EWI Options History — July 2010

Name: EWI Options Analytics - July 2010
Creator: Options Analysis Suite

In July 2010, EWI traded between $30.24 and $32.84. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 9.6%. Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 14 trading days. Term structure was in contango for 11 of 14 days. Put/call ratio averaged 1.48.

Notable Days

2010-07-23: Highest Volume — 37 contracts
2010-07-27: Largest IV spike — 35.4% change
2010-07-20: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.70	$30.24	$32.84	$31.46	$32.62
Max Pain	$32.50	$30.00	$35.00	$35.00	$30.00
ATM IV	33.5%	27.2%	38.8%	31.0%	28.2%
Expected Move	9.6%	7.8%	11.1%	8.9%	8.1%
Term Structure	7.5%	-3.9%	26.5%	9.0%	-0.5%
VWIV	32.5%	20.5%	43.6%	43.6%	35.8%
Skew 25d	0.9%	-18.9%	13.4%	-18.9%	-8.4%
Skew 10d	0.6%	-16.1%	13.4%	-16.1%	-2.2%
Call IV 25d	57.0%	39.8%	68.4%	66.8%	68.4%
Put IV 25d	57.8%	47.8%	64.4%	47.8%	60.0%
Bid-Ask Spread %	108.89	91.14	140.76	140.76	94.31
Gamma HHI	0.83	0.49	1.00	1.00	0.77
Net GEX	-1.2K	-3.5K	0	0	-3.5K
Net DEX	6.3K	-4.3K	21.6K	0	12.1K
Net VEX	-205	-483	0	0	-483
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.00	3.14	2.67	0.00
Total Volume	10.071	0	37	1	1
Total OI	42.857	0	120	0	120

Daily Data (14 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
2010-07-13	$31.46	$0.00	31.0%	8.9%	0.0%	0.0%	0.0%	0.0%	9.0%	0	0	0	0.00	140.76	N/A	N/A	0	1	0	0
2010-07-14	$31.36	$0.00	31.6%	9.1%	0.0%	0.0%	0.0%	0.0%	10.8%	-26	635	-6	0.00	138.26	N/A	N/A	0	0	0	1
2010-07-15	$31.58	$0.00	30.3%	8.7%	0.0%	0.0%	0.0%	0.0%	3.1%	-32	335	-4	0.00	138.19	N/A	N/A	0	0	0	1
2010-07-16	$30.58	$0.00	32.0%	9.2%	0.0%	0.0%	43.6%	0.0%	7.8%	-33	421	-5	0.00	138.35	N/A	N/A	0	1	0	1
2010-07-19	$31.12	$35.00	37.5%	10.8%	0.0%	0.0%	26.5%	-18.9%	7.4%	-63	1.9K	-4	2.67	91.14	N/A	N/A	3	8	0	2
2010-07-20	$31.00	$35.00	38.8%	11.1%	0.0%	0.0%	0.0%	13.2%	7.3%	-218	9.3K	-87	0.00	93.38	N/A	N/A	0	6	3	10
2010-07-21	$30.24	$35.00	38.5%	11.0%	0.0%	0.0%	0.0%	13.4%	7.4%	-572	18.4K	-118	0.00	94.29	N/A	N/A	0	6	3	16
2010-07-22	$31.70	$35.00	35.7%	10.2%	0.0%	0.0%	20.5%	12.1%	4.0%	-1.1K	21.6K	-159	0.40	93.36	N/A	N/A	20	8	3	21
2010-07-23	$31.80	$35.00	35.9%	10.3%	0.0%	0.0%	35.9%	-6.0%	7.5%	-1.0K	8.9K	-262	1.43	109.96	N/A	N/A	15	22	13	28
2010-07-26	$32.28	$30.00	27.2%	7.8%	0.0%	0.0%	0.0%	1.0%	26.5%	-931	-4.3K	-403	0.00	95.03	N/A	N/A	0	24	28	49
2010-07-27	$32.84	$30.00	36.8%	10.5%	0.0%	0.0%	35.8%	0.3%	-3.9%	-2.1K	211	-456	0.00	98.45	N/A	N/A	0	6	28	68
2010-07-28	$32.48	$30.00	35.1%	10.1%	0.0%	0.0%	0.0%	0.2%	18.9%	-3.4K	14.0K	-442	1.25	100.33	N/A	N/A	2	3	28	72
2010-07-29	$32.76	$30.00	30.6%	8.8%	0.0%	0.0%	0.0%	1.7%	-0.7%	-3.2K	4.4K	-445	3.14	98.56	N/A	N/A	4	11	30	75
2010-07-30	$32.62	$30.00	28.2%	8.1%	0.0%	0.0%	0.0%	-8.4%	-0.5%	-3.5K	12.1K	-483	0.00	94.31	N/A	N/A	1	0	34	86