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 55.3% 41.6% 110.0% 46.1% 60.0% Expected Move 15.6% 12.2% 31.5% 13.2% 17.2% HV 20d 53.3% 44.5% 61.6% 54.8% 44.5% HV 60d 56.9% 50.1% 64.0% 64.0% 50.1% IV Rank 30.7% 20.7% 70.6% 24.0% 34.1% IV Percentile 77.1% 63.9% 98.4% 71.0% 85.3% Term Structure -2.6% -59.0% 8.9% 5.8% -10.0% VWIV 58.1% 55.6% 60.7% 60.7% 55.6% Skew 25d 2.9% -31.0% 82.3% 5.1% -22.2% Skew 10d -6.2% -49.2% 72.5% 18.1% -38.2% Call IV 25d 52.5% 30.2% 87.8% 42.7% 80.4% Put IV 25d 55.4% 44.3% 114.1% 47.7% 58.2% Bid-Ask Spread % 116.64 85.67 145.56 117.53 129.63 Gamma HHI 0.56 0.31 0.69 0.52 0.69 Net GEX 646 -538 2.1K 1.0K -521 Net DEX 91.0K 9.8K 123.8K 115.3K 24.8K Net VEX -43 -145 -8 -55 -49 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.632 0 10 0 0 Total OI 63.895 10 82 80 20
Daily Data (19 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 2009-02-02 $30.81 $40.00 46.1% 13.2% 54.8% 24.0% 0.0% 5.1% 5.8% 1.0K 115.3K -55 0.00 117.53 N/A N/A 0 0 38 42 2009-02-03 $31.80 $40.00 44.4% 12.7% 56.8% 22.8% 0.0% 5.8% 6.4% 1.3K 115.4K -61 0.00 85.73 N/A N/A 0 0 38 42 2009-02-04 $31.34 $40.00 45.8% 13.1% 56.6% 23.8% 0.0% 4.2% 5.5% 1.3K 116.4K -54 0.00 85.67 N/A N/A 0 0 38 42 2009-02-05 $31.58 $40.00 110.0% 31.5% 56.9% 70.6% 0.0% 82.3% -59.0% -95 81.3K -145 0.00 145.56 N/A N/A 0 0 38 42 2009-02-06 $32.20 $40.00 42.7% 12.2% 57.5% 21.5% 0.0% 7.9% 8.6% 1.8K 116.5K -53 0.00 132.24 N/A N/A 0 0 38 42 2009-02-09 $32.49 $40.00 43.2% 12.4% 56.4% 21.9% 0.0% 9.1% 7.8% 2.1K 116.8K -48 0.00 95.77 N/A N/A 0 0 38 42 2009-02-10 $31.02 $40.00 44.8% 12.8% 57.9% 23.1% 0.0% -2.7% 3.3% 1.5K 119.9K -35 0.00 87.60 N/A N/A 0 0 38 42 2009-02-11 $31.23 $40.00 44.7% 12.8% 57.7% 23.0% 0.0% 15.9% 8.6% 1.7K 120.5K -33 0.00 98.24 N/A N/A 0 0 38 42 2009-02-12 $31.20 $40.00 44.0% 12.6% 55.6% 22.5% 0.0% 13.2% 4.8% 1.6K 120.8K -33 0.00 105.13 N/A N/A 0 0 38 42 2009-02-13 $30.89 $40.00 43.9% 12.6% 55.4% 22.4% 0.0% 7.0% 8.9% 1.4K 122.2K -26 0.00 103.29 N/A N/A 0 0 38 42 2009-02-17 $28.50 $40.00 68.1% 17.1% 61.6% 40.1% 0.0% -18.6% 0.0% 672 115.0K -19 0.00 125.04 N/A N/A 0 0 38 42 2009-02-18 $28.51 $40.00 41.6% 15.8% 50.9% 20.7% 60.7% 5.7% 0.0% 15 118.7K -9 0.00 128.50 N/A N/A 0 2 38 42 2009-02-19 $28.48 $40.00 52.1% 15.9% 46.8% 28.4% 0.0% 14.1% 0.0% -31 123.8K -11 0.00 131.35 N/A N/A 0 0 38 44 2009-02-20 $28.18 $40.00 81.5% 16.0% 46.0% 49.8% 0.0% -31.0% 0.0% 3 119.6K -26 0.00 127.58 N/A N/A 0 0 38 44 2009-02-23 $27.01 $40.00 60.2% 17.2% 47.9% 34.2% 55.6% -25.5% -12.1% -27 9.8K -8 0.00 126.94 N/A N/A 0 10 6 4 2009-02-24 $28.31 $40.00 60.2% 17.3% 51.0% 34.3% 0.0% 8.6% -2.7% -490 23.4K -56 0.00 130.89 N/A N/A 0 0 6 14 2009-02-25 $27.73 $40.00 58.8% 16.9% 50.8% 33.3% 0.0% -18.1% -8.1% -513 24.7K -51 0.00 128.80 N/A N/A 0 0 6 14 2009-02-26 $28.09 $40.00 59.0% 16.9% 48.0% 33.4% 0.0% -5.9% -6.3% -538 24.4K -51 0.00 130.76 N/A N/A 0 0 6 14 2009-02-27 $27.71 $40.00 60.0% 17.2% 44.5% 34.1% 0.0% -22.2% -10.0% -521 24.8K -49 0.00 129.63 N/A N/A 0 0 6 14
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