EWP Options History — May 2009 In May 2009, EWP traded between $34.96 and $39.86. ATM implied volatility averaged 64.1%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 26.9% (HV 20d: 37.2%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days.
Notable Days 2009-05-26 : Highest Volume — 1 contracts2009-05-11 : Largest IV drop — 68.2% change2009-05-08 : Highest IV Rank — 70.9%2009-05-01 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $37.34 $34.96 $39.86 $34.96 $39.86 Max Pain $33.85 $31.00 $34.00 $31.00 $34.00 ATM IV 64.1% 29.2% 110.5% 87.0% 63.5% Expected Move 15.1% 10.8% 24.9% 24.9% 18.2% HV 20d 37.2% 33.6% 41.8% 34.4% 35.8% HV 60d 47.5% 44.4% 49.5% 48.9% 44.4% IV Rank 37.1% 11.7% 70.9% 53.8% 36.7% IV Percentile 65.5% 34.9% 97.6% 93.7% 71.4% Term Structure -11.5% -39.5% 9.2% -39.5% -20.2% Skew 25d 36.7% 15.5% 51.4% 34.6% 28.9% Skew 10d 51.4% 15.5% 84.9% 69.0% 51.0% Call IV 25d 50.8% 26.6% 99.9% 87.4% 57.8% Put IV 25d 87.5% 66.8% 142.0% 122.0% 86.7% Bid-Ask Spread % 179.93 166.53 190.51 169.81 166.53 Gamma HHI 0.55 0.51 0.71 0.53 0.51 Net GEX 6.9K 4.5K 13.8K 7.1K 4.5K Net DEX -241.9K -319.7K -195.0K -195.8K -248.7K Net VEX -325 -489 -200 -489 -200 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.1 0 1 0 0 Total OI 96.25 74 114 114 76
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 2009-05-01 $34.96 $31.00 87.0% 24.9% 34.4% 53.8% 0.0% 34.6% -39.5% 7.1K -195.8K -489 0.00 169.81 N/A N/A 0 0 104 10 2009-05-04 $36.02 $34.00 95.5% 13.8% 35.0% 60.0% 0.0% 46.1% -5.0% 7.2K -228.4K -460 0.00 184.02 N/A N/A 0 0 104 10 2009-05-05 $35.89 $34.00 98.8% 13.9% 34.1% 62.4% 0.0% 38.7% -12.4% 7.1K -224.1K -451 0.00 188.02 N/A N/A 0 0 104 10 2009-05-06 $36.65 $34.00 102.3% 13.8% 33.6% 65.0% 0.0% 46.5% -8.2% 7.0K -247.5K -435 0.00 180.31 N/A N/A 0 0 104 10 2009-05-07 $36.28 $34.00 108.6% 14.1% 33.8% 69.5% 0.0% 15.5% -11.2% 7.1K -236.3K -432 0.00 187.84 N/A N/A 0 0 104 10 2009-05-08 $38.07 $34.00 110.5% 13.7% 35.5% 70.9% 0.0% 24.4% -5.1% 6.5K -290.3K -388 0.00 170.10 N/A N/A 0 0 104 10 2009-05-11 $37.12 $34.00 35.2% 14.4% 37.0% 16.1% 0.0% 40.1% -15.1% 8.1K -297.7K -338 0.00 183.71 N/A N/A 0 0 104 10 2009-05-12 $37.74 $34.00 29.2% 10.8% 36.9% 11.7% 0.0% 42.3% 8.6% 5.8K -319.7K -309 0.00 178.46 N/A N/A 0 0 104 10 2009-05-13 $36.05 $34.00 33.0% 15.2% 41.0% 14.5% 0.0% 36.1% -19.4% 10.8K -265.7K -350 0.00 190.19 N/A N/A 0 0 104 10 2009-05-14 $36.40 $34.00 53.5% 15.3% 41.0% 29.4% 0.0% 39.6% -19.6% 8.4K -283.3K -325 0.00 188.05 N/A N/A 0 0 104 10 2009-05-15 $35.67 $34.00 54.8% 15.7% 41.8% 30.3% 0.0% 33.6% -20.5% 13.8K -261.4K -332 0.00 190.51 N/A N/A 0 0 104 10 2009-05-18 $37.22 $34.00 55.2% 15.8% 39.4% 30.7% 0.0% 44.1% -18.8% 6.0K -195.0K -297 0.00 185.74 N/A N/A 0 0 74 0 2009-05-19 $37.75 $34.00 41.4% 11.9% 39.4% 20.6% 0.0% 46.5% 7.7% 5.8K -207.5K -274 0.00 181.24 N/A N/A 0 0 74 0 2009-05-20 $37.75 $34.00 42.1% 12.1% 39.5% 21.1% 0.0% 47.2% 6.7% 5.8K -207.5K -270 0.00 180.90 N/A N/A 0 0 74 0 2009-05-21 $38.00 $34.00 42.7% 12.2% 38.6% 21.5% 0.0% 48.9% 8.1% 5.8K -213.2K -259 0.00 178.14 N/A N/A 0 0 74 0 2009-05-22 $38.38 $34.00 43.1% 12.4% 38.7% 21.8% 0.0% 51.4% 9.2% 5.6K -221.4K -240 0.00 174.40 N/A N/A 0 0 74 0 2009-05-26 $39.15 $34.00 60.3% 17.3% 36.0% 34.3% 0.0% 23.8% -23.8% 5.1K -236.0K -210 0.00 171.69 N/A N/A 0 1 74 0 2009-05-27 $38.58 $34.00 61.9% 17.7% 36.8% 35.5% 0.0% 21.2% -28.2% 5.4K -222.7K -233 0.00 177.73 N/A N/A 0 1 74 1 2009-05-28 $39.25 $34.00 62.7% 18.0% 35.7% 36.1% 0.0% 25.2% -24.0% 4.9K -236.5K -217 0.00 171.26 N/A N/A 0 0 74 2 2009-05-29 $39.86 $34.00 63.5% 18.2% 35.8% 36.7% 0.0% 28.9% -20.2% 4.5K -248.7K -200 0.00 166.53 N/A N/A 0 0 74 2
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