EWP Options History — February 2010

In February 2010, EWP traded between $39.42 and $44.75. ATM implied volatility averaged 37.9%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.8% (HV 20d: 39.7%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 5.78.

Notable Days

2010-02-25: Highest Volume — 624 contracts
2010-02-05: Largest IV spike — 85.1% change
2010-02-05: Highest IV Rank — 50.8%
2010-02-05: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.16	$39.42	$44.75	$43.97	$40.50
Max Pain	$46.63	$46.00	$49.00	$49.00	$46.00
ATM IV	37.9%	28.5%	67.8%	30.2%	36.2%
Expected Move	10.7%	8.2%	13.1%	8.7%	10.4%
HV 20d	39.7%	28.5%	44.6%	30.1%	41.0%
HV 60d	29.7%	25.0%	31.3%	25.0%	30.9%
IV Rank	19.9%	10.2%	50.8%	12.0%	18.1%
IV Percentile	58.4%	24.2%	79.4%	41.3%	61.5%
Term Structure	-1.0%	-10.9%	1.8%	1.0%	-0.2%
VWIV	36.5%	29.4%	49.1%	32.0%	31.7%
Skew 25d	3.1%	-21.0%	7.2%	5.1%	4.4%
Skew 10d	10.5%	-32.5%	21.5%	10.6%	15.8%
Call IV 25d	35.0%	26.8%	62.9%	26.8%	33.1%
Put IV 25d	38.1%	31.6%	41.9%	32.0%	37.4%
Bid-Ask Spread %	60.51	39.61	135.51	67.56	39.61
Gamma HHI	0.25	0.17	0.34	0.34	0.17
Net GEX	-53.0K	-81.9K	-16.8K	-16.8K	-81.9K
Net DEX	2.1M	617.1K	4.3M	713.3K	4.3M
Net VEX	-4.2K	-8.2K	-3.1K	-3.2K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.78	0.13	19.00	1.74	5.93
Total Volume	150.842	13	624	15	520
Total OI	1,118.947	584	2,033	584	2,033

Daily Data (19 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
2010-02-01	$43.97	$49.00	30.2%	8.7%	30.1%	12.0%	32.0%	5.1%	1.0%	-16.8K	713.3K	-3.2K	0.00	67.56	N/A	N/A	0	15	260	324
2010-02-02	$44.75	$49.00	28.5%	8.2%	28.5%	10.2%	0.0%	4.7%	1.8%	-17.1K	617.1K	-3.6K	0.00	63.87	N/A	N/A	0	155	260	339
2010-02-03	$43.57	$49.00	29.9%	8.6%	29.2%	11.7%	0.0%	4.3%	1.7%	-41.6K	1.3M	-4.0K	1.74	72.59	N/A	N/A	50	87	260	494
2010-02-04	$40.24	$49.00	36.7%	10.5%	38.7%	18.6%	37.4%	-2.7%	-0.6%	-28.4K	1.8M	-3.3K	8.82	100.49	N/A	N/A	11	97	310	581
2010-02-05	$39.89	$46.00	67.8%	13.1%	38.7%	50.8%	49.1%	-21.0%	-10.9%	-30.4K	1.7M	-4.4K	3.30	135.51	N/A	N/A	30	99	321	663
2010-02-08	$39.42	$46.00	37.8%	11.7%	38.2%	19.8%	0.0%	3.5%	-1.0%	-26.7K	1.9M	-3.1K	12.00	68.64	N/A	N/A	1	12	346	623
2010-02-09	$41.31	$46.00	36.6%	11.1%	43.3%	18.5%	39.6%	6.8%	-1.0%	-35.4K	1.7M	-3.9K	7.29	57.09	N/A	N/A	14	102	347	621
2010-02-10	$41.26	$46.00	35.7%	11.2%	43.4%	17.6%	36.5%	5.9%	-0.3%	-45.4K	1.9M	-4.2K	0.00	56.37	N/A	N/A	0	200	344	701
2010-02-11	$40.88	$46.00	41.0%	11.7%	42.8%	23.1%	37.5%	5.7%	-2.7%	-55.1K	2.2M	-4.3K	3.68	62.27	N/A	N/A	22	81	344	780
2010-02-12	$40.15	$46.00	40.8%	11.7%	42.7%	22.9%	38.9%	5.1%	-1.5%	-61.9K	2.4M	-4.0K	19.00	64.26	N/A	N/A	2	38	364	831
2010-02-16	$41.31	$46.00	40.0%	11.5%	44.6%	22.1%	38.9%	5.7%	-1.7%	-73.7K	2.2M	-4.4K	5.00	53.13	N/A	N/A	4	20	366	844
2010-02-17	$41.00	$46.00	39.0%	11.2%	43.8%	21.0%	37.8%	4.7%	-0.7%	-76.5K	2.3M	-4.1K	0.73	46.24	N/A	N/A	33	24	366	854
2010-02-18	$41.43	$46.00	38.1%	10.9%	43.0%	20.1%	38.7%	7.2%	-1.2%	-76.5K	2.2M	-4.4K	2.13	43.39	N/A	N/A	8	17	399	862
2010-02-19	$41.50	$46.00	38.1%	10.9%	41.4%	20.1%	36.3%	5.8%	-1.5%	-70.1K	2.2M	-4.4K	2.10	40.90	N/A	N/A	40	84	405	869
2010-02-22	$41.21	$46.00	34.2%	9.8%	41.0%	16.0%	31.4%	5.3%	0.4%	-79.4K	2.2M	-4.1K	3.00	39.89	N/A	N/A	10	30	353	838
2010-02-23	$39.97	$46.00	36.7%	10.5%	41.4%	18.6%	29.4%	3.9%	-0.8%	-64.0K	2.6M	-3.3K	0.13	42.00	N/A	N/A	100	13	363	868
2010-02-24	$39.91	$46.00	35.9%	10.3%	41.4%	17.9%	33.8%	2.3%	-1.4%	-57.1K	2.6M	-3.4K	14.38	43.06	N/A	N/A	21	302	373	857
2010-02-25	$39.84	$46.00	36.8%	10.5%	41.3%	18.8%	35.5%	1.9%	0.9%	-69.4K	3.3M	-4.6K	3.33	52.93	N/A	N/A	144	480	394	1,103
2010-02-26	$40.50	$46.00	36.2%	10.4%	41.0%	18.1%	31.7%	4.4%	-0.2%	-81.9K	4.3M	-8.2K	5.93	39.61	N/A	N/A	75	445	538	1,495