EWP Options History — August 2009

In August 2009, EWP traded between $43.80 and $48.10. ATM implied volatility averaged 35.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 12.9% (HV 20d: 22.5%). Max pain ranged from $38.00 to $46.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2009-08-21: Highest Volume — 30 contracts
2009-08-12: Largest IV spike — 158.2% change
2009-08-12: Highest IV Rank — 45.3%
2009-08-05: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.03	$43.80	$48.10	$46.04	$47.76
Max Pain	$44.48	$38.00	$46.00	$38.00	$46.00
ATM IV	35.4%	28.2%	75.3%	28.5%	30.5%
Expected Move	9.8%	8.2%	18.4%	8.2%	8.7%
HV 20d	22.5%	17.0%	25.8%	22.9%	24.1%
HV 60d	25.7%	23.8%	29.4%	29.4%	24.3%
IV Rank	16.2%	11.0%	45.3%	11.2%	12.6%
IV Percentile	29.0%	14.3%	81.0%	17.1%	21.8%
Term Structure	0.9%	-23.5%	6.8%	4.0%	3.2%
VWIV	34.1%	30.5%	41.1%	30.7%	30.5%
Skew 25d	1.3%	-7.1%	23.3%	-3.5%	-0.9%
Skew 10d	0.7%	-8.5%	46.4%	-1.5%	-6.8%
Call IV 25d	33.9%	25.6%	66.7%	28.0%	30.5%
Put IV 25d	35.2%	22.3%	89.5%	24.5%	29.6%
Bid-Ask Spread %	113.28	86.18	169.40	120.09	101.33
Gamma HHI	0.27	0.16	0.45	0.23	0.26
Net GEX	1.5K	-838	4.3K	-75	-483
Net DEX	-206.4K	-321.4K	-10.4K	-274.9K	-10.4K
Net VEX	-282	-543	-92	-92	-535
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	3.50	0.00	0.00
Total Volume	5.524	0	30	1	30
Total OI	91.667	50	116	90	59

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
2009-08-03	$46.04	$38.00	28.5%	8.2%	22.9%	11.2%	0.0%	-3.5%	4.0%	-75	-274.9K	-92	0.00	120.09	N/A	N/A	1	0	62	28
2009-08-04	$45.91	$38.00	29.4%	8.4%	21.0%	11.8%	0.0%	-7.1%	1.7%	378	-276.1K	-108	3.50	114.32	N/A	N/A	2	7	63	28
2009-08-05	$45.50	$38.00	64.2%	18.4%	20.6%	37.2%	0.0%	22.8%	-23.5%	1.5K	-234.0K	-315	0.00	169.40	N/A	N/A	0	0	65	35
2009-08-06	$45.14	$38.00	29.1%	8.4%	21.4%	11.7%	0.0%	-3.1%	2.1%	475	-266.5K	-188	0.00	109.28	N/A	N/A	0	0	65	35
2009-08-07	$45.22	$46.00	28.2%	8.9%	20.9%	11.0%	30.7%	0.5%	3.5%	448	-265.7K	-194	0.00	88.44	N/A	N/A	2	0	65	35
2009-08-10	$45.21	$46.00	28.9%	9.0%	20.0%	11.5%	0.0%	-0.4%	2.8%	283	-272.4K	-187	0.00	90.99	N/A	N/A	11	0	67	35
2009-08-11	$45.01	$46.00	29.2%	9.0%	20.3%	11.7%	0.0%	0.3%	2.8%	4.1K	-293.4K	-230	0.00	86.18	N/A	N/A	0	0	78	35
2009-08-12	$45.55	$46.00	75.3%	12.1%	17.6%	45.3%	0.0%	7.3%	6.8%	3.6K	-269.6K	-339	0.00	163.56	N/A	N/A	0	0	78	35
2009-08-13	$46.40	$46.00	32.1%	9.2%	17.0%	13.8%	0.0%	-1.2%	2.1%	4.1K	-321.4K	-206	0.00	92.97	N/A	N/A	0	2	78	35
2009-08-14	$45.70	$46.00	40.0%	11.5%	18.2%	19.5%	41.1%	-1.8%	-2.7%	3.4K	-292.7K	-264	0.00	158.88	N/A	N/A	1	0	78	37
2009-08-17	$43.80	$46.00	31.4%	9.0%	24.1%	13.3%	0.0%	0.7%	4.1%	4.3K	-267.7K	-245	0.00	131.05	N/A	N/A	10	0	79	37
2009-08-18	$44.30	$46.00	31.8%	9.1%	24.3%	13.6%	0.0%	-2.0%	3.0%	2.9K	-271.6K	-222	0.00	98.48	N/A	N/A	0	0	74	37
2009-08-19	$44.88	$46.00	31.5%	9.0%	24.6%	13.4%	0.0%	-0.6%	3.2%	3.5K	-282.2K	-218	0.00	97.48	N/A	N/A	0	0	74	37
2009-08-20	$45.52	$46.00	31.2%	8.9%	24.0%	13.1%	0.0%	-0.7%	2.6%	3.6K	-295.0K	-200	0.00	98.39	N/A	N/A	0	0	74	37
2009-08-21	$46.81	$46.00	30.9%	8.8%	25.5%	12.9%	0.0%	-0.2%	3.2%	1.2K	-316.9K	-178	0.50	99.51	N/A	N/A	20	10	74	37
2009-08-24	$46.84	$46.00	30.8%	8.8%	25.4%	12.9%	0.0%	-4.4%	3.6%	-553	-38.0K	-326	0.00	106.27	N/A	N/A	0	0	19	31
2009-08-25	$47.63	$46.00	49.6%	14.2%	25.8%	26.6%	0.0%	23.3%	-12.4%	-838	-41.8K	-320	0.50	155.82	N/A	N/A	10	5	19	31
2009-08-26	$47.53	$46.00	31.1%	8.9%	25.1%	13.1%	0.0%	-1.1%	2.8%	-219	-13.3K	-510	0.00	99.47	N/A	N/A	0	0	19	36
2009-08-27	$48.10	$46.00	30.5%	8.7%	25.2%	12.6%	0.0%	0.0%	3.5%	-258	-20.5K	-492	0.00	96.66	N/A	N/A	0	5	19	36
2009-08-28	$47.76	$46.00	30.0%	8.6%	24.7%	12.3%	0.0%	-0.3%	3.5%	-514	-11.5K	-543	0.00	100.41	N/A	N/A	0	0	19	40
2009-08-31	$47.76	$46.00	30.5%	8.7%	24.1%	12.6%	30.5%	-0.9%	3.2%	-483	-10.4K	-535	0.00	101.33	N/A	N/A	30	0	19	40