EWP Options History — June 2009

In June 2009, EWP traded between $38.34 and $40.96. ATM implied volatility averaged 44.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 13.6% (HV 20d: 30.8%). Max pain ranged from $28.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.17.

Notable Days

2009-06-22: Highest Volume — 80 contracts
2009-06-10: Largest IV drop — 61.6% change
2009-06-09: Highest IV Rank — 55.3%
2009-06-09: Largest Expected Move — 25.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.49	$38.34	$40.96	$40.32	$40.23
Max Pain	$33.71	$28.00	$38.00	$34.00	$38.00
ATM IV	44.5%	21.8%	89.0%	67.2%	28.5%
Expected Move	12.8%	6.2%	25.5%	19.3%	8.2%
HV 20d	30.8%	26.6%	38.2%	35.9%	28.0%
HV 60d	38.5%	32.7%	42.8%	42.6%	32.7%
IV Rank	22.8%	6.3%	55.3%	39.4%	11.2%
IV Percentile	42.8%	4.4%	91.7%	73.4%	22.6%
Term Structure	-14.1%	-62.2%	5.4%	-31.6%	3.9%
VWIV	38.3%	24.3%	52.3%	52.3%	24.3%
Skew 25d	10.0%	-5.3%	29.0%	29.0%	0.8%
Skew 10d	15.8%	-8.4%	56.8%	54.1%	-3.8%
Call IV 25d	48.6%	29.6%	101.1%	65.0%	31.9%
Put IV 25d	58.6%	25.2%	124.9%	93.9%	32.7%
Bid-Ask Spread %	100.03	39.88	180.83	168.40	69.63
Gamma HHI	0.45	0.25	0.71	0.50	0.26
Net GEX	2.8K	23	5.1K	4.2K	4.4K
Net DEX	-214.1K	-300.3K	-3.3K	-253.6K	-132.3K
Net VEX	-207	-528	-26	-175	-481
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	0.33	0.00	0.33
Total Volume	3.773	0	80	1	0
Total OI	75.773	4	85	76	85

Daily Data (22 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
2009-06-01	$40.32	$34.00	67.2%	19.3%	35.9%	39.4%	52.3%	29.0%	-31.6%	4.2K	-253.6K	-175	0.00	168.40	N/A	N/A	1	0	74	2
2009-06-02	$40.96	$34.00	67.7%	19.4%	35.0%	39.8%	0.0%	26.9%	-33.6%	3.9K	-268.2K	-155	0.00	166.28	N/A	N/A	0	0	75	2
2009-06-03	$39.45	$34.00	72.7%	20.8%	38.2%	43.4%	0.0%	19.3%	-39.1%	4.8K	-237.4K	-197	0.00	177.06	N/A	N/A	0	0	75	2
2009-06-04	$39.78	$34.00	73.8%	21.1%	37.8%	44.2%	0.0%	21.7%	-43.4%	4.6K	-245.3K	-180	0.00	175.06	N/A	N/A	0	0	75	2
2009-06-05	$39.16	$34.00	77.8%	22.3%	38.1%	47.1%	0.0%	19.0%	-45.8%	5.0K	-231.8K	-188	0.00	179.02	N/A	N/A	0	0	75	2
2009-06-08	$39.04	$34.00	87.1%	25.0%	34.3%	53.9%	0.0%	20.4%	-56.4%	5.1K	-231.3K	-173	0.00	180.83	N/A	N/A	0	0	75	2
2009-06-09	$39.64	$34.00	89.0%	25.5%	33.2%	55.3%	0.0%	25.0%	-62.2%	4.7K	-242.8K	-159	0.00	175.43	N/A	N/A	0	0	75	2
2009-06-10	$39.81	$34.00	34.2%	9.8%	32.8%	15.4%	0.0%	2.3%	-0.1%	1.3K	-291.9K	-38	0.00	98.51	N/A	N/A	0	0	75	2
2009-06-11	$40.36	$34.00	33.3%	9.5%	27.5%	14.6%	0.0%	-1.2%	1.3%	173	-298.6K	-29	0.00	98.46	N/A	N/A	0	0	75	2
2009-06-12	$40.52	$34.00	30.4%	8.7%	27.5%	12.6%	0.0%	-5.3%	2.6%	164	-300.3K	-28	0.00	104.92	N/A	N/A	0	0	75	2
2009-06-15	$39.07	$28.00	32.7%	9.5%	30.0%	14.3%	0.0%	7.3%	-9.8%	363	-288.8K	-27	0.00	42.20	N/A	N/A	0	0	75	2
2009-06-16	$38.61	$28.00	28.6%	7.5%	26.9%	11.3%	0.0%	11.4%	-5.3%	473	-285.2K	-26	0.00	39.88	N/A	N/A	0	0	75	2
2009-06-17	$38.47	$28.00	28.1%	9.9%	26.6%	10.9%	0.0%	8.1%	-10.7%	603	-283.8K	-27	0.00	40.00	N/A	N/A	0	0	75	2
2009-06-18	$38.65	$28.00	27.6%	7.4%	26.6%	10.5%	0.0%	10.9%	0.3%	564	-285.8K	-26	0.00	40.91	N/A	N/A	0	0	75	2
2009-06-19	$39.47	$28.00	33.0%	9.8%	27.5%	14.4%	0.0%	6.1%	-8.2%	108	-291.3K	-26	0.00	45.35	N/A	N/A	0	0	75	2
2009-06-22	$38.34	$0.00	21.8%	6.2%	29.4%	6.3%	24.3%	7.3%	5.0%	23	-3.3K	-28	0.33	69.63	N/A	N/A	60	20	2	2
2009-06-23	$38.36	$38.00	30.0%	8.6%	28.4%	12.3%	0.0%	3.9%	3.9%	3.9K	-81.2K	-528	0.00	66.19	N/A	N/A	0	1	62	22
2009-06-24	$38.62	$38.00	29.3%	8.4%	28.1%	11.7%	0.0%	2.1%	4.3%	4.0K	-85.9K	-528	0.00	64.61	N/A	N/A	0	0	62	23
2009-06-25	$39.65	$38.00	28.2%	8.1%	29.0%	11.0%	0.0%	1.6%	5.4%	4.1K	-114.5K	-528	0.00	62.03	N/A	N/A	0	0	62	23
2009-06-26	$39.88	$38.00	28.3%	8.1%	28.5%	11.0%	0.0%	1.6%	4.8%	4.2K	-120.6K	-514	0.00	64.41	N/A	N/A	0	0	62	23
2009-06-29	$40.38	$38.00	28.6%	8.2%	28.6%	11.3%	0.0%	1.0%	4.9%	4.2K	-135.3K	-487	0.00	71.74	N/A	N/A	0	1	62	23
2009-06-30	$40.23	$38.00	28.5%	8.2%	28.0%	11.2%	0.0%	0.8%	3.9%	4.4K	-132.3K	-481	0.00	69.63	N/A	N/A	0	0	62	23