EWP Options History — October 2010

In October 2010, EWP traded between $40.29 and $43.52. ATM implied volatility averaged 28.4%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.8% (HV 20d: 27.6%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.43.

Notable Days

  • 2010-10-05: Highest Volume — 739 contracts
  • 2010-10-14: Largest IV spike — 22.6% change
  • 2010-10-27: Highest IV Rank — 18.1%
  • 2010-10-04: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$40.29$43.52$40.87$42.94
Max Pain$40.67$38.00$42.00$38.00$42.00
ATM IV28.4%24.7%31.4%27.0%30.1%
Expected Move8.4%7.7%10.2%7.7%8.6%
HV 20d27.6%24.2%29.9%27.4%24.8%
HV 60d31.2%29.0%33.6%32.2%29.2%
IV Rank13.0%7.9%18.1%9.7%16.0%
IV Percentile32.2%8.3%57.5%18.7%46.4%
Term Structure3.4%1.1%8.4%5.2%1.8%
VWIV30.3%23.8%37.5%28.9%37.5%
Skew 25d5.8%3.5%8.5%6.9%5.4%
Skew 10d10.6%4.9%21.1%21.1%9.0%
Call IV 25d28.1%24.1%35.4%25.9%28.6%
Put IV 25d33.8%31.8%40.2%32.8%34.0%
Bid-Ask Spread %46.8727.2693.8984.1532.79
Gamma HHI0.240.120.770.180.20
Net GEX181.9K-14.1K502.2K178.3K39.6K
Net DEX-6.5M-15.0M-1.2M-6.3M-2.2M
Net VEX-11.1K-18.2K-5.8K-18.2K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.430.0076.500.072.91
Total Volume163.143273926886
Total OI6,491.3331,45010,71610,2072,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$40.87$38.0027.0%7.7%27.4%9.7%28.9%6.9%5.2%178.3K-6.3M-18.2K0.0784.15N/AN/A250183,4626,745
2010-10-04$40.29$40.0031.1%10.2%27.9%14.5%36.0%4.9%1.1%203.0K-5.8M-17.0K0.4589.85N/AN/A2093,7126,760
2010-10-05$42.25$40.0028.1%8.3%29.2%11.0%0.0%4.4%3.9%253.0K-10.6M-14.5K0.0147.57N/AN/A73453,7296,757
2010-10-06$42.36$40.0026.5%8.4%29.2%9.1%28.1%6.6%3.3%313.1K-10.3M-13.2K76.5027.26N/AN/A21533,5576,761
2010-10-07$42.28$40.0026.7%8.2%29.3%9.3%0.0%6.2%7.3%299.6K-10.4M-12.7K0.0148.33N/AN/A39853,5576,731
2010-10-08$42.50$40.0025.4%8.3%29.3%7.9%0.0%6.0%6.0%427.2K-12.2M-10.3K0.0034.47N/AN/A0423,8716,736
2010-10-11$42.09$40.0027.3%8.5%28.9%10.1%0.0%6.7%4.0%473.8K-11.2M-10.7K0.0029.43N/AN/A023,8716,735
2010-10-12$42.09$40.0027.6%8.4%28.7%10.5%0.0%6.2%4.6%502.2K-11.2M-11.0K1.2941.29N/AN/A14183,8716,737
2010-10-13$42.87$40.0024.7%8.0%29.2%9.4%0.0%4.5%5.4%348.5K-13.5M-9.1K0.2772.60N/AN/A41113,8846,728
2010-10-14$43.29$40.0030.3%8.7%29.3%18.0%29.7%8.5%3.1%271.8K-14.7M-7.7K0.2493.89N/AN/A177423,9096,723
2010-10-15$43.26$40.0026.9%7.7%28.1%11.0%28.1%5.1%8.4%399.5K-15.0M-8.1K4.0681.97N/AN/A311263,9756,741
2010-10-18$43.52$42.0028.1%8.1%27.6%12.9%23.8%3.5%1.6%-14.1K-1.2M-5.8K0.0034.72N/AN/A2110530920
2010-10-19$42.49$40.0029.8%8.5%29.3%15.5%27.9%5.6%2.0%15.6K-1.3M-9.3K0.0227.87N/AN/A471741920
2010-10-20$43.41$40.0028.5%8.2%29.9%13.4%28.2%5.2%2.2%20.7K-1.7M-9.3K5.3033.60N/AN/A1053786921
2010-10-21$42.98$42.0029.0%8.3%29.2%14.3%30.9%5.7%2.2%5.6K-1.7M-8.0K1.9735.45N/AN/A3671796973
2010-10-22$43.37$42.0029.2%8.4%25.2%14.6%30.3%4.7%2.2%213-1.6M-9.9K0.5832.12N/AN/A2551498171,044
2010-10-25$42.99$42.0029.7%8.5%24.2%15.4%32.2%4.9%1.8%32.4K-1.9M-11.3K8.7039.97N/AN/A10871,0721,193
2010-10-26$42.58$42.0029.9%8.6%24.3%15.6%0.0%5.4%1.6%13.5K-1.5M-11.7K0.5933.82N/AN/A32191,0821,280
2010-10-27$42.10$42.0031.4%9.0%24.6%18.1%32.3%7.3%1.5%6.1K-1.2M-10.8K0.1931.97N/AN/A216401,1031,299
2010-10-28$42.51$42.0030.0%8.6%24.7%15.8%0.0%7.1%1.3%30.1K-2.0M-12.1K0.0031.21N/AN/A501,3031,339
2010-10-29$42.94$42.0030.1%8.6%24.8%16.0%37.5%5.4%1.8%39.6K-2.2M-12.9K2.9132.79N/AN/A22641,3081,339