EWP Options History — February 2014

In February 2014, EWP traded between $36.89 and $40.10. ATM implied volatility averaged 21.7%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.5% (HV 20d: 26.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.05.

Notable Days

2014-02-07: Highest Volume — 6,645 contracts
2014-02-18: Largest IV spike — 12.3% change
2014-02-03: Highest IV Rank — 45.7%
2014-02-03: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.11	$36.89	$40.10	$36.89	$39.69
Max Pain	$38.26	$38.00	$40.00	$38.00	$40.00
ATM IV	21.7%	19.1%	28.9%	28.9%	19.1%
Expected Move	6.3%	5.5%	8.3%	8.3%	5.5%
HV 20d	26.2%	20.7%	28.7%	27.8%	20.7%
HV 60d	21.5%	20.9%	22.0%	21.5%	21.0%
IV Rank	26.7%	19.9%	45.7%	45.7%	19.9%
IV Percentile	34.1%	12.7%	90.9%	90.9%	12.7%
Term Structure	-0.2%	-1.4%	0.7%	-1.4%	0.4%
VWIV	22.3%	18.2%	29.5%	29.5%	19.2%
Skew 25d	4.1%	2.9%	5.3%	3.9%	3.3%
Skew 10d	9.5%	5.4%	13.1%	5.4%	6.2%
Call IV 25d	20.2%	18.0%	26.9%	26.9%	18.8%
Put IV 25d	24.3%	21.8%	30.8%	30.8%	22.0%
Bid-Ask Spread %	36.99	24.37	48.13	30.08	39.59
Gamma HHI	0.40	0.19	0.72	0.19	0.23
Net GEX	1.6M	-441.4K	4.5M	-48.4K	-441.4K
Net DEX	-2.5M	-11.9M	4.1M	4.1M	3.5M
Net VEX	-55.0K	-74.1K	-45.3K	-46.1K	-52.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.01	17.77	2.92	0.92
Total Volume	938.211	23	6,645	153	92
Total OI	12,029.842	8,306	17,182	8,478	8,590

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
2014-02-03	$36.89	$38.00	28.9%	8.3%	27.8%	45.7%	29.5%	3.9%	-1.4%	-48.4K	4.1M	-46.1K	2.92	30.08	N/A	N/A	39	114	3,691	4,787
2014-02-04	$37.52	$38.00	26.4%	7.6%	28.1%	38.9%	24.6%	4.9%	-0.3%	40.8K	2.5M	-45.7K	0.05	33.47	N/A	N/A	681	33	3,723	4,583
2014-02-05	$37.62	$38.00	26.4%	7.6%	25.9%	39.1%	24.5%	4.1%	-0.5%	79.8K	2.0M	-47.0K	0.41	32.34	N/A	N/A	108	44	3,836	4,587
2014-02-06	$38.62	$38.00	23.5%	6.7%	27.5%	31.5%	24.3%	5.3%	0.7%	205.7K	-849.7K	-47.1K	1.75	37.01	N/A	N/A	56	98	3,766	4,571
2014-02-07	$39.35	$38.00	22.4%	6.6%	28.4%	28.7%	23.7%	5.1%	-0.5%	255.9K	-3.6M	-45.3K	0.01	29.64	N/A	N/A	6,604	41	3,813	4,627
2014-02-10	$38.84	$38.00	21.4%	6.6%	28.3%	25.8%	0.0%	4.3%	-0.7%	2.2M	-7.1M	-57.7K	0.25	37.84	N/A	N/A	57	14	10,247	4,633
2014-02-11	$39.39	$38.00	19.9%	6.3%	28.7%	21.9%	0.0%	4.2%	-0.4%	3.3M	-11.9M	-58.2K	3.40	36.51	N/A	N/A	10	34	10,299	4,645
2014-02-12	$39.14	$38.00	19.7%	6.2%	28.3%	21.5%	21.4%	4.3%	-0.0%	3.0M	-8.8M	-55.4K	0.91	41.24	N/A	N/A	22	20	10,298	4,639
2014-02-13	$39.46	$38.00	21.3%	6.1%	27.9%	25.6%	21.3%	4.2%	-0.5%	4.0M	-11.7M	-54.2K	17.77	37.90	N/A	N/A	115	2,043	10,300	4,640
2014-02-14	$39.58	$38.00	19.2%	5.5%	27.8%	20.1%	0.0%	4.6%	0.7%	4.3M	-10.4M	-74.1K	0.04	40.20	N/A	N/A	6,008	246	10,264	6,681
2014-02-18	$39.44	$38.00	21.6%	6.2%	27.6%	26.3%	21.0%	2.9%	-0.2%	4.5M	-7.4M	-68.0K	0.98	28.00	N/A	N/A	254	250	10,269	6,913
2014-02-19	$39.11	$38.00	21.4%	6.1%	27.7%	26.0%	21.6%	4.6%	-0.6%	3.3M	-1.9M	-63.4K	0.73	24.37	N/A	N/A	143	104	10,201	6,857
2014-02-20	$39.39	$38.00	20.9%	6.0%	27.7%	24.6%	20.8%	4.3%	-0.1%	4.4M	-4.4M	-61.6K	1.32	42.72	N/A	N/A	37	49	10,156	6,739
2014-02-21	$39.32	$39.00	21.1%	6.0%	27.6%	25.0%	19.5%	3.0%	-0.3%	2.2M	-1.7M	-57.0K	2.09	32.48	N/A	N/A	11	23	10,177	6,745
2014-02-24	$39.83	$39.00	20.2%	5.8%	22.5%	22.8%	20.8%	3.6%	-0.6%	-398.5K	2.7M	-53.3K	1.09	40.98	N/A	N/A	58	63	2,008	6,330
2014-02-25	$40.10	$39.00	20.0%	5.7%	22.2%	22.1%	0.0%	3.6%	0.2%	-388.2K	2.3M	-52.7K	0.10	47.80	N/A	N/A	51	5	2,003	6,320
2014-02-26	$39.85	$38.00	19.5%	5.6%	21.5%	20.9%	23.9%	3.2%	-0.1%	-400.1K	2.7M	-52.8K	0.00	48.13	N/A	N/A	0	23	2,003	6,305
2014-02-27	$39.95	$38.00	19.3%	5.5%	20.9%	20.3%	18.2%	3.9%	-0.1%	-397.8K	2.5M	-52.0K	2.25	42.45	N/A	N/A	85	191	2,003	6,318
2014-02-28	$39.69	$40.00	19.1%	5.5%	20.7%	19.9%	19.2%	3.3%	0.4%	-441.4K	3.5M	-52.7K	0.92	39.59	N/A	N/A	48	44	2,081	6,509