EWP Options History — February 2011

In February 2011, EWP traded between $40.77 and $42.88. ATM implied volatility averaged 28.0%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.8% (HV 20d: 29.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.70.

Notable Days

2011-02-10: Highest Volume — 812 contracts
2011-02-22: Largest IV spike — 14.1% change
2011-02-22: Highest IV Rank — 14.9%
2011-02-22: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.88	$40.77	$42.88	$42.88	$42.05
Max Pain	$40.68	$39.00	$41.00	$39.00	$41.00
ATM IV	28.0%	25.5%	30.0%	27.3%	25.5%
Expected Move	8.1%	7.3%	8.6%	7.8%	7.3%
HV 20d	29.8%	23.9%	37.2%	37.1%	27.2%
HV 60d	33.0%	29.2%	34.5%	34.5%	29.2%
IV Rank	10.9%	5.8%	14.9%	9.5%	5.8%
IV Percentile	20.2%	5.6%	37.7%	12.7%	5.6%
Term Structure	1.4%	-0.4%	5.1%	1.0%	5.1%
VWIV	28.5%	24.9%	32.6%	29.3%	24.9%
Skew 25d	6.7%	2.2%	9.6%	5.5%	2.2%
Skew 10d	10.7%	1.6%	18.2%	12.8%	1.6%
Call IV 25d	25.7%	23.8%	27.4%	27.4%	27.1%
Put IV 25d	32.3%	29.4%	33.9%	32.9%	29.4%
Bid-Ask Spread %	44.36	26.23	80.55	77.27	57.33
Gamma HHI	0.46	0.35	0.58	0.35	0.55
Net GEX	76.0K	-703.9K	450.9K	68.5K	124.4K
Net DEX	-4.1M	-8.2M	905.0K	-5.1M	-3.7M
Net VEX	-21.8K	-25.2K	-18.8K	-19.4K	-19.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.70	0.01	19.88	0.09	0.07
Total Volume	325.158	45	812	715	535
Total OI	5,848.158	4,149	7,910	4,281	4,597

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
2011-02-01	$42.88	$39.00	27.3%	7.8%	37.1%	9.5%	29.3%	5.5%	1.0%	68.5K	-5.1M	-19.4K	0.09	77.27	N/A	N/A	658	57	2,158	2,123
2011-02-02	$42.72	$39.00	26.5%	7.6%	37.1%	7.8%	27.6%	7.9%	2.3%	235.2K	-6.6M	-21.5K	0.01	76.80	N/A	N/A	120	1	2,774	2,155
2011-02-03	$42.18	$39.00	28.2%	8.1%	37.2%	11.3%	27.7%	9.6%	2.0%	286.0K	-6.0M	-22.2K	5.75	80.55	N/A	N/A	12	69	2,894	2,156
2011-02-04	$41.79	$41.00	26.7%	8.2%	35.3%	8.1%	27.6%	6.6%	0.4%	287.3K	-5.2M	-22.4K	19.88	26.23	N/A	N/A	34	676	2,894	2,224
2011-02-07	$41.91	$41.00	27.9%	8.4%	34.2%	10.7%	32.6%	6.9%	-0.2%	141.7K	-4.4M	-23.2K	2.07	28.51	N/A	N/A	30	62	2,907	2,868
2011-02-08	$42.37	$41.00	27.8%	8.2%	33.7%	10.5%	28.5%	7.8%	-0.1%	157.2K	-5.6M	-22.3K	0.58	28.65	N/A	N/A	153	89	2,928	2,900
2011-02-09	$42.40	$41.00	27.3%	8.4%	33.8%	9.4%	28.8%	4.7%	0.7%	172.2K	-5.7M	-23.4K	1.43	27.95	N/A	N/A	76	109	3,024	2,969
2011-02-10	$41.39	$41.00	29.9%	8.6%	26.7%	14.8%	29.9%	7.2%	1.3%	125.7K	-3.1M	-24.4K	3.89	33.94	N/A	N/A	166	646	3,076	3,078
2011-02-11	$41.40	$41.00	29.3%	8.4%	24.6%	13.6%	32.5%	7.8%	1.2%	4.7K	-2.8M	-25.2K	14.13	34.76	N/A	N/A	45	636	3,212	3,541
2011-02-14	$41.07	$41.00	29.4%	8.4%	24.6%	13.8%	27.9%	7.7%	2.1%	-369.3K	-148.8K	-24.9K	14.36	39.94	N/A	N/A	42	603	3,228	4,148
2011-02-15	$40.99	$41.00	29.9%	8.6%	23.9%	14.7%	29.3%	6.3%	0.6%	-703.9K	905.0K	-24.5K	2.13	38.70	N/A	N/A	31	66	3,249	4,658
2011-02-16	$42.11	$41.00	26.9%	7.7%	25.5%	8.7%	27.4%	5.7%	1.8%	-219.0K	-5.1M	-22.2K	0.55	33.18	N/A	N/A	29	16	3,229	4,659
2011-02-17	$42.74	$41.00	26.4%	7.6%	25.1%	7.6%	26.3%	7.4%	2.4%	450.9K	-7.9M	-19.8K	0.59	36.51	N/A	N/A	49	29	3,243	4,667
2011-02-18	$42.70	$41.00	26.3%	7.5%	23.9%	7.3%	29.4%	6.3%	2.2%	283.5K	-8.2M	-19.2K	0.08	32.80	N/A	N/A	358	30	3,229	4,679
2011-02-22	$40.77	$41.00	30.0%	8.6%	29.2%	14.9%	29.3%	4.6%	-0.4%	90.3K	-1.9M	-18.8K	0.58	35.40	N/A	N/A	288	167	2,080	2,069
2011-02-23	$41.06	$41.00	29.4%	8.4%	29.0%	13.8%	28.0%	8.4%	1.1%	96.2K	-2.2M	-20.4K	0.84	46.86	N/A	N/A	69	58	2,233	2,184
2011-02-24	$41.33	$41.00	29.8%	8.6%	29.1%	14.6%	26.2%	8.5%	0.5%	107.5K	-2.6M	-20.5K	0.84	49.32	N/A	N/A	62	52	2,291	2,198
2011-02-25	$41.82	$41.00	27.2%	7.8%	28.6%	9.2%	28.8%	5.7%	1.7%	105.1K	-3.3M	-20.6K	2.44	58.18	N/A	N/A	16	39	2,350	2,243
2011-02-28	$42.05	$41.00	25.5%	7.3%	27.2%	5.8%	24.9%	2.2%	5.1%	124.4K	-3.7M	-19.5K	0.07	57.33	N/A	N/A	502	33	2,359	2,238