EWP Options History — April 2009

In April 2009, EWP traded between $30.75 and $34.72. ATM implied volatility averaged 79.6%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 31.1% (HV 20d: 48.6%). Max pain ranged from $31.00 to $39.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2009-04-20: Highest Volume — 32 contracts
2009-04-09: Largest IV drop — 49.7% change
2009-04-08: Highest IV Rank — 74.6%
2009-04-01: Largest Expected Move — 26.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.35	$30.75	$34.72	$30.75	$34.72
Max Pain	$31.76	$31.00	$39.00	$39.00	$31.00
ATM IV	79.6%	58.1%	115.6%	92.7%	84.5%
Expected Move	20.2%	15.6%	26.6%	26.6%	24.2%
HV 20d	48.6%	37.8%	58.4%	58.4%	37.8%
HV 60d	52.5%	49.0%	55.9%	54.7%	49.0%
IV Rank	48.4%	32.7%	74.6%	57.9%	52.0%
IV Percentile	86.5%	68.7%	98.8%	96.0%	92.1%
Term Structure	-21.4%	-38.2%	-3.6%	-36.6%	-38.2%
VWIV	87.5%	66.7%	112.5%	112.5%	83.4%
Skew 25d	21.4%	-3.1%	32.1%	-3.1%	32.1%
Skew 10d	34.4%	-25.3%	65.0%	-25.3%	65.0%
Call IV 25d	77.2%	54.3%	126.6%	126.6%	86.9%
Put IV 25d	98.6%	77.3%	126.0%	123.6%	119.0%
Bid-Ask Spread %	171.43	141.95	184.14	141.95	172.36
Gamma HHI	0.55	0.33	1.00	0.41	0.53
Net GEX	2.1K	-10	7.0K	26	7.0K
Net DEX	-56.8K	-188.5K	-831	-831	-188.5K
Net VEX	-184	-502	-31	-74	-495
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.00	1.00	0.00
Total Volume	5.095	0	32	2	0
Total OI	52.238	27	114	28	114

Daily Data (21 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
2009-04-01	$30.75	$39.00	92.7%	26.6%	58.4%	57.9%	112.5%	-3.1%	-36.6%	26	-831	-74	0.00	141.95	N/A	N/A	0	2	16	12
2009-04-02	$32.26	$39.00	91.7%	26.3%	55.4%	57.3%	0.0%	3.4%	-35.5%	-10	-9.2K	-72	0.00	143.41	N/A	N/A	0	0	16	12
2009-04-03	$32.97	$31.00	92.3%	15.6%	55.5%	57.7%	0.0%	22.7%	-6.4%	60	-12.6K	-67	0.00	172.59	N/A	N/A	0	0	16	12
2009-04-06	$32.35	$31.00	105.7%	16.6%	54.1%	67.5%	0.0%	20.8%	-7.2%	42	-9.7K	-65	0.00	177.11	N/A	N/A	0	0	16	12
2009-04-07	$31.84	$31.00	111.4%	17.0%	51.7%	71.6%	0.0%	18.9%	-12.2%	37	-7.3K	-64	0.00	180.38	N/A	N/A	0	0	16	12
2009-04-08	$32.46	$31.00	115.6%	17.0%	51.8%	74.6%	0.0%	21.7%	-6.5%	49	-10.2K	-62	0.00	176.54	N/A	N/A	0	0	16	12
2009-04-09	$33.63	$31.00	58.1%	16.7%	51.3%	32.7%	0.0%	27.6%	-3.6%	77	-16.0K	-54	0.00	166.19	N/A	N/A	0	0	16	12
2009-04-13	$34.15	$31.00	60.2%	17.3%	51.3%	34.3%	0.0%	25.8%	-14.5%	129	-18.7K	-45	0.00	167.17	N/A	N/A	0	0	16	12
2009-04-14	$33.82	$31.00	61.5%	17.6%	51.8%	35.2%	0.0%	24.5%	-17.5%	90	-17.3K	-44	0.00	169.73	N/A	N/A	0	0	16	12
2009-04-15	$34.28	$31.00	62.0%	17.8%	51.0%	35.6%	0.0%	27.2%	-16.5%	597	-21.8K	-32	0.00	167.17	N/A	N/A	0	0	16	12
2009-04-16	$34.52	$31.00	62.7%	18.0%	49.7%	36.1%	0.0%	28.8%	-15.8%	588	-22.4K	-32	0.00	164.24	N/A	N/A	0	1	16	12
2009-04-17	$34.41	$31.00	63.9%	18.3%	49.7%	37.0%	66.7%	23.0%	-14.9%	596	-25.6K	-31	1.00	168.71	N/A	N/A	10	10	16	11
2009-04-20	$32.72	$31.00	70.3%	20.2%	53.0%	41.7%	83.4%	16.2%	-25.1%	618	-16.3K	-101	0.00	181.73	N/A	N/A	32	0	20	10
2009-04-21	$33.00	$31.00	71.5%	20.5%	46.4%	42.5%	0.0%	17.8%	-23.4%	2.8K	-64.5K	-248	0.00	181.39	N/A	N/A	10	0	52	10
2009-04-22	$33.16	$31.00	72.8%	20.9%	43.9%	43.4%	0.0%	19.0%	-25.0%	3.4K	-81.3K	-301	0.00	180.51	N/A	N/A	0	0	62	10
2009-04-23	$34.12	$31.00	72.2%	20.7%	44.0%	43.0%	0.0%	24.1%	-24.8%	3.7K	-96.6K	-303	0.00	175.01	N/A	N/A	20	0	62	10
2009-04-24	$34.34	$31.00	73.5%	21.1%	44.0%	44.0%	0.0%	25.7%	-24.0%	5.1K	-137.6K	-407	0.00	173.12	N/A	N/A	0	0	82	10
2009-04-27	$33.19	$31.00	81.7%	23.4%	42.5%	50.0%	0.0%	21.2%	-32.6%	4.9K	-111.5K	-381	0.00	184.14	N/A	N/A	22	0	82	10
2009-04-28	$33.23	$31.00	83.9%	24.1%	38.3%	51.6%	0.0%	22.1%	-34.2%	6.4K	-146.6K	-493	0.00	182.53	N/A	N/A	0	0	104	10
2009-04-29	$34.38	$31.00	83.5%	24.0%	38.3%	51.3%	0.0%	29.3%	-34.4%	6.9K	-178.6K	-502	0.00	174.19	N/A	N/A	0	0	104	10
2009-04-30	$34.72	$31.00	84.5%	24.2%	37.8%	52.0%	0.0%	32.1%	-38.2%	7.0K	-188.5K	-495	0.00	172.36	N/A	N/A	0	0	104	10