EWP Options History — November 2009

In November 2009, EWP traded between $48.35 and $52.65. ATM implied volatility averaged 31.4%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.7% (HV 20d: 30.7%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2009-11-16: Highest Volume — 13 contracts
  • 2009-11-30: Largest IV spike — 70.9% change
  • 2009-11-30: Highest IV Rank — 25.9%
  • 2009-11-30: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.08$48.35$52.65$48.73$51.15
Max Pain$51.10$51.00$52.00$51.00$51.00
ATM IV31.4%28.3%52.8%31.2%52.8%
Expected Move9.1%8.4%15.1%9.0%15.1%
HV 20d30.7%22.8%33.3%30.8%22.8%
HV 60d26.5%25.2%28.0%27.3%25.9%
IV Rank9.7%7.3%25.9%9.6%25.9%
IV Percentile28.0%9.9%61.5%32.5%61.5%
Term Structure-0.4%-13.4%1.5%-0.1%-13.4%
VWIV29.9%28.6%30.9%28.6%30.9%
Skew 25d3.0%0.5%14.0%0.5%14.0%
Skew 10d3.4%-7.0%14.1%5.3%14.0%
Call IV 25d31.2%28.6%56.7%31.5%56.7%
Put IV 25d34.2%30.1%70.7%32.0%70.7%
Bid-Ask Spread %62.0241.59193.8448.56193.84
Gamma HHI0.190.160.210.190.20
Net GEX-19.5K-22.0K-17.4K-21.1K-22.0K
Net DEX286.2K231.0K386.9K373.1K309.2K
Net VEX-2.3K-2.6K-2.1K-2.6K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.003.330.003.33
Total Volume1.901300
Total OI304.6296317298317

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$48.73$51.0031.2%9.0%30.8%9.6%0.0%0.5%-0.1%-21.1K373.1K-2.6K0.0048.56N/AN/A0014284
2009-11-03$48.35$51.0032.4%9.3%30.0%10.4%28.6%3.2%-1.3%-21.7K386.9K-2.6K0.0058.62N/AN/A1014284
2009-11-04$48.83$51.0031.1%8.9%30.3%9.5%0.0%2.4%-1.2%-21.4K345.9K-2.5K0.0051.06N/AN/A0013284
2009-11-05$49.97$51.0031.0%8.9%31.3%9.4%0.0%4.7%0.9%-20.3K315.1K-2.4K0.0041.59N/AN/A0013284
2009-11-06$50.11$51.0031.1%9.1%31.2%9.5%0.0%2.9%-0.1%-20.2K311.8K-2.4K0.0044.70N/AN/A0113284
2009-11-09$51.78$51.0028.3%8.9%33.3%7.3%0.0%2.5%0.3%-17.9K256.6K-2.2K0.0055.55N/AN/A0113283
2009-11-10$51.57$51.0029.1%8.9%33.3%7.9%0.0%2.8%-0.4%-18.8K261.2K-2.2K0.0046.00N/AN/A0013284
2009-11-11$51.47$51.0029.4%8.9%31.9%8.2%0.0%3.0%-0.3%-18.4K261.0K-2.2K0.0046.57N/AN/A0113284
2009-11-12$51.05$51.0031.0%8.9%32.0%9.4%0.0%3.4%0.4%-19.0K273.2K-2.3K0.0047.37N/AN/A0013283
2009-11-13$51.60$51.0029.5%8.5%31.7%8.3%0.0%2.1%0.7%-18.6K258.1K-2.2K0.0051.47N/AN/A0013283
2009-11-16$52.11$51.0030.0%8.6%31.3%8.7%0.0%2.6%0.7%-17.4K231.0K-2.1K3.3354.38N/AN/A31013283
2009-11-17$52.05$51.0029.9%8.6%31.2%8.5%0.0%2.3%0.7%-18.3K252.6K-2.2K0.0053.63N/AN/A0515293
2009-11-18$52.55$51.0030.2%8.7%31.3%8.8%0.0%1.0%0.7%-18.0K238.1K-2.2K0.0064.39N/AN/A01015291
2009-11-19$51.77$51.0029.9%8.6%31.6%8.6%0.0%2.0%0.5%-19.3K280.6K-2.3K0.0056.21N/AN/A0015301
2009-11-20$50.97$51.0030.6%8.8%31.7%9.1%0.0%2.9%0.2%-18.8K306.3K-2.4K0.0053.95N/AN/A0015301
2009-11-23$51.72$51.0029.7%8.5%30.9%8.4%0.0%2.6%1.0%-20.0K278.8K-2.3K0.0062.64N/AN/A0014301
2009-11-24$52.08$51.0029.9%8.6%30.7%8.6%30.0%1.2%0.4%-19.1K254.7K-2.2K0.0071.28N/AN/A0214301
2009-11-25$52.65$52.0029.3%8.4%28.8%8.1%0.0%1.0%1.5%-18.7K235.9K-2.1K0.0076.80N/AN/A0014303
2009-11-27$51.00$52.0030.9%8.9%27.8%9.3%30.9%2.0%-0.0%-21.2K293.6K-2.2K0.0061.82N/AN/A0414303
2009-11-30$51.15$51.0052.8%15.1%22.8%25.9%0.0%14.0%-13.4%-22.0K309.2K-2.2K0.00193.84N/AN/A0014303