EWP Options History — April 2010

In April 2010, EWP traded between $38.34 and $45.19. ATM implied volatility averaged 29.0%, 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 3.7% (HV 20d: 25.2%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 22.87.

Notable Days

  • 2010-04-27: Highest Volume — 2,018 contracts
  • 2010-04-27: Largest IV spike — 51.7% change
  • 2010-04-28: Highest IV Rank — 32.6%
  • 2010-04-28: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$38.34$45.19$43.26$39.62
Max Pain$44.24$42.00$45.00$43.00$43.00
ATM IV29.0%23.0%48.5%24.8%38.6%
Expected Move8.6%7.1%13.9%7.1%11.1%
HV 20d25.2%20.4%34.9%24.3%33.4%
HV 60d31.7%30.2%33.1%31.6%32.7%
IV Rank11.2%4.6%32.6%6.4%21.7%
IV Percentile27.5%2.4%86.9%6.7%81.3%
Term Structure0.9%-4.4%2.9%2.9%-1.0%
VWIV31.1%26.1%47.7%26.7%39.5%
Skew 25d6.7%3.9%13.2%6.2%12.5%
Skew 10d13.6%-0.8%21.9%8.6%15.6%
Call IV 25d26.7%21.9%40.5%22.0%33.6%
Put IV 25d33.4%25.8%49.0%28.2%46.1%
Bid-Ask Spread %27.1512.5050.3033.4231.84
Gamma HHI0.210.150.390.150.33
Net GEX-216.2K-356.9K-78.8K-236.1K-275.8K
Net DEX4.2M1.7M7.6M5.2M7.2M
Net VEX-11.1K-22.7K-8.2K-11.4K-22.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.870.36200.003.501.01
Total Volume28282,01845301
Total OI2,716.3811,2804,0653,1544,065

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$43.26$43.0024.8%7.1%24.3%6.4%26.7%6.2%2.9%-236.1K5.2M-11.4K3.5033.42N/AN/A10355642,590
2010-04-05$43.11$42.0025.6%8.1%21.1%7.2%27.4%5.0%1.4%-219.5K5.3M-10.1K0.0017.96N/AN/A0585712,615
2010-04-06$42.88$44.0025.9%8.2%21.2%7.5%28.1%5.5%0.8%-234.8K5.4M-10.7K39.5014.51N/AN/A2795712,627
2010-04-07$42.67$45.0026.0%8.1%20.8%7.6%0.0%5.2%1.8%-245.8K5.7M-10.2K0.0014.64N/AN/A085712,698
2010-04-08$42.53$45.0025.5%8.1%20.4%7.1%29.9%4.8%0.9%-245.9K5.8M-10.2K16.5013.79N/AN/A2335712,698
2010-04-09$43.96$44.0023.1%7.7%23.8%4.6%28.8%3.9%1.5%-232.2K4.6M-9.5K21.0012.50N/AN/A91895732,667
2010-04-12$44.67$45.0024.3%7.5%24.3%6.2%26.1%5.9%2.2%-268.2K4.0M-10.9K200.0015.38N/AN/A36005772,803
2010-04-13$44.71$45.0023.2%7.5%23.9%5.0%28.8%7.1%1.7%-306.9K2.7M-9.1K58.3329.76N/AN/A31755752,569
2010-04-14$45.19$45.0023.0%7.6%23.6%4.7%28.9%6.6%1.8%-287.2K1.9M-8.7K12.2830.09N/AN/A253075672,495
2010-04-15$44.94$45.0025.8%7.4%23.7%7.8%27.1%6.9%1.5%-335.7K1.7M-8.2K7.1429.50N/AN/A211505842,429
2010-04-16$43.86$45.0027.8%8.0%25.0%10.0%30.0%6.6%0.5%-356.9K2.6M-8.6K1.1724.31N/AN/A1762065912,409
2010-04-19$43.41$45.0028.8%8.3%24.4%11.1%29.2%6.9%1.7%-123.9K2.6M-8.4K5.3628.34N/AN/A361931131,167
2010-04-20$43.53$45.0026.8%7.7%24.1%8.9%27.8%7.8%1.3%-140.0K2.8M-9.6K9.0028.81N/AN/A191491,327
2010-04-21$42.47$45.0027.8%8.0%25.5%10.0%29.0%7.7%-0.4%-136.3K3.2M-9.2K0.7137.49N/AN/A86611491,320
2010-04-22$41.68$44.0028.5%8.2%23.9%10.8%29.5%4.5%0.6%-119.9K3.3M-9.3K8.6031.18N/AN/A10862331,353
2010-04-23$42.04$44.0028.0%8.0%23.8%10.2%29.3%6.6%1.4%-124.6K3.2M-9.6K0.0022.89N/AN/A0382431,394
2010-04-26$41.63$44.0028.1%8.1%23.4%10.4%31.3%5.7%1.5%-127.8K3.4M-9.4K0.3643.43N/AN/A70252431,422
2010-04-27$39.09$44.0042.7%12.2%31.9%26.2%41.4%3.9%-4.4%-78.8K4.0M-8.3K21.4250.30N/AN/A901,9283131,435
2010-04-28$38.34$44.0048.5%13.9%32.2%32.6%47.7%8.6%-2.2%-203.8K7.6M-18.4K0.9630.42N/AN/A2282183583,045
2010-04-29$39.61$43.0035.3%10.1%34.9%18.2%36.2%13.2%2.5%-239.6K6.8M-21.5K4.8629.60N/AN/A773745823,218
2010-04-30$39.62$43.0038.6%11.1%33.4%21.7%39.5%12.5%-1.0%-275.8K7.2M-22.7K1.0131.84N/AN/A1501516053,460