EWP Options History — September 2010

In September 2010, EWP traded between $37.85 and $41.37. ATM implied volatility averaged 28.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.1% (HV 20d: 30.9%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.14.

Notable Days

  • 2010-09-09: Highest Volume — 880 contracts
  • 2010-09-22: Largest IV spike — 20.8% change
  • 2010-09-09: Highest IV Rank — 15.2%
  • 2010-09-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.73$37.85$41.37$38.39$40.65
Max Pain$35.86$34.00$38.00$36.00$38.00
ATM IV28.8%23.8%31.7%31.2%28.5%
Expected Move8.5%6.8%10.6%9.0%8.2%
HV 20d30.9%27.3%36.9%34.5%27.6%
HV 60d37.4%32.3%41.9%41.9%32.3%
IV Rank11.8%6.0%15.2%14.7%11.5%
IV Percentile34.4%5.2%54.8%53.6%31.3%
Term Structure5.1%0.5%10.2%2.2%3.7%
VWIV31.4%22.5%37.2%32.6%29.0%
Skew 25d8.7%3.8%15.3%5.6%7.0%
Skew 10d19.5%9.6%26.3%12.5%19.4%
Call IV 25d26.4%21.1%30.0%28.1%26.8%
Put IV 25d35.1%30.6%42.2%33.7%33.8%
Bid-Ask Spread %76.8750.33101.1150.3383.02
Gamma HHI0.210.120.490.140.16
Net GEX452.2K-49.0K1.5M656.3K-13.2K
Net DEX-13.0M-30.8M-2.5M-10.4M-4.6M
Net VEX-24.1K-39.4K-15.0K-37.1K-16.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0410.337.040.16
Total Volume34431880643828
Total OI12,377.4769,03416,00212,5029,475

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$38.39$36.0031.2%9.0%34.5%14.7%32.6%5.6%2.2%656.3K-10.4M-37.1K7.0450.33N/AN/A805636,7415,761
2010-09-02$38.86$36.0027.6%7.9%34.9%10.5%27.6%6.6%4.6%688.9K-11.8M-39.4K0.1252.76N/AN/A271336,7726,287
2010-09-03$39.14$34.0027.2%10.6%35.1%9.9%35.9%15.3%0.5%720.3K-13.7M-38.5K1.6181.54N/AN/A33536,9846,301
2010-09-07$37.85$34.0030.1%9.8%36.7%13.3%34.4%14.3%8.1%885.9K-8.7M-37.1K0.2568.92N/AN/A4601147,0126,298
2010-09-08$38.20$34.0030.1%9.6%36.9%13.3%36.1%9.9%5.9%914.4K-11.5M-35.4K0.0574.81N/AN/A755377,4526,411
2010-09-09$38.60$34.0031.7%9.1%29.1%15.2%31.8%8.5%6.5%1.2M-15.9M-32.3K0.0470.24N/AN/A850308,2026,436
2010-09-10$38.72$34.0031.1%8.9%29.0%14.5%30.6%8.2%7.4%1.5M-18.8M-35.6K0.0580.12N/AN/A504259,0526,445
2010-09-13$39.60$34.0029.4%8.4%29.3%12.5%31.6%3.8%7.2%1.1M-27.3M-21.7K10.3387.67N/AN/A3319,5486,454
2010-09-14$40.11$34.0028.6%8.2%29.6%11.6%22.5%7.7%5.8%620.8K-29.3M-19.5K1.0778.51N/AN/A70759,5136,435
2010-09-15$40.06$34.0027.7%7.9%29.5%10.6%27.7%8.5%7.5%567.3K-29.5M-16.6K1.7178.95N/AN/A14249,4666,475
2010-09-16$40.26$34.0028.7%8.2%29.5%11.7%29.2%6.0%7.9%261.5K-30.8M-15.8K1.1579.87N/AN/A20239,4556,455
2010-09-17$39.50$34.0028.6%8.2%29.2%11.6%32.6%9.3%10.1%610.8K-28.5M-17.8K0.0075.25N/AN/A06199,4556,474
2010-09-20$40.24$37.0027.5%7.9%28.4%10.4%32.1%11.5%4.2%-49.0K-2.9M-20.0K0.4987.89N/AN/A63312,6496,410
2010-09-21$40.53$38.0023.8%6.8%28.4%6.0%31.3%9.5%10.2%11.4K-3.8M-17.7K0.04101.11N/AN/A337152,6216,413
2010-09-22$40.31$38.0028.7%8.2%27.3%11.8%30.6%6.8%3.9%-4.0K-3.9M-18.8K2.0078.56N/AN/A21422,6706,427
2010-09-23$39.58$38.0030.6%8.8%28.4%13.9%34.1%7.8%2.2%-35.4K-2.5M-18.8K3.6972.78N/AN/A1073952,6816,448
2010-09-24$41.37$38.0027.9%8.0%31.6%10.8%32.1%9.9%2.4%-19.3K-5.5M-18.0K6.3375.51N/AN/A12762,7756,810
2010-09-27$40.56$38.0029.0%8.3%31.9%12.1%31.5%7.1%2.8%-48.4K-4.0M-18.3K1.5875.10N/AN/A12192,7776,827
2010-09-28$41.03$38.0028.7%8.2%30.5%11.7%37.2%10.9%0.5%-46.6K-5.3M-16.0K0.0080.55N/AN/A05322,7896,818
2010-09-29$40.71$38.0028.2%8.1%30.8%11.1%29.0%8.4%3.0%-44.6K-5.0M-15.0K2.9280.76N/AN/A12352,7896,664
2010-09-30$40.65$38.0028.5%8.2%27.6%11.5%29.0%7.0%3.7%-13.2K-4.6M-16.4K0.1683.02N/AN/A7121162,7956,680