EWP Options History — May 2010

In May 2010, EWP traded between $31.53 and $39.69. ATM implied volatility averaged 57.9%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 8.9% (HV 20d: 66.8%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 7.49.

Notable Days

  • 2010-05-07: Highest Volume — 20,341 contracts
  • 2010-05-04: Largest IV spike — 51.1% change
  • 2010-05-06: Highest IV Rank — 57.4%
  • 2010-05-06: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$31.53$39.69$39.69$33.58
Max Pain$38.90$38.00$42.00$41.00$38.00
ATM IV57.9%36.8%71.4%36.8%58.5%
Expected Move16.8%10.6%20.5%10.6%16.8%
HV 20d66.8%33.5%82.0%33.5%82.0%
HV 60d44.0%28.4%52.5%28.4%52.5%
IV Rank44.9%19.8%57.4%19.8%46.3%
IV Percentile90.9%79.8%96.0%79.8%89.7%
Term Structure-1.9%-5.0%1.0%0.3%-1.2%
VWIV56.3%38.2%71.1%38.2%62.3%
Skew 25d15.4%4.7%33.7%9.7%14.5%
Skew 10d28.0%9.8%46.7%18.1%30.2%
Call IV 25d51.6%32.4%61.6%32.4%53.2%
Put IV 25d67.0%42.1%83.7%42.1%67.7%
Bid-Ask Spread %39.9022.36106.7027.4029.91
Gamma HHI0.340.130.900.330.13
Net GEX272.1K-282.8K3.8M-282.8K-177.1K
Net DEX7.2M-34.3M29.6M7.1M9.3M
Net VEX-27.3K-76.0K-14.8K-21.9K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.490.0234.110.706.26
Total Volume2,678.859820,341160392
Total OI9,746.854,17224,7844,1727,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$39.69$41.0036.8%10.6%33.5%19.8%38.2%9.7%0.3%-282.8K7.1M-21.9K0.7027.40N/AN/A94666903,482
2010-05-04$36.83$42.0055.6%16.0%41.9%40.3%51.5%4.7%-3.3%-182.0K8.8M-18.8K0.7854.51N/AN/A6705236813,507
2010-05-05$35.59$42.0058.5%16.8%42.9%43.4%50.4%5.9%-3.0%-133.5K9.4M-21.0K6.5044.67N/AN/A241561,2793,927
2010-05-06$33.15$42.0071.4%20.5%48.1%57.4%59.0%33.7%-1.9%-94.4K9.8M-18.2K25.86106.70N/AN/A631,6291,2983,983
2010-05-07$33.41$38.0065.4%17.7%45.7%50.9%58.8%15.3%-0.4%-66.5K8.3M-14.8K0.0257.91N/AN/A19,8804611,3453,381
2010-05-10$38.27$38.0042.9%13.3%69.6%26.4%45.9%13.1%0.6%3.8M-34.3M-76.0K0.0567.36N/AN/A13,57268821,2143,570
2010-05-11$36.83$38.0044.8%14.0%70.3%30.4%45.1%12.2%-0.7%1.2M-661.9K-36.8K5.1934.03N/AN/A623228,6033,921
2010-05-12$37.18$39.0042.2%14.0%70.3%27.4%47.4%11.9%-1.3%1.3M-1.7M-38.2K11.2538.11N/AN/A8908,6094,157
2010-05-13$35.92$39.0049.5%14.2%70.8%35.9%45.4%12.5%1.0%987.9K5.1M-29.7K0.0536.32N/AN/A6,6563628,6084,188
2010-05-14$33.84$39.0064.1%18.4%72.8%52.9%60.6%18.7%-2.0%-63.8K29.6M-26.4K2.1623.45N/AN/A1,1222,4258,90310,999
2010-05-17$33.81$38.0062.9%18.0%72.9%51.5%57.0%19.5%-1.6%166.9K10.3M-27.1K34.1127.26N/AN/A186149,5985,651
2010-05-18$33.38$38.0064.1%18.4%72.7%52.8%57.3%17.9%-4.2%-139.2K11.3M-22.3K5.6130.39N/AN/A1176562,9555,503
2010-05-19$34.30$38.0061.4%17.6%73.9%49.7%63.7%16.6%-4.0%-136.9K10.9M-25.6K18.3827.14N/AN/A81473,0446,032
2010-05-20$33.06$38.0067.9%19.5%74.4%57.3%62.0%18.9%-5.0%-164.3K11.9M-24.4K16.8644.94N/AN/A213543,0446,112
2010-05-21$34.90$38.0060.7%17.4%77.8%48.9%68.9%16.6%-2.7%57.7K10.2M-26.5K2.6728.08N/AN/A1784763,0636,058
2010-05-24$33.07$38.0067.6%19.4%79.3%56.9%71.1%16.5%-4.2%-154.5K9.3M-24.3K1.6822.36N/AN/A1252101,7585,319
2010-05-25$33.07$38.0064.5%18.5%77.0%53.3%63.5%16.5%-3.4%-168.1K9.7M-23.7K6.3333.81N/AN/A1056651,8475,484
2010-05-26$31.53$38.0063.2%18.1%78.2%51.8%63.1%18.0%-1.4%-172.7K11.7M-21.3K1.2432.82N/AN/A1611991,9405,854
2010-05-27$33.84$38.0056.6%16.2%82.0%44.1%55.9%15.4%0.6%-166.3K8.9M-24.6K4.0630.87N/AN/A512072,0405,570
2010-05-28$33.58$38.0058.5%16.8%82.0%46.3%62.3%14.5%-1.2%-177.1K9.3M-24.1K6.2629.91N/AN/A543382,0715,649