EWP Options History — January 2010

In January 2010, EWP traded between $43.09 and $50.02. ATM implied volatility averaged 30.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.9% (HV 20d: 24.0%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.24.

Notable Days

  • 2010-01-19: Highest Volume — 238 contracts
  • 2010-01-08: Largest IV spike — 227.7% change
  • 2010-01-08: Highest IV Rank — 49.0%
  • 2010-01-22: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.67$43.09$50.02$49.50$43.09
Max Pain$49.00$49.00$49.00$49.00$49.00
ATM IV30.9%22.4%83.2%23.2%30.4%
Expected Move8.6%7.2%15.2%8.2%8.7%
HV 20d24.0%20.0%28.7%22.9%28.7%
HV 60d25.6%24.6%27.3%25.5%24.6%
IV Rank11.2%2.9%49.0%3.5%12.2%
IV Percentile23.2%2.0%90.1%2.0%43.3%
Term Structure0.6%-15.5%5.1%1.2%2.8%
VWIV29.9%18.2%50.1%28.9%18.2%
Skew 25d2.7%-16.3%16.3%0.7%2.4%
Skew 10d6.9%-16.3%44.6%3.1%12.3%
Call IV 25d32.2%17.8%97.6%18.2%28.1%
Put IV 25d34.9%18.9%113.9%18.9%30.5%
Bid-Ask Spread %62.5617.36194.2551.3779.35
Gamma HHI0.290.250.430.280.35
Net GEX-24.1K-67.9K-4.3K-39.3K-15.2K
Net DEX386.3K131.3K776.5K391.7K776.5K
Net VEX-3.4K-4.4K-2.7K-3.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.000.800.200.80
Total Volume21.8420238018
Total OI656.474347761736581

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$49.50$49.0023.2%8.2%22.9%3.5%0.0%0.7%1.2%-39.3K391.7K-3.3K0.0051.37N/AN/A00170566
2010-01-05$49.80$49.0023.8%8.1%23.1%3.9%0.0%3.3%0.4%-36.2K311.4K-3.3K0.2029.78N/AN/A255170566
2010-01-06$49.96$49.0025.7%8.4%23.1%5.4%0.0%1.7%1.8%-29.9K192.4K-3.4K0.0037.48N/AN/A00195566
2010-01-07$49.70$49.0025.4%8.3%21.2%5.1%0.0%2.1%1.7%-32.1K279.9K-3.4K0.0035.09N/AN/A00195566
2010-01-08$49.96$49.0083.2%10.3%20.7%49.0%0.0%16.3%-7.7%-31.6K250.6K-3.6K0.00194.25N/AN/A00195566
2010-01-11$50.02$49.0022.4%8.0%20.7%2.9%28.9%3.5%3.4%-23.5K131.3K-3.0K0.0017.36N/AN/A05195566
2010-01-12$49.25$49.0024.4%8.1%21.5%4.4%0.0%4.4%2.3%-34.6K420.6K-3.0K0.0020.36N/AN/A00195566
2010-01-13$49.73$49.0023.3%8.0%21.6%3.5%0.0%3.8%2.6%-23.8K241.1K-2.9K0.0021.45N/AN/A010195566
2010-01-14$49.78$49.0025.2%7.2%21.4%6.8%27.0%4.1%5.1%-20.0K278.8K-2.8K0.0026.97N/AN/A070185576
2010-01-15$48.57$49.0026.9%7.7%22.6%8.6%0.0%4.7%3.2%-67.9K558.9K-2.9K0.0025.24N/AN/A30185556
2010-01-19$49.23$49.0025.3%7.2%20.0%6.9%25.2%3.8%2.2%-27.2K283.0K-2.7K0.2723.77N/AN/A1885067280
2010-01-20$47.44$49.0027.0%7.8%24.1%8.7%0.0%5.3%1.0%-4.3K143.2K-4.4K0.0034.75N/AN/A00255309
2010-01-21$45.62$49.0028.7%8.2%27.0%10.4%0.0%1.8%0.6%-8.9K419.4K-4.1K0.0065.25N/AN/A04255309
2010-01-22$44.74$49.0053.0%15.2%26.9%35.5%50.1%-16.3%-15.5%-9.9K445.5K-4.0K0.00158.53N/AN/A012255310
2010-01-25$45.41$49.0028.8%8.3%27.2%10.5%0.0%2.8%1.5%-10.2K414.7K-4.2K0.00150.20N/AN/A100255322
2010-01-26$45.44$49.0029.4%8.4%27.0%11.2%0.0%3.1%1.9%-13.6K501.4K-3.9K0.0066.06N/AN/A00255322
2010-01-27$44.90$49.0029.8%8.5%27.1%11.5%0.0%3.6%1.8%-14.5K583.2K-3.7K0.2077.17N/AN/A51255322
2010-01-28$43.53$49.0030.9%8.9%28.7%12.7%18.2%1.4%1.5%-14.6K715.1K-3.3K0.8074.28N/AN/A54260321
2010-01-29$43.09$49.0030.4%8.7%28.7%12.2%0.0%2.4%2.8%-15.2K776.5K-3.1K0.0079.35N/AN/A018260321