EWP Options History — August 2012 In August 2012, EWP traded between $21.59 and $26.11. ATM implied volatility averaged 38.7%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 13.0% (HV 20d: 51.7%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.74.
Notable Days 2012-08-06 : Highest Volume — 12,529 contracts2012-08-16 : Largest IV drop — 12.4% change2012-08-01 : Highest IV Rank — 40.7%2012-08-01 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.84 $21.59 $26.11 $22.88 $26.11 Max Pain $23.39 $22.00 $24.00 $22.00 $24.00 ATM IV 38.7% 35.0% 44.2% 44.2% 36.6% Expected Move 11.1% 10.0% 12.7% 12.7% 10.5% HV 20d 51.7% 30.2% 61.1% 51.7% 30.2% HV 60d 48.8% 46.3% 49.9% 46.3% 47.9% IV Rank 31.0% 24.5% 40.7% 40.7% 27.4% IV Percentile 43.4% 30.2% 58.3% 58.3% 37.3% Term Structure 1.2% -2.9% 3.4% -2.9% 1.0% VWIV 40.3% 34.9% 47.1% 42.8% 34.9% Skew 25d 9.0% 5.2% 18.5% 7.8% 9.3% Skew 10d 15.7% -7.0% 41.0% 34.7% -7.0% Call IV 25d 35.5% 31.2% 43.0% 40.5% 34.5% Put IV 25d 44.6% 40.0% 53.7% 48.4% 43.8% Bid-Ask Spread % 57.99 44.69 69.98 60.68 69.98 Gamma HHI 0.22 0.17 0.26 0.19 0.21 Net GEX 292.8K -48.7K 692.3K -4.0K 136.8K Net DEX -11.1M -29.7M 12.6M 5.5M -11.7M Net VEX -125.0K -143.4K -69.2K -80.4K -141.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.74 0.10 9.27 1.15 0.93 Total Volume 1,546.478 162 12,529 640 445 Total OI 37,158.478 28,712 43,182 28,982 37,591
Daily Data (23 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 2012-08-01 $22.88 $22.00 44.2% 12.7% 51.7% 40.7% 42.8% 7.8% -2.9% -4.0K 5.5M -80.4K 1.15 60.68 N/A N/A 297 343 11,337 17,645 2012-08-02 $21.59 $22.00 43.1% 12.4% 52.7% 38.9% 45.7% 10.7% 0.7% -48.7K 12.6M -69.2K 8.62 58.25 N/A N/A 219 1,887 11,580 17,317 2012-08-03 $23.19 $22.00 42.6% 12.2% 58.0% 38.0% 47.1% 18.5% 0.6% 95.8K 2.3M -75.7K 1.98 69.73 N/A N/A 459 909 11,654 17,058 2012-08-06 $24.13 $22.00 41.4% 11.5% 59.6% 35.8% 44.3% 7.5% 1.4% 117.9K -4.7M -76.3K 0.11 47.89 N/A N/A 11,271 1,258 11,980 17,133 2012-08-07 $24.72 $22.00 38.6% 10.5% 59.8% 30.9% 38.9% 7.9% 1.1% 678.9K -20.8M -136.7K 0.10 52.47 N/A N/A 3,250 340 23,559 17,701 2012-08-08 $24.52 $22.00 37.8% 11.2% 59.7% 29.3% 41.2% 8.6% -2.2% 608.7K -16.6M -135.3K 1.99 45.98 N/A N/A 302 602 23,753 17,913 2012-08-09 $24.22 $23.00 38.5% 11.6% 59.2% 30.6% 46.9% 7.8% 0.5% 624.3K -14.3M -135.0K 5.20 48.24 N/A N/A 74 385 23,758 18,385 2012-08-10 $24.16 $23.00 37.5% 11.3% 59.2% 28.9% 40.9% 6.0% 0.5% 648.4K -13.4M -131.2K 1.29 44.69 N/A N/A 355 458 23,768 18,742 2012-08-13 $24.19 $24.00 41.5% 11.5% 58.7% 36.1% 39.3% 7.5% 0.5% 649.9K -14.2M -130.9K 0.37 56.66 N/A N/A 343 128 23,868 19,038 2012-08-14 $24.30 $24.00 41.8% 11.3% 58.7% 36.4% 40.3% 5.2% 2.1% 678.9K -16.7M -129.7K 6.83 54.05 N/A N/A 30 205 24,101 19,081 2012-08-15 $24.38 $24.00 40.0% 11.2% 58.7% 33.3% 40.9% 5.3% 2.3% 692.3K -17.6M -127.1K 4.51 58.06 N/A N/A 117 528 24,018 19,104 2012-08-16 $25.67 $24.00 35.0% 10.0% 61.1% 24.5% 38.9% 6.9% 2.1% 349.0K -29.7M -128.2K 1.85 57.54 N/A N/A 801 1,481 24,068 18,692 2012-08-17 $26.03 $24.00 35.4% 10.2% 54.1% 25.2% 36.5% 7.9% 3.4% 173.5K -29.4M -132.0K 1.15 55.47 N/A N/A 1,341 1,540 22,962 19,195 2012-08-20 $25.86 $24.00 35.3% 10.1% 53.6% 24.9% 36.3% 7.0% 1.9% 151.4K -11.3M -130.5K 0.42 58.56 N/A N/A 840 352 16,919 16,647 2012-08-21 $26.03 $24.00 35.7% 10.2% 50.0% 25.7% 35.3% 9.1% 2.6% 199.1K -12.8M -136.9K 0.88 61.96 N/A N/A 272 239 17,491 16,920 2012-08-22 $25.85 $24.00 36.4% 10.4% 50.5% 27.0% 38.8% 9.8% 2.5% 172.8K -11.1M -134.4K 2.02 62.94 N/A N/A 97 196 17,604 17,048 2012-08-23 $25.46 $24.00 39.9% 11.4% 46.7% 33.1% 39.1% 9.3% 2.1% 169.4K -8.9M -134.7K 3.18 52.45 N/A N/A 192 611 17,681 17,130 2012-08-24 $25.63 $24.00 36.5% 10.5% 42.6% 27.1% 42.8% 12.2% 2.7% 178.7K -9.2M -141.7K 9.27 60.92 N/A N/A 124 1,149 17,667 17,639 2012-08-27 $25.78 $24.00 37.3% 10.7% 42.6% 28.6% 39.7% 9.4% -0.7% 134.2K -9.7M -143.4K 0.45 65.72 N/A N/A 270 122 17,671 18,715 2012-08-28 $25.83 $24.00 37.5% 10.8% 42.3% 28.9% 40.6% 11.8% 2.8% 120.1K -9.5M -139.9K 0.71 63.66 N/A N/A 95 67 17,694 18,810 2012-08-29 $25.71 $24.00 37.5% 10.8% 42.4% 29.0% 35.8% 12.4% 1.3% 122.8K -8.7M -141.5K 4.99 66.97 N/A N/A 216 1,077 17,774 18,861 2012-08-30 $25.16 $24.00 40.2% 11.5% 36.7% 33.7% 40.3% 10.0% 1.0% 85.2K -5.3M -143.4K 5.00 60.83 N/A N/A 47 235 17,975 19,398 2012-08-31 $26.11 $24.00 36.6% 10.5% 30.2% 27.4% 34.9% 9.3% 1.0% 136.8K -11.7M -141.6K 0.93 69.98 N/A N/A 230 215 18,014 19,577
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