EWP Options History — December 2009

In December 2009, EWP traded between $47.99 and $52.16. ATM implied volatility averaged 27.9%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.8% (HV 20d: 22.1%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-12-23: Highest Volume — 131 contracts
  • 2009-12-08: Largest IV spike — 184.9% change
  • 2009-12-08: Highest IV Rank — 39.6%
  • 2009-12-11: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.60$47.99$52.16$52.16$48.04
Max Pain$50.14$50.00$51.00$51.00$50.00
ATM IV27.9%20.0%70.7%27.5%30.9%
Expected Move7.7%5.7%11.4%7.9%8.9%
HV 20d22.1%19.5%23.9%23.6%19.5%
HV 60d25.8%24.8%26.5%25.7%24.8%
IV Rank7.1%1.0%39.6%6.7%9.3%
IV Percentile11.4%0.4%79.4%4.0%42.9%
Term Structure1.9%-17.3%8.4%1.5%-9.9%
VWIV28.9%16.9%44.2%29.6%24.8%
Skew 25d5.6%1.1%12.3%1.1%2.5%
Skew 10d2.5%-9.2%22.0%2.6%13.2%
Call IV 25d26.3%16.7%54.3%27.5%42.7%
Put IV 25d31.9%23.2%58.3%28.6%45.2%
Bid-Ask Spread %93.2256.52154.9856.52154.98
Gamma HHI0.230.180.280.220.25
Net GEX-32.1K-45.5K-16.3K-19.1K-39.2K
Net DEX452.0K206.3K691.5K244.9K683.5K
Net VEX-2.9K-4.0K-2.1K-2.1K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.005.050.502.50
Total Volume24.5450131300
Total OI521.364317736317736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$52.16$51.0027.5%7.9%23.6%6.7%0.0%1.1%1.5%-19.1K244.9K-2.1K0.5056.52N/AN/A201014303
2009-12-02$51.91$51.0025.5%7.3%23.4%5.2%0.0%1.7%2.1%-16.3K206.3K-2.2K0.0066.56N/AN/A0034312
2009-12-03$51.66$51.0025.6%7.3%23.4%5.3%0.0%1.4%2.5%-16.5K216.3K-2.2K0.0063.70N/AN/A02534312
2009-12-04$51.54$50.0024.4%7.9%22.2%4.4%0.0%3.4%7.5%-18.8K231.2K-2.3K0.0074.65N/AN/A0034330
2009-12-07$51.53$50.0024.8%7.9%22.2%4.7%0.0%4.3%5.1%-19.8K226.7K-2.2K0.0075.65N/AN/A0034330
2009-12-08$50.17$50.0070.7%10.7%21.1%39.6%0.0%6.0%-9.0%-23.5K355.8K-2.5K0.00148.98N/AN/A0034330
2009-12-09$49.50$50.0025.9%8.6%21.5%5.5%29.6%4.5%3.6%-24.0K338.4K-2.3K5.0568.85N/AN/A2110634330
2009-12-10$49.37$50.0029.8%8.6%21.5%8.5%44.2%5.5%-3.0%-38.4K525.1K-3.0K0.0077.11N/AN/A10055424
2009-12-11$49.36$50.0039.9%11.4%21.4%16.1%36.9%3.9%-17.3%-33.8K607.0K-3.2K2.00152.16N/AN/A102065424
2009-12-14$49.71$50.0026.7%7.7%21.2%6.2%26.4%4.5%8.4%-30.7K369.6K-2.7K0.3580.96N/AN/A401475404
2009-12-15$49.28$50.0025.7%7.4%20.8%5.3%0.0%4.5%5.8%-20.5K311.1K-2.9K0.0079.49N/AN/A00115391
2009-12-16$49.89$50.0020.0%5.7%21.5%1.0%31.6%5.0%5.6%-18.7K215.8K-2.9K0.0080.35N/AN/A050115391
2009-12-17$48.30$50.0021.1%6.0%23.5%1.9%24.7%11.3%4.7%-38.9K549.7K-3.1K1.6090.25N/AN/A1016115441
2009-12-18$48.41$50.0026.9%7.7%23.3%6.3%0.0%5.6%3.9%-39.4K625.2K-3.1K0.0078.14N/AN/A02125452
2009-12-21$49.02$50.0021.5%6.2%23.5%2.2%16.9%10.3%5.4%-38.9K580.4K-3.1K0.0098.00N/AN/A025125450
2009-12-22$47.99$50.0027.6%7.9%23.6%6.8%0.0%12.3%2.7%-45.5K691.5K-2.9K0.0097.40N/AN/A100125475
2009-12-23$48.56$50.0023.9%6.9%23.9%4.0%24.6%8.0%4.2%-44.7K575.7K-3.0K1.6299.75N/AN/A5081135475
2009-12-24$48.83$50.0023.3%6.7%23.6%3.5%24.8%6.9%4.6%-45.5K589.6K-3.8K0.00103.21N/AN/A30165555
2009-12-28$48.86$50.0024.3%7.0%21.1%4.3%0.0%8.0%4.1%-44.4K571.7K-3.7K0.0099.70N/AN/A00168555
2009-12-29$48.81$50.0024.1%6.9%21.0%4.2%0.0%5.8%4.4%-44.6K574.7K-3.6K2.5099.23N/AN/A25168555
2009-12-30$48.41$50.0024.3%7.0%19.5%4.3%0.0%6.5%4.3%-44.5K654.1K-3.6K0.00105.24N/AN/A010170556
2009-12-31$48.04$50.0030.9%8.9%19.5%9.3%0.0%2.5%-9.9%-39.2K683.5K-4.0K0.00154.98N/AN/A00170566