EWP Options History — October 2009

In October 2009, EWP traded between $48.17 and $52.17. ATM implied volatility averaged 33.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 9.5% (HV 20d: 24.2%). Max pain ranged from $45.00 to $51.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-10-14: Highest Volume — 85 contracts
  • 2009-10-12: Largest IV spike — 323.7% change
  • 2009-10-12: Highest IV Rank — 64.5%
  • 2009-10-02: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.36$48.17$52.17$48.46$48.48
Max Pain$50.40$45.00$51.00$45.00$51.00
ATM IV33.8%18.6%104.7%28.8%32.3%
Expected Move9.1%7.8%18.1%8.3%9.3%
HV 20d24.2%22.5%32.3%22.5%32.3%
HV 60d24.0%23.0%27.3%24.0%27.3%
IV Rank10.7%0.0%64.5%5.5%10.4%
IV Percentile18.5%0.0%95.6%10.3%34.5%
Term Structure-1.5%-25.0%1.5%1.5%-1.6%
VWIV28.0%27.9%28.0%28.0%27.9%
Skew 25d3.8%0.1%10.7%5.1%1.1%
Skew 10d5.8%-6.4%34.0%-2.4%3.7%
Call IV 25d29.8%20.1%77.7%24.9%31.1%
Put IV 25d33.6%24.5%88.4%29.9%32.2%
Bid-Ask Spread %66.3833.80178.29103.3545.24
Gamma HHI0.220.130.380.370.18
Net GEX-15.5K-23.8K-6.4K-19.5K-21.0K
Net DEX172.1K-109.4K363.6K9.6K353.5K
Net VEX-1.8K-2.6K-938-1.3K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8.40908500
Total OI292.818254393287298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$48.46$45.0028.8%8.3%22.5%5.5%0.0%5.1%1.5%-19.5K9.6K-1.3K0.00103.35N/AN/A0049238
2009-10-02$48.17$45.0063.1%18.1%22.5%32.1%0.0%10.7%-25.0%-18.0K154.3K-1.6K0.00144.57N/AN/A0049238
2009-10-05$49.48$0.0028.2%8.5%22.9%5.0%0.0%6.6%-0.3%-12.0K-65.9K-1.1K0.0045.00N/AN/A2049238
2009-10-06$50.42$0.0027.3%8.3%22.9%4.3%28.0%1.2%1.2%-7.1K-109.4K-1.0K0.0046.53N/AN/A1051238
2009-10-07$50.11$51.0027.1%8.2%22.9%4.2%0.0%2.6%1.0%-10.8K70.7K-1.0K0.0047.30N/AN/A0016238
2009-10-08$50.58$51.0026.4%8.3%23.1%3.6%0.0%0.1%0.3%-8.3K54.6K-9410.0047.00N/AN/A02516238
2009-10-09$50.22$51.0024.7%8.2%23.3%2.3%27.9%1.1%1.3%-7.5K68.4K-1.0K0.0048.57N/AN/A1016263
2009-10-12$50.27$51.00104.7%9.8%23.0%64.5%0.0%7.0%-0.4%-19.7K139.0K-1.1K0.00102.97N/AN/A0017263
2009-10-13$50.14$51.0024.9%8.3%22.7%2.4%0.0%5.9%1.5%-7.2K66.4K-1.0K0.0048.35N/AN/A0017263
2009-10-14$51.54$51.0018.6%8.0%23.7%0.0%0.0%3.4%1.2%-6.4K43.3K-9380.0053.12N/AN/A08517263
2009-10-15$51.69$51.0037.5%10.8%23.4%14.4%0.0%7.6%-6.1%-23.8K233.8K-2.0K0.00178.29N/AN/A03017346
2009-10-16$50.88$51.0027.9%8.0%24.1%7.0%0.0%4.3%1.0%-15.6K232.1K-2.3K0.0049.71N/AN/A0017376
2009-10-19$51.76$51.0039.3%11.3%24.5%15.7%0.0%5.8%-9.1%-15.1K204.5K-2.2K0.00177.81N/AN/A02515251
2009-10-20$51.38$51.0028.1%8.1%24.1%7.2%0.0%2.3%1.0%-17.7K267.4K-2.5K0.0054.66N/AN/A0215276
2009-10-21$51.60$51.0027.4%7.9%23.8%6.7%0.0%2.2%0.6%-18.6K261.2K-2.4K0.0037.55N/AN/A0514278
2009-10-22$52.17$51.0027.1%7.8%23.3%6.5%0.0%2.8%1.1%-17.0K242.2K-2.4K0.0038.28N/AN/A0114278
2009-10-23$51.43$51.0027.7%7.9%24.0%6.9%0.0%2.9%1.2%-16.6K276.1K-2.5K0.0033.80N/AN/A0014279
2009-10-26$50.26$51.0029.1%8.3%24.6%8.0%0.0%3.8%0.2%-19.4K308.0K-2.6K0.0044.31N/AN/A0214279
2009-10-27$49.80$51.0030.5%8.7%24.8%9.0%0.0%3.0%-0.7%-20.0K313.1K-2.6K0.0036.98N/AN/A0014279
2009-10-28$48.48$51.0032.5%9.3%26.5%10.5%0.0%1.5%-1.6%-21.1K363.6K-2.6K0.0042.18N/AN/A0614279
2009-10-29$50.57$51.0029.7%8.5%28.3%8.4%0.0%3.4%-0.5%-19.7K299.6K-2.5K0.0034.80N/AN/A0014284
2009-10-30$48.48$51.0032.3%9.3%32.3%10.4%0.0%1.1%-1.6%-21.0K353.5K-2.6K0.0045.24N/AN/A0014284