EWP Options History — December 2010

In December 2010, EWP traded between $36.10 and $38.91. ATM implied volatility averaged 36.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.9% (HV 20d: 37.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.25.

Notable Days

  • 2010-12-02: Highest Volume — 888 contracts
  • 2010-12-15: Largest IV drop — 17.9% change
  • 2010-12-01: Highest IV Rank — 35.1%
  • 2010-12-01: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.49$36.10$38.91$36.65$36.74
Max Pain$38.27$38.00$40.00$40.00$38.00
ATM IV36.4%32.9%42.1%42.1%33.1%
Expected Move10.2%9.4%12.1%12.1%9.5%
HV 20d37.4%20.2%41.7%38.0%20.2%
HV 60d31.5%29.0%32.5%31.3%29.1%
IV Rank24.8%17.7%35.1%35.1%17.7%
IV Percentile64.9%50.4%79.8%79.8%50.4%
Term Structure2.5%-1.9%6.6%-1.5%3.7%
VWIV36.8%26.3%44.3%43.9%38.9%
Skew 25d8.7%5.8%10.5%10.2%7.8%
Skew 10d20.5%1.3%29.8%26.7%6.7%
Call IV 25d32.2%27.6%37.6%37.6%31.7%
Put IV 25d40.9%36.0%47.7%47.7%39.6%
Bid-Ask Spread %74.9161.4389.1766.8189.17
Gamma HHI0.190.140.250.220.17
Net GEX-399.3K-513.9K-268.8K-372.8K-362.6K
Net DEX4.0M1.5M6.0M5.7M4.2M
Net VEX-23.4K-28.9K-16.9K-28.1K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.2328.723.643.47
Total Volume276.09156888733134
Total OI8,265.2277,1069,0817,6558,404

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$36.65$40.0042.1%12.1%38.0%35.1%43.9%10.2%-1.5%-372.8K5.7M-28.1K3.6466.81N/AN/A1585751,9675,688
2010-12-02$37.87$40.0040.0%11.5%40.6%31.6%40.0%10.3%-1.9%-392.1K3.9M-27.2K4.2561.43N/AN/A1697192,0156,154
2010-12-03$38.50$40.0039.7%11.4%41.2%31.2%40.3%9.1%-1.2%-396.2K2.8M-25.5K2.8178.25N/AN/A641802,0066,237
2010-12-06$37.64$38.0040.3%10.9%40.4%32.2%40.9%9.2%0.4%-416.7K4.7M-27.4K1.2266.41N/AN/A1501832,0026,372
2010-12-07$37.47$38.0041.5%11.0%40.4%34.1%44.3%10.0%1.3%-394.5K4.8M-28.9K0.2365.30N/AN/A95222,0806,498
2010-12-08$38.39$38.0039.2%10.3%41.5%30.4%34.3%9.0%0.9%-424.9K2.7M-22.0K1.1372.35N/AN/A1501702,0366,488
2010-12-09$38.66$38.0036.7%10.1%41.7%26.4%32.5%8.2%2.6%-389.8K2.7M-24.0K2.9369.07N/AN/A27792,1446,526
2010-12-10$38.61$38.0033.7%9.8%41.2%21.8%32.8%8.1%1.5%-356.6K1.9M-18.3K3.0072.13N/AN/A14422,1596,558
2010-12-13$38.91$38.0039.0%9.6%41.3%30.2%26.3%10.4%4.2%-313.5K1.5M-18.3K2.0470.07N/AN/A531082,1736,584
2010-12-14$38.78$38.0040.3%9.6%41.3%32.2%38.4%7.6%3.5%-268.8K1.7M-17.9K0.0075.03N/AN/A02172,1516,662
2010-12-15$37.78$38.0033.1%9.5%41.4%20.8%35.2%6.4%6.6%-513.9K3.8M-20.0K1.3772.50N/AN/A1742392,1516,590
2010-12-16$38.05$38.0033.4%9.6%41.4%21.2%34.5%8.0%5.2%-464.6K3.2M-19.5K3.5771.66N/AN/A301072,2706,729
2010-12-17$37.44$38.0032.9%9.4%40.7%19.0%32.8%5.8%5.2%-485.1K4.7M-19.8K3.4471.57N/AN/A431482,2786,803
2010-12-20$37.50$38.0033.3%9.6%40.7%19.1%31.9%8.4%2.7%-405.9K2.8M-16.9K0.8774.76N/AN/A1431251,4545,652
2010-12-21$37.01$38.0034.0%9.7%39.1%20.2%33.3%9.3%3.6%-317.6K4.7M-25.9K1.4073.62N/AN/A891251,4165,712
2010-12-22$36.98$38.0033.4%9.6%35.6%18.2%41.7%9.9%5.4%-351.8K4.5M-24.2K28.7281.72N/AN/A257181,5045,794
2010-12-23$36.69$38.0033.4%9.6%35.5%18.2%33.5%10.5%3.2%-403.8K5.6M-27.0K0.9886.45N/AN/A42411,5286,439
2010-12-27$36.26$38.0035.5%10.2%33.6%21.5%35.7%8.8%3.2%-487.6K5.9M-23.8K0.9980.81N/AN/A69681,5376,446
2010-12-28$36.10$38.0036.9%10.6%31.9%23.8%36.9%7.2%1.2%-432.9K6.0M-24.9K1.1781.36N/AN/A1511771,5916,492
2010-12-29$36.45$38.0035.9%10.3%31.2%22.2%39.7%9.8%3.2%-407.3K5.4M-25.4K0.7782.78N/AN/A94721,7046,519
2010-12-30$36.34$38.0034.0%9.8%23.2%19.2%41.8%7.4%1.5%-426.3K5.3M-25.1K0.3184.76N/AN/A65201,7786,544
2010-12-31$36.74$38.0033.1%9.5%20.2%17.7%38.9%7.8%3.7%-362.6K4.2M-24.7K3.4789.17N/AN/A301041,8436,561