EWP Options History — August 2010

In August 2010, EWP traded between $36.13 and $41.63. ATM implied volatility averaged 32.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.2% (HV 20d: 35.5%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.53.

Notable Days

  • 2010-08-19: Highest Volume — 4,194 contracts
  • 2010-08-11: Largest IV spike — 32.0% change
  • 2010-08-25: Highest IV Rank — 21.8%
  • 2010-08-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.56$36.13$41.63$41.33$36.81
Max Pain$37.45$35.00$39.00$35.00$37.00
ATM IV32.3%22.7%37.4%25.3%33.2%
Expected Move9.4%6.5%10.7%7.3%9.5%
HV 20d35.5%29.7%41.5%40.8%30.0%
HV 60d48.5%41.1%58.6%58.6%41.1%
IV Rank15.9%4.8%21.8%7.8%16.9%
IV Percentile48.8%2.0%71.4%9.9%57.5%
Term Structure2.7%-1.6%6.9%5.4%3.0%
VWIV31.3%21.7%39.9%26.3%35.0%
Skew 25d5.8%3.0%8.8%3.0%6.7%
Skew 10d9.1%3.9%19.1%7.3%7.8%
Call IV 25d30.4%22.8%34.0%25.3%30.8%
Put IV 25d36.2%28.3%40.2%28.3%37.5%
Bid-Ask Spread %35.8516.8354.8944.7552.49
Gamma HHI0.210.130.730.190.15
Net GEX1.2M192.0K3.2M829.8K384.9K
Net DEX-15.3M-33.4M881.8K-29.4M-1.7M
Net VEX-37.9K-43.6K-26.2K-32.6K-37.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.0112.800.650.01
Total Volume693234,1944321,159
Total OI12,883.09110,52717,07811,95911,374

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$41.33$35.0025.3%7.3%40.8%7.8%26.3%3.0%5.4%829.8K-29.4M-32.6K0.6544.75N/AN/A2621708,8763,083
2010-08-03$41.63$35.0022.7%6.5%39.2%4.8%24.0%6.3%6.9%727.1K-31.2M-26.2K0.0542.03N/AN/A808418,9493,240
2010-08-04$41.35$35.0026.0%7.5%34.1%8.6%26.8%4.6%5.1%1.0M-30.2M-37.1K0.0339.88N/AN/A1,154359,6023,269
2010-08-05$41.43$35.0026.0%7.4%34.0%8.5%27.9%4.0%4.8%1.3M-33.0M-38.3K3.0036.54N/AN/A5115310,4763,284
2010-08-06$41.30$39.0025.5%8.9%34.1%8.0%32.3%6.0%-1.4%1.3M-32.9M-37.1K8.3616.83N/AN/A119210,4973,425
2010-08-09$41.42$39.0027.6%8.9%33.4%10.4%0.0%5.7%0.6%1.1M-33.4M-34.0K0.0016.91N/AN/A02310,5073,476
2010-08-10$41.00$39.0027.0%9.0%33.4%9.8%33.2%6.8%0.5%1.2M-31.9M-34.0K1.1819.61N/AN/A607110,4663,487
2010-08-11$38.41$39.0035.7%10.4%41.5%19.8%33.9%6.9%-0.2%1.5M-16.2M-43.0K0.3422.03N/AN/A85829510,1213,551
2010-08-12$38.22$39.0035.9%10.3%41.4%20.1%32.3%7.5%1.9%1.7M-15.8M-43.5K1.2022.25N/AN/A9311210,8163,622
2010-08-13$37.62$39.0036.0%10.3%40.1%20.2%21.7%6.0%1.0%1.6M-12.6M-42.5K0.0531.63N/AN/A2,53813910,8893,611
2010-08-16$37.79$39.0036.2%10.4%39.8%20.4%34.1%6.2%1.0%1.8M-13.3M-36.7K0.0027.49N/AN/A0269,7293,690
2010-08-17$38.13$39.0036.0%10.3%39.6%20.2%39.9%6.9%-1.6%1.9M-15.9M-35.1K0.0020.95N/AN/A0469,7293,677
2010-08-18$38.39$39.0033.9%9.7%36.8%17.8%34.0%7.0%3.7%2.0M-17.7M-33.7K0.1525.31N/AN/A1,1291649,7293,667
2010-08-19$37.58$37.0033.2%9.5%33.5%17.0%34.0%6.3%3.2%2.6M-12.9M-36.3K1.2832.56N/AN/A1,8372,35710,8093,816
2010-08-20$36.80$37.0035.4%10.2%33.7%19.5%24.1%4.3%3.3%3.2M-6.0M-43.6K5.4239.18N/AN/A8143911,0686,010
2010-08-23$36.99$37.0034.8%10.0%33.2%18.7%33.4%4.2%4.3%279.0K-1.6M-42.7K2.1738.47N/AN/A40875,0755,452
2010-08-24$36.31$37.0036.9%10.6%32.9%21.2%26.4%4.3%4.5%214.6K329.9K-40.0K7.9254.89N/AN/A241905,1115,535
2010-08-25$36.14$37.0037.4%10.7%32.8%21.8%38.5%5.0%2.2%192.0K881.8K-39.9K0.5454.65N/AN/A127695,1225,652
2010-08-26$36.13$37.0037.2%10.7%32.6%21.6%32.3%6.4%2.3%217.6K552.0K-41.5K2.7552.39N/AN/A12335,2465,702
2010-08-27$37.17$37.0033.2%9.5%34.4%17.0%33.6%8.8%4.3%304.6K-1.9M-38.4K12.8047.35N/AN/A5645,2585,735
2010-08-30$36.39$37.0034.6%9.9%29.7%18.6%33.7%4.4%5.0%284.3K-52.8K-39.4K0.1250.52N/AN/A350415,2625,733
2010-08-31$36.81$37.0033.2%9.5%30.0%16.9%35.0%6.7%3.0%384.9K-1.7M-37.2K0.0152.49N/AN/A1,15095,6125,762