EWP Options History — July 2010

In July 2010, EWP traded between $33.32 and $40.11. ATM implied volatility averaged 36.7%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 9.6% (HV 20d: 46.3%). Max pain ranged from $34.00 to $39.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.57.

Notable Days

  • 2010-07-30: Highest Volume — 2,767 contracts
  • 2010-07-15: Largest IV spike — 24.7% change
  • 2010-07-01: Highest IV Rank — 36.9%
  • 2010-07-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.57$33.32$40.11$33.32$39.47
Max Pain$35.62$34.00$39.00$39.00$35.00
ATM IV36.7%27.2%50.4%50.4%27.9%
Expected Move11.1%7.8%14.4%14.4%8.0%
HV 20d46.3%38.7%55.4%55.4%38.7%
HV 60d61.9%59.9%62.9%60.6%59.9%
IV Rank21.0%10.0%36.9%36.9%10.7%
IV Percentile63.4%17.9%84.9%84.9%22.2%
Term Structure2.6%-1.6%6.7%3.8%5.2%
VWIV40.1%28.4%51.1%51.1%29.8%
Skew 25d8.0%4.8%11.1%10.3%7.8%
Skew 10d14.7%10.1%25.9%25.9%14.4%
Call IV 25d36.4%24.2%46.1%44.7%24.2%
Put IV 25d44.3%31.9%57.2%55.0%31.9%
Bid-Ask Spread %27.4311.6754.6828.2754.68
Gamma HHI0.170.110.270.220.17
Net GEX79.4K-275.4K744.8K-260.0K744.8K
Net DEX-1.4M-15.1M10.5M10.5M-15.1M
Net VEX-30.5K-35.3K-26.5K-34.7K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.0113.334.830.07
Total Volume560.476432,7674552,767
Total OI9,078.2864,50911,56910,7899,251

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$33.32$39.0050.4%14.4%55.4%36.9%51.1%10.3%3.8%-260.0K10.5M-34.7K4.8328.27N/AN/A783773,2897,500
2010-07-02$33.35$39.0049.2%14.1%48.5%35.5%48.6%9.6%4.3%-275.4K10.2M-35.3K2.0527.92N/AN/A40823,3477,596
2010-07-06$34.74$35.0048.1%14.3%49.5%34.3%47.8%11.1%1.8%-216.7K7.8M-34.8K1.8111.67N/AN/A641163,3877,629
2010-07-07$36.97$35.0040.3%13.0%53.3%25.2%45.9%6.4%3.1%-101.0K3.3M-32.6K2.0314.08N/AN/A1953963,4247,640
2010-07-08$37.47$35.0040.0%12.8%53.1%24.9%45.9%4.9%0.6%-122.4K2.6M-31.9K2.1015.37N/AN/A992083,3807,835
2010-07-09$37.40$35.0036.9%12.7%47.6%21.2%47.2%6.2%-0.7%-72.5K2.6M-30.9K11.3616.54N/AN/A475343,3957,840
2010-07-12$36.91$35.0038.0%12.5%46.7%22.5%48.1%7.5%-0.1%42.9K4.5M-29.3K3.3415.65N/AN/A672243,4018,168
2010-07-13$37.68$36.0035.2%12.0%46.9%19.2%44.5%6.4%-1.6%-11.2K2.4M-28.6K13.3316.69N/AN/A3403,3668,031
2010-07-14$37.75$36.0032.2%11.9%43.0%15.8%44.7%7.8%-1.2%35.1K2.3M-27.5K0.6317.81N/AN/A52333,3508,047
2010-07-15$38.18$36.0040.2%11.5%42.7%25.1%40.0%6.8%0.8%-48.0K1.6M-27.0K0.4215.78N/AN/A104443,3198,057
2010-07-16$36.97$36.0042.0%12.0%44.6%27.1%42.8%9.7%1.3%99.3K3.8M-27.4K1.0317.19N/AN/A1491543,2838,090
2010-07-19$37.45$36.0037.3%10.7%44.2%21.7%37.1%9.6%3.9%-14.1K-1.1M-26.5K0.0820.45N/AN/A881731,9132,596
2010-07-20$38.03$36.0034.4%9.9%44.3%18.4%34.5%7.6%4.6%105.5K-3.4M-28.8K0.1424.81N/AN/A287392,7742,615
2010-07-21$36.56$36.0033.8%9.7%46.5%17.7%37.6%10.8%4.4%137.7K-1.9M-30.6K0.0323.76N/AN/A1,294453,0472,609
2010-07-22$38.34$34.0033.6%9.6%48.3%17.3%33.7%9.8%4.0%270.4K-7.5M-33.2K0.2928.17N/AN/A317934,1292,645
2010-07-23$38.94$34.0031.8%9.1%46.4%15.3%37.9%8.5%3.1%260.8K-8.6M-31.4K1.4539.13N/AN/A971414,1812,688
2010-07-26$39.49$35.0032.8%9.4%46.5%16.5%31.5%7.1%2.4%266.8K-9.8M-29.7K0.0549.46N/AN/A279154,2352,792
2010-07-27$40.11$35.0029.6%8.5%46.1%12.8%35.7%4.8%3.9%279.8K-11.3M-28.6K3.5947.77N/AN/A582084,4032,796
2010-07-28$39.77$35.0030.4%8.7%40.0%13.7%28.4%7.2%3.5%270.0K-10.6M-29.8K5.1944.75N/AN/A211094,3852,883
2010-07-29$40.06$35.0027.2%7.8%39.8%10.0%28.5%7.1%6.7%275.7K-11.3M-28.0K0.0145.98N/AN/A1,912284,4062,922
2010-07-30$39.47$35.0027.9%8.0%38.7%10.7%29.8%7.8%5.2%744.8K-15.1M-34.9K0.0754.68N/AN/A2,5851826,3102,941