EWP Options History — July 2012

In July 2012, EWP traded between $19.96 and $25.03. ATM implied volatility averaged 40.8%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 10.2% (HV 20d: 51.1%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.75.

Notable Days

2012-07-27: Highest Volume — 10,901 contracts
2012-07-23: Largest IV spike — 15.7% change
2012-07-25: Highest IV Rank — 49.5%
2012-07-25: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.54	$19.96	$25.03	$24.83	$22.91
Max Pain	$23.48	$21.00	$25.00	$24.00	$22.00
ATM IV	40.8%	35.3%	49.1%	35.5%	42.2%
Expected Move	11.8%	10.1%	14.1%	10.2%	12.1%
HV 20d	51.1%	47.0%	58.0%	49.4%	51.9%
HV 60d	42.5%	40.2%	46.7%	41.1%	46.7%
IV Rank	34.9%	25.1%	49.5%	26.8%	37.2%
IV Percentile	51.2%	34.1%	72.2%	35.3%	54.4%
Term Structure	1.1%	-3.7%	4.1%	2.0%	1.4%
VWIV	42.5%	36.6%	49.0%	38.2%	41.7%
Skew 25d	9.8%	4.6%	16.1%	11.3%	10.3%
Skew 10d	22.5%	6.6%	38.7%	25.2%	32.8%
Call IV 25d	36.8%	31.6%	48.0%	31.6%	39.1%
Put IV 25d	46.6%	42.4%	53.7%	42.8%	49.3%
Bid-Ask Spread %	61.98	44.97	84.21	83.85	49.69
Gamma HHI	0.24	0.15	0.38	0.34	0.18
Net GEX	908.2K	-473.4K	6.0M	5.5M	96.2K
Net DEX	7.1M	-32.2M	22.8M	-29.3M	3.7M
Net VEX	-69.4K	-156.8K	-40.2K	-156.8K	-79.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.75	0.04	54.33	0.35	4.26
Total Volume	1,497.143	166	10,901	334	1,278
Total OI	65,005.286	13,817	89,555	85,365	27,654

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
2012-07-02	$24.83	$24.00	35.5%	10.2%	49.4%	26.8%	38.2%	11.3%	2.0%	5.5M	-29.3M	-156.8K	0.35	83.85	N/A	N/A	248	86	69,723	15,642
2012-07-03	$25.03	$24.00	35.3%	10.1%	49.4%	25.1%	45.6%	12.0%	1.8%	6.0M	-32.2M	-152.5K	3.18	82.53	N/A	N/A	149	474	69,725	15,695
2012-07-05	$23.82	$24.00	36.7%	10.5%	51.5%	27.4%	36.6%	8.0%	3.5%	3.0M	-4.1M	-102.1K	0.85	84.21	N/A	N/A	674	573	69,674	15,717
2012-07-06	$23.01	$25.00	37.6%	11.8%	52.9%	29.0%	43.1%	9.8%	2.4%	1.6M	6.8M	-80.7K	2.35	58.58	N/A	N/A	141	332	70,172	15,894
2012-07-09	$22.86	$25.00	38.1%	11.6%	52.2%	30.0%	39.5%	6.2%	0.4%	1.1M	9.6M	-67.8K	3.07	65.12	N/A	N/A	100	307	70,192	16,006
2012-07-10	$22.61	$25.00	41.7%	11.7%	51.6%	36.3%	42.9%	6.6%	0.7%	1.1M	9.7M	-70.5K	3.02	52.86	N/A	N/A	95	287	70,205	16,208
2012-07-11	$23.06	$25.00	39.4%	11.6%	51.8%	32.2%	38.1%	11.1%	2.5%	1.1M	9.8M	-65.8K	1.59	60.60	N/A	N/A	1,006	1,597	70,169	16,143
2012-07-12	$22.54	$25.00	40.1%	11.5%	52.3%	33.4%	39.5%	6.2%	2.1%	357.4K	15.3M	-59.5K	1.97	60.71	N/A	N/A	132	260	71,112	17,449
2012-07-13	$22.76	$25.00	41.6%	11.9%	52.0%	36.1%	43.6%	11.6%	-2.0%	507.0K	14.2M	-60.0K	0.04	68.52	N/A	N/A	1,221	43	71,035	17,553
2012-07-16	$22.39	$25.00	42.4%	12.2%	52.2%	37.6%	41.2%	9.3%	2.7%	86.4K	17.4M	-52.2K	0.29	66.31	N/A	N/A	286	84	71,730	17,567
2012-07-17	$22.58	$24.00	39.4%	11.3%	50.8%	32.3%	44.4%	7.5%	2.7%	149.1K	16.7M	-51.6K	54.33	66.50	N/A	N/A	3	163	71,821	17,573
2012-07-18	$22.57	$24.00	39.0%	11.2%	49.3%	31.5%	43.6%	12.0%	2.8%	173.3K	16.5M	-50.8K	8.61	66.33	N/A	N/A	23	198	71,821	17,600
2012-07-19	$22.64	$24.00	38.7%	11.1%	48.7%	30.9%	39.2%	11.5%	3.0%	-82.3K	17.3M	-48.7K	15.84	67.87	N/A	N/A	19	301	71,832	17,709
2012-07-20	$21.11	$24.00	40.1%	11.5%	51.0%	33.4%	41.9%	8.5%	4.1%	-473.4K	22.8M	-41.5K	1.57	49.59	N/A	N/A	745	1,168	71,834	17,721
2012-07-23	$20.81	$22.00	46.4%	13.3%	48.0%	44.6%	48.9%	12.9%	-1.2%	-268.1K	11.7M	-40.2K	2.06	50.28	N/A	N/A	616	1,270	2,500	11,317
2012-07-24	$19.96	$21.00	49.0%	14.0%	47.0%	49.3%	48.2%	6.4%	-0.7%	-256.6K	13.2M	-41.4K	0.96	54.43	N/A	N/A	1,781	1,711	3,078	12,380
2012-07-25	$20.15	$21.00	49.1%	14.1%	47.3%	49.5%	49.0%	4.6%	-3.7%	-210.0K	12.4M	-48.0K	3.37	54.21	N/A	N/A	109	367	4,701	13,270
2012-07-26	$21.59	$21.00	43.9%	12.6%	53.8%	40.2%	47.3%	12.6%	-1.1%	-212.4K	8.9M	-52.7K	9.70	60.78	N/A	N/A	230	2,231	4,799	13,319
2012-07-27	$22.91	$21.00	39.8%	11.4%	58.0%	33.0%	40.5%	10.8%	1.2%	-267.4K	5.6M	-56.9K	0.33	53.67	N/A	N/A	8,166	2,735	4,936	14,071
2012-07-30	$23.11	$22.00	42.0%	12.0%	51.9%	36.9%	40.1%	16.1%	-0.8%	119.3K	3.4M	-78.2K	2.98	44.97	N/A	N/A	58	173	11,227	16,337
2012-07-31	$22.91	$22.00	42.2%	12.1%	51.9%	37.2%	41.7%	10.3%	1.4%	96.2K	3.7M	-79.6K	4.26	49.69	N/A	N/A	243	1,035	11,245	16,409