EWP Options History — July 2009

Name: EWP Options Analytics - July 2009
Creator: Options Analysis Suite

In July 2009, EWP traded between $38.31 and $45.26. ATM implied volatility averaged 30.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.0% (HV 20d: 25.4%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days.

Notable Days

2009-07-24: Highest Volume — 4 contracts
2009-07-08: Largest IV spike — 61.0% change
2009-07-08: Highest IV Rank — 23.9%
2009-07-08: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.51	$38.31	$45.26	$40.63	$45.26
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	30.4%	28.0%	46.0%	28.0%	29.0%
Expected Move	8.7%	8.0%	13.2%	8.0%	8.3%
HV 20d	25.4%	22.9%	27.5%	24.6%	22.9%
HV 60d	31.1%	29.4%	32.6%	32.4%	29.4%
IV Rank	12.6%	10.8%	23.9%	10.8%	11.5%
IV Percentile	25.0%	18.3%	42.9%	19.0%	20.2%
Term Structure	2.2%	-12.4%	4.9%	3.9%	2.4%
Skew 25d	-0.7%	-6.4%	4.5%	0.7%	-6.4%
Skew 10d	-6.4%	-10.5%	15.2%	-9.4%	-4.8%
Call IV 25d	31.6%	28.9%	38.7%	31.9%	28.9%
Put IV 25d	30.9%	22.5%	43.2%	32.6%	22.5%
Bid-Ask Spread %	94.20	69.90	189.53	73.71	107.74
Gamma HHI	0.27	0.23	0.29	0.27	0.27
Net GEX	3.5K	782	4.7K	4.2K	782
Net DEX	-171.2K	-265.4K	-79.6K	-145.5K	-265.4K
Net VEX	-343	-499	-116	-471	-116
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0.227	0	4	0	0
Total OI	86.409	85	90	85	90

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	Spread %	Call Wall	Put Wall	Put Vol	Call OI	Put OI
2009-07-01	$40.63	$38.00	28.0%	8.0%	24.6%	10.8%	0.0%	0.7%	3.9%	4.2K	-145.5K	-471	73.71	N/A	N/A	0	62	23
2009-07-02	$39.65	$38.00	28.0%	8.0%	26.1%	10.8%	0.0%	1.9%	4.6%	4.4K	-114.5K	-499	69.90	N/A	N/A	0	62	23
2009-07-06	$39.54	$38.00	28.3%	8.1%	25.5%	11.1%	0.0%	1.3%	3.5%	4.7K	-111.9K	-467	73.77	N/A	N/A	0	62	23
2009-07-07	$38.80	$38.00	28.6%	8.2%	26.4%	11.2%	0.0%	1.5%	4.9%	4.6K	-89.8K	-467	82.43	N/A	N/A	0	62	23
2009-07-08	$38.31	$38.00	46.0%	13.2%	26.0%	23.9%	0.0%	4.5%	-12.4%	3.4K	-91.7K	-476	189.53	N/A	N/A	0	62	23
2009-07-09	$38.65	$38.00	28.9%	8.3%	26.2%	11.5%	0.0%	1.1%	4.5%	4.5K	-88.5K	-465	79.82	N/A	N/A	0	62	23
2009-07-10	$38.42	$38.00	29.0%	8.3%	25.6%	11.5%	0.0%	1.6%	3.4%	4.5K	-79.6K	-451	90.98	N/A	N/A	0	62	23
2009-07-13	$39.43	$38.00	30.7%	8.8%	27.5%	12.8%	0.0%	1.6%	4.0%	4.5K	-110.6K	-451	74.47	N/A	N/A	0	62	23
2009-07-14	$39.46	$38.00	30.6%	8.8%	24.2%	12.7%	0.0%	1.3%	4.1%	4.6K	-111.9K	-442	77.30	N/A	N/A	0	62	23
2009-07-15	$40.84	$38.00	30.0%	8.6%	26.5%	12.3%	0.0%	1.0%	4.3%	4.3K	-156.3K	-401	82.06	N/A	N/A	0	62	23
2009-07-16	$41.81	$38.00	29.9%	8.6%	27.4%	12.2%	0.0%	0.6%	4.4%	3.9K	-182.9K	-360	90.51	N/A	N/A	1	62	23
2009-07-17	$41.64	$38.00	30.4%	8.7%	27.5%	12.6%	0.0%	-0.1%	4.0%	3.9K	-176.7K	-368	84.99	N/A	N/A	0	62	24
2009-07-20	$42.35	$38.00	30.5%	8.7%	27.2%	12.6%	0.0%	-0.8%	1.9%	3.5K	-201.1K	-303	94.71	N/A	N/A	0	62	24
2009-07-21	$42.23	$38.00	30.5%	8.7%	24.5%	12.6%	0.0%	-1.8%	1.2%	3.6K	-195.4K	-319	90.13	N/A	N/A	0	62	24
2009-07-22	$42.29	$38.00	30.5%	8.7%	24.5%	12.6%	0.0%	-0.8%	1.3%	3.6K	-200.8K	-296	93.65	N/A	N/A	0	62	24
2009-07-23	$43.20	$38.00	30.3%	8.7%	25.2%	12.5%	0.0%	-1.9%	1.3%	3.1K	-224.0K	-234	98.39	N/A	N/A	0	62	24
2009-07-24	$43.72	$38.00	29.7%	8.5%	24.1%	12.1%	0.0%	-4.8%	1.4%	2.5K	-235.8K	-206	101.05	N/A	N/A	4	62	24
2009-07-27	$44.15	$38.00	30.3%	8.7%	24.1%	12.5%	0.0%	-1.0%	1.6%	1.8K	-242.3K	-208	101.92	N/A	N/A	0	62	28
2009-07-28	$44.52	$38.00	30.0%	8.6%	24.0%	12.3%	0.0%	-6.1%	1.5%	1.9K	-252.4K	-162	105.25	N/A	N/A	0	62	28
2009-07-29	$43.92	$38.00	30.1%	8.6%	24.7%	12.4%	0.0%	-2.3%	1.4%	2.3K	-240.5K	-201	103.00	N/A	N/A	0	62	28
2009-07-30	$44.34	$38.00	30.1%	8.6%	24.7%	12.3%	0.0%	-6.3%	1.2%	1.8K	-248.5K	-172	107.07	N/A	N/A	0	62	28
2009-07-31	$45.26	$38.00	29.0%	8.3%	22.9%	11.5%	0.0%	-6.4%	2.4%	782	-265.4K	-116	107.74	N/A	N/A	0	62	28