EWP Options History — September 2009

In September 2009, EWP traded between $45.54 and $50.87. ATM implied volatility averaged 30.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.9% (HV 20d: 25.0%). Max pain ranged from $39.00 to $47.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2009-09-01: Highest Volume — 154 contracts
  • 2009-09-16: Largest IV spike — 63.9% change
  • 2009-09-16: Highest IV Rank — 20.4%
  • 2009-09-16: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.04$45.54$50.87$46.21$50.03
Max Pain$45.05$39.00$47.00$46.00$45.00
ATM IV30.9%25.8%47.3%31.1%28.4%
Expected Move9.0%7.4%13.6%8.9%8.1%
HV 20d25.0%19.6%29.3%27.1%19.6%
HV 60d24.3%23.0%26.0%25.4%23.0%
IV Rank7.7%3.1%20.4%8.1%5.1%
IV Percentile14.6%0.4%43.3%24.6%7.1%
Term Structure0.5%-12.2%4.5%3.4%1.3%
VWIV29.1%17.0%37.9%34.1%17.0%
Skew 25d1.1%-3.6%6.6%-0.4%0.8%
Skew 10d-6.1%-9.3%1.6%-8.0%-4.5%
Call IV 25d30.0%22.1%47.4%30.2%27.5%
Put IV 25d31.0%24.2%43.8%29.9%28.3%
Bid-Ask Spread %108.0691.79200.0093.30104.19
Gamma HHI0.340.211.000.380.25
Net GEX-10.1K-18.0K6.3K6.3K-10.6K
Net DEX-9.6K-141.9K288.1K-35.3K-72.7K
Net VEX-1.2K-1.7K-73-647-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.100.000.00
Total Volume18.52401541540
Total OI261.1431432789287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$46.21$46.0031.1%8.9%27.1%8.1%34.1%-0.4%3.4%6.3K-35.3K-6470.0093.30N/AN/A01544940
2009-09-02$45.54$47.0031.5%9.0%27.4%8.5%0.0%-2.6%3.0%-16.2K288.1K-1.6K0.0099.16N/AN/A11049194
2009-09-03$46.09$47.0031.2%8.9%27.5%8.2%0.0%1.9%3.6%-14.4K226.3K-1.7K0.00108.02N/AN/A06059194
2009-09-04$47.22$46.0029.4%9.6%28.8%6.8%33.2%-1.6%-1.8%-6.6K100.0K-1.5K2.1091.79N/AN/A102159164
2009-09-08$48.12$46.0030.3%9.5%29.3%7.5%37.9%6.6%-0.5%-6.0K20.8K-1.5K0.0098.80N/AN/A03269184
2009-09-09$48.54$45.0030.0%9.6%29.3%7.3%0.0%0.3%0.1%-6.5K-21.5K-1.4K0.0098.37N/AN/A0069196
2009-09-10$48.58$45.0034.5%9.9%29.1%10.8%0.0%3.3%-2.0%-5.5K-14.4K-1.5K0.0099.20N/AN/A0069196
2009-09-11$48.49$45.0040.9%11.7%28.6%15.7%0.0%-3.6%-12.2%-14.4K14.4K-1.4K0.00134.48N/AN/A0069196
2009-09-14$49.05$45.0033.8%9.7%28.0%10.0%0.0%2.0%-1.5%-2.2K-69.2K-1.3K0.00102.49N/AN/A1069196
2009-09-15$49.62$45.0028.9%8.3%22.2%6.2%23.4%-0.0%3.6%-4.0K-141.9K-1.1K0.00106.53N/AN/A15065196
2009-09-16$50.59$39.0047.3%13.6%22.6%20.4%0.0%0.0%0.0%-6656.8K-730.00200.00N/AN/A00014
2009-09-17$50.12$45.0028.3%8.1%23.2%5.8%0.0%0.8%1.6%-14.5K-75.3K-1.1K0.00106.05N/AN/A0350246
2009-09-18$50.53$45.0028.5%8.2%23.0%6.0%0.0%1.3%1.0%-15.0K-107.9K-9870.00100.27N/AN/A04050249
2009-09-21$50.05$45.0028.0%8.0%21.9%5.6%0.0%1.6%1.1%-17.1K-17.8K-1.5K0.0098.73N/AN/A1049277
2009-09-22$50.87$45.0028.0%8.0%22.3%5.6%0.0%0.7%0.4%-13.2K-71.8K-1.2K0.00101.89N/AN/A0049277
2009-09-23$50.44$45.0028.5%8.2%22.2%5.2%0.0%1.9%2.5%-14.8K-51.3K-1.3K0.00100.65N/AN/A0149277
2009-09-24$49.71$45.0028.3%8.1%23.0%5.1%0.0%1.8%0.5%-18.0K-10.1K-1.4K0.0099.78N/AN/A0049278
2009-09-25$49.47$45.0025.8%7.4%22.8%3.1%17.0%5.1%4.5%-17.3K-14.4K-1.4K0.00120.52N/AN/A04049278
2009-09-28$50.41$45.0028.2%8.1%23.4%5.0%0.0%0.8%0.9%-10.2K-80.2K-1.1K0.00102.07N/AN/A0049238
2009-09-29$50.22$45.0028.3%8.1%23.5%5.0%0.0%0.9%1.1%-10.6K-73.7K-1.2K0.00102.87N/AN/A0049238
2009-09-30$50.03$45.0028.4%8.1%19.6%5.1%0.0%0.8%1.3%-10.6K-72.7K-1.1K0.00104.19N/AN/A0049238