EWP Options History — June 2010

In June 2010, EWP traded between $30.14 and $36.32. ATM implied volatility averaged 53.0%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 12.3% (HV 20d: 65.3%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.78.

Notable Days

  • 2010-06-17: Highest Volume — 5,149 contracts
  • 2010-06-08: Largest IV drop — 24.7% change
  • 2010-06-07: Highest IV Rank — 59.0%
  • 2010-06-07: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.42$30.14$36.32$32.46$31.83
Max Pain$40.50$38.00$43.00$38.00$39.00
ATM IV53.0%42.1%69.4%64.5%53.5%
Expected Move15.3%12.1%19.0%18.5%15.3%
HV 20d65.3%52.6%82.4%82.4%53.3%
HV 60d57.1%52.3%59.7%52.3%59.7%
IV Rank40.0%27.2%59.0%53.2%40.5%
IV Percentile87.4%81.0%96.8%93.3%87.3%
Term Structure0.2%-5.2%6.9%-3.3%1.6%
VWIV51.9%36.7%68.6%59.2%51.8%
Skew 25d11.3%4.3%18.1%16.2%12.6%
Skew 10d19.8%9.4%39.4%32.7%20.7%
Call IV 25d48.9%41.1%59.9%56.5%48.3%
Put IV 25d60.3%46.6%74.7%72.6%61.0%
Bid-Ask Spread %33.0319.4794.6433.1320.67
Gamma HHI0.200.120.350.130.24
Net GEX-55.3K-338.5K424.1K-181.0K-265.6K
Net DEX6.3M-6.1M12.6M10.5M12.6M
Net VEX-24.1K-37.8K-15.7K-21.4K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0633.751.442.71
Total Volume1,005.9091415,149293141
Total OI10,443.2277,27414,1057,84110,741

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$32.46$38.0064.5%18.5%82.4%53.2%59.2%16.2%-3.3%-181.0K10.5M-21.4K1.4433.13N/AN/A1201732,1015,740
2010-06-02$33.65$38.0058.6%16.8%80.2%46.4%61.5%14.9%-2.0%-183.2K9.5M-22.6K2.4932.59N/AN/A471172,1575,781
2010-06-03$32.88$38.0058.1%16.7%79.8%45.8%60.0%10.2%-2.8%-188.2K10.3M-20.4K0.4634.17N/AN/A151692,2015,753
2010-06-04$30.63$43.0064.4%18.0%79.7%53.2%68.6%18.1%-4.0%-176.0K12.0M-17.4K33.7527.86N/AN/A82702,3525,786
2010-06-07$30.14$42.0069.4%19.0%79.7%59.0%65.2%14.8%-5.2%-170.9K12.1M-15.7K0.2240.11N/AN/A6431392,3535,765
2010-06-08$30.51$42.0052.3%17.0%60.5%39.1%55.3%13.8%-1.1%-114.1K11.8M-15.7K0.1024.58N/AN/A2,5302632,9905,781
2010-06-09$30.45$42.0054.9%17.2%59.7%42.2%50.5%15.0%-2.7%194.3K9.8M-19.5K0.4894.64N/AN/A192925,2735,912
2010-06-10$32.78$42.0058.7%16.8%66.4%46.5%59.5%9.7%-3.6%148.0K4.3M-23.2K0.4324.76N/AN/A2,1819325,3085,935
2010-06-11$34.01$42.0054.3%15.6%67.2%41.4%54.5%12.9%-0.3%311.2K645.9K-27.7K2.9325.23N/AN/A1735077,0376,690
2010-06-14$33.79$42.0055.0%15.8%63.8%42.3%59.6%12.8%0.3%342.6K1.3M-24.8K0.3523.29N/AN/A110387,1256,844
2010-06-15$35.73$42.0052.3%15.0%66.8%39.2%40.9%10.7%1.6%280.5K-6.1M-21.8K0.2925.99N/AN/A6861987,1806,840
2010-06-16$35.32$42.0051.9%14.9%66.8%38.6%53.8%9.8%2.8%332.0K-3.0M-20.7K0.6225.43N/AN/A3902426,9146,976
2010-06-17$35.60$42.0050.1%14.4%66.2%36.5%49.4%9.7%1.8%424.1K-4.0M-20.5K0.0628.66N/AN/A4,8712786,9987,107
2010-06-18$36.32$42.0044.0%12.6%64.8%29.5%43.9%8.2%6.9%-90.1K-4.4M-16.8K0.5932.46N/AN/A9085336,0997,059
2010-06-21$35.93$39.0043.7%12.5%62.3%29.1%36.7%5.9%4.5%-338.5K5.8M-18.4K1.0637.82N/AN/A4224471,4685,806
2010-06-22$35.49$39.0042.1%12.1%59.1%27.2%40.2%4.3%4.1%-304.7K7.1M-20.4K1.9832.99N/AN/A1262501,7786,144
2010-06-23$34.68$40.0044.9%12.9%59.8%30.5%46.3%8.8%1.4%-240.5K8.3M-25.6K1.0341.32N/AN/A9851,0171,8076,247
2010-06-24$33.62$40.0047.3%13.5%58.3%33.3%39.2%10.7%1.5%-251.2K9.4M-37.8K0.7731.60N/AN/A6454972,7907,226
2010-06-25$33.96$39.0045.3%13.0%52.6%30.9%46.8%9.4%3.9%-238.9K9.2M-37.8K2.5134.70N/AN/A771933,1217,341
2010-06-28$33.63$39.0047.0%13.5%52.7%33.0%49.3%9.3%1.3%-247.2K9.7M-36.3K2.1335.09N/AN/A621323,1917,417
2010-06-29$31.81$39.0054.6%15.7%55.1%41.8%49.0%11.4%-2.5%-259.7K12.3M-33.4K4.8519.47N/AN/A472283,2537,364
2010-06-30$31.83$39.0053.5%15.3%53.3%40.5%51.8%12.6%1.6%-265.6K12.6M-32.7K2.7120.67N/AN/A381033,2817,460