EWP Options History — November 2010

In November 2010, EWP traded between $34.57 and $43.08. ATM implied volatility averaged 32.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.2% (HV 20d: 26.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 9.34.

Notable Days

  • 2010-11-04: Highest Volume — 3,914 contracts
  • 2010-11-04: Largest IV drop — 19.2% change
  • 2010-11-30: Highest IV Rank — 44.3%
  • 2010-11-30: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.67$34.57$43.08$41.75$34.57
Max Pain$41.05$40.00$42.00$42.00$40.00
ATM IV32.7%24.2%48.0%31.6%48.0%
Expected Move9.6%6.9%13.8%9.1%13.8%
HV 20d26.5%22.5%32.5%26.5%31.9%
HV 60d28.5%26.9%30.2%29.7%29.6%
IV Rank20.1%6.6%44.3%18.4%44.3%
IV Percentile51.5%6.0%84.1%57.9%84.1%
Term Structure2.1%-3.6%5.4%1.9%-3.6%
VWIV31.8%20.1%48.9%32.4%48.9%
Skew 25d5.5%2.2%8.3%5.7%5.9%
Skew 10d11.8%2.4%21.5%10.2%21.5%
Call IV 25d30.2%22.6%44.2%29.5%44.2%
Put IV 25d35.7%30.2%50.0%35.2%50.0%
Bid-Ask Spread %47.7324.2880.4035.5264.25
Gamma HHI0.310.100.650.190.25
Net GEX-729.1K-2.1M21.9K21.9K-326.6K
Net DEX14.2M-2.1M31.8M-1.3M8.2M
Net VEX-19.8K-33.4K-11.5K-12.5K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.340.0044.5014.983.23
Total Volume812.857243,914895508
Total OI7,937.8572,72312,4742,7237,281

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$41.75$42.0031.6%9.1%26.5%18.4%32.4%5.7%1.9%21.9K-1.3M-12.5K14.9835.52N/AN/A568391,3301,393
2010-11-02$42.90$42.0030.6%8.8%22.5%16.9%25.9%7.0%1.0%-94.2K-1.3M-15.9K0.0046.74N/AN/A28101,3582,151
2010-11-03$42.77$41.0029.9%8.6%22.5%15.7%28.9%5.9%1.6%-72.2K-2.1M-16.7K44.5050.59N/AN/A83561,6372,151
2010-11-04$43.08$42.0024.2%6.9%22.6%6.6%24.7%8.0%5.4%-136.7K-2.1M-17.0K42.4950.76N/AN/A903,8241,6452,506
2010-11-05$41.68$41.0025.2%8.7%25.6%8.2%29.3%2.2%2.2%-1.4M10.6M-29.1K18.3424.28N/AN/A1372,5121,7136,247
2010-11-08$41.21$41.0026.3%8.8%25.7%10.0%29.8%4.4%3.1%-2.1M17.6M-31.3K27.9632.28N/AN/A451,2581,8398,508
2010-11-09$40.73$41.0026.8%8.7%25.9%10.8%30.7%2.6%2.2%-2.1M22.6M-33.4K1.7233.16N/AN/A25431,8749,690
2010-11-10$40.65$41.0026.5%8.6%24.8%10.3%20.1%4.2%4.0%-2.1M24.4M-30.0K8.2241.65N/AN/A181481,8939,718
2010-11-11$39.86$41.0031.6%9.0%25.1%18.3%31.2%4.4%3.2%-1.5M28.2M-23.5K1.1146.75N/AN/A1471631,9089,819
2010-11-12$39.99$41.0031.9%9.1%25.2%18.8%31.9%4.5%3.2%-1.6M28.1M-24.9K0.3839.65N/AN/A39151,9899,912
2010-11-15$40.01$41.0032.0%9.2%25.0%19.0%0.0%4.9%3.5%-1.7M28.8M-21.2K0.0139.08N/AN/A50762,0289,925
2010-11-16$39.04$41.0033.5%9.6%25.0%21.4%29.9%3.9%2.6%-226.9K31.8M-16.3K1.8753.40N/AN/A831552,5239,930
2010-11-17$39.35$41.0033.9%9.7%23.6%22.0%30.8%6.2%2.6%-270.3K31.3M-16.1K0.0044.06N/AN/A2402,5469,914
2010-11-18$40.21$41.0031.3%9.0%25.3%17.8%29.8%6.3%3.7%-1.3M28.9M-15.3K0.1039.70N/AN/A3942,5609,914
2010-11-19$40.32$41.0031.1%8.9%25.0%17.6%28.8%6.7%3.5%-79.0K29.7M-12.7K0.8240.69N/AN/A1341102,5599,914
2010-11-22$38.90$41.0033.3%9.5%27.5%21.0%32.9%7.5%2.2%8.8K647.3K-11.5K0.9167.88N/AN/A1791631,2881,435
2010-11-23$37.16$41.0036.0%10.3%31.0%25.4%33.6%3.3%2.1%-22.7K1.9M-12.3K11.5743.05N/AN/A758681,3831,589
2010-11-24$37.48$41.0037.2%10.7%31.5%27.3%37.6%8.3%1.9%-101.8K2.8M-16.9K2.1267.09N/AN/A1292731,4262,411
2010-11-26$36.21$41.0040.1%11.5%32.5%31.8%36.9%8.1%0.2%-144.2K4.0M-15.7K2.7680.40N/AN/A1383811,5412,657
2010-11-29$35.21$40.0045.7%13.1%32.5%40.7%42.5%5.7%-3.1%-150.3K5.1M-16.1K13.0661.44N/AN/A2343,0561,6702,920
2010-11-30$34.57$40.0048.0%13.8%31.9%44.3%48.9%5.9%-3.6%-326.6K8.2M-27.2K3.2364.25N/AN/A1203881,8865,395