EWP Options History — March 2010

In March 2010, EWP traded between $40.55 and $44.07. ATM implied volatility averaged 30.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 4.0% (HV 20d: 26.8%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 11.54.

Notable Days

  • 2010-03-05: Highest Volume — 470 contracts
  • 2010-03-05: Largest IV drop — 13.1% change
  • 2010-03-02: Highest IV Rank — 17.5%
  • 2010-03-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$40.55$44.07$40.55$42.24
Max Pain$42.96$42.00$45.00$45.00$43.00
ATM IV30.8%27.3%35.6%35.5%28.8%
Expected Move8.9%7.8%10.2%10.2%8.3%
HV 20d26.8%20.1%40.9%40.9%22.9%
HV 60d31.4%30.5%32.0%30.5%31.2%
IV Rank12.5%9.0%17.5%17.4%10.5%
IV Percentile43.0%14.3%61.1%60.7%28.6%
Term Structure1.1%-1.0%3.3%-0.3%0.4%
VWIV31.6%24.6%39.6%31.7%30.4%
Skew 25d6.7%4.8%13.3%5.0%6.1%
Skew 10d14.1%6.9%18.0%14.3%16.1%
Call IV 25d28.4%24.8%33.3%33.3%26.0%
Put IV 25d35.1%31.5%40.2%38.3%32.1%
Bid-Ask Spread %38.4720.98119.0839.9920.98
Gamma HHI0.210.150.490.170.16
Net GEX-203.9K-384.8K-96.5K-96.5K-219.7K
Net DEX5.2M4.1M6.4M5.3M6.0M
Net VEX-13.2K-16.3K-10.5K-10.6K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.540.0055.142.590.00
Total Volume176.43564702516
Total OI3,098.5652,4803,6012,4803,149

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$40.55$45.0035.5%10.2%40.9%17.4%31.7%5.0%-0.3%-96.5K5.3M-10.6K2.5939.99N/AN/A701816131,867
2010-03-02$40.93$43.0035.6%10.2%40.3%17.5%36.6%5.9%-0.7%-104.8K5.4M-10.7K29.0039.31N/AN/A41166311,919
2010-03-03$41.77$43.0034.4%9.9%40.5%16.3%34.0%5.1%-0.1%-128.9K5.1M-12.2K2.6828.92N/AN/A1012716352,001
2010-03-04$42.05$43.0034.5%9.9%39.7%16.4%36.3%7.3%-0.3%-140.1K5.3M-12.7K2.8030.86N/AN/A25707052,150
2010-03-05$43.49$42.0029.9%9.3%29.2%11.7%33.3%5.9%3.3%-170.0K4.4M-14.3K2.8238.20N/AN/A1233477202,218
2010-03-08$43.50$42.0031.4%9.4%28.9%13.1%34.2%5.8%2.8%-170.6K4.1M-14.3K1.8141.06N/AN/A1192158342,306
2010-03-09$43.00$42.0030.6%9.2%28.9%12.4%32.4%6.8%1.9%-185.8K4.8M-14.3K10.6241.30N/AN/A212238252,377
2010-03-10$43.46$43.0030.4%8.9%24.3%12.2%32.2%6.5%1.6%-209.7K4.7M-15.3K2.2246.01N/AN/A511138262,531
2010-03-11$43.49$43.0031.2%9.0%24.3%13.0%33.9%7.6%1.1%-217.4K4.9M-15.8K0.0040.83N/AN/A01228262,607
2010-03-12$43.79$43.0029.7%8.5%23.9%11.4%29.0%6.3%2.6%-227.3K4.6M-15.8K20.6742.25N/AN/A3628262,655
2010-03-15$43.32$43.0031.3%9.0%23.1%13.0%32.2%6.2%1.3%-245.5K5.1M-14.2K0.0039.59N/AN/A03558292,687
2010-03-16$44.00$43.0030.7%8.8%21.7%12.4%29.4%4.8%2.8%-251.0K4.3M-16.3K7.83119.08N/AN/A6478292,765
2010-03-17$44.07$43.0029.7%8.5%21.4%11.4%32.1%6.5%2.1%-303.3K4.4M-14.1K1.7345.21N/AN/A22388092,792
2010-03-18$43.54$43.0029.6%8.5%21.9%11.3%28.0%6.0%1.8%-344.6K5.0M-14.0K9.5039.95N/AN/A8767972,768
2010-03-19$42.79$43.0030.8%8.8%23.0%12.6%32.2%6.4%2.1%-384.8K6.4M-12.8K55.1428.14N/AN/A73867972,749
2010-03-22$42.38$43.0031.0%8.9%23.2%12.8%31.8%7.3%-1.0%-139.5K5.3M-11.5K0.8728.09N/AN/A30265382,009
2010-03-23$42.87$43.0027.8%8.0%20.1%9.5%28.0%6.2%1.1%-156.3K5.1M-11.4K14.0029.66N/AN/A101405232,011
2010-03-24$41.57$43.0029.9%8.6%23.5%11.7%39.6%13.3%-0.7%-128.2K6.1M-10.5K45.2026.21N/AN/A104525332,150
2010-03-25$41.97$43.0030.3%8.7%23.6%12.0%27.1%8.9%-0.1%-207.1K6.2M-12.7K0.0026.43N/AN/A0175432,576
2010-03-26$42.60$43.0027.3%7.8%23.4%9.0%24.6%7.9%1.1%-222.8K5.8M-13.5K0.0031.46N/AN/A0775432,587
2010-03-29$42.87$43.0028.0%8.0%23.5%9.7%26.3%6.5%0.4%-219.7K5.5M-12.8K0.1032.09N/AN/A1015432,558
2010-03-30$42.38$43.0029.1%8.4%23.9%10.9%30.4%6.4%0.9%-216.0K5.8M-12.2K9.7829.24N/AN/A9885532,557
2010-03-31$42.24$43.0028.8%8.3%22.9%10.5%0.0%6.1%0.4%-219.7K6.0M-11.7K0.0020.98N/AN/A605592,590