EWP Options History — January 2011

In January 2011, EWP traded between $34.28 and $41.87. ATM implied volatility averaged 30.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.3% (HV 20d: 28.6%). Max pain ranged from $33.00 to $39.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.42.

Notable Days

  • 2011-01-13: Highest Volume — 829 contracts
  • 2011-01-06: Largest IV spike — 10.4% change
  • 2011-01-10: Highest IV Rank — 25.0%
  • 2011-01-10: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.61$34.28$41.87$36.55$41.87
Max Pain$36.20$33.00$39.00$38.00$39.00
ATM IV30.9%27.7%34.6%32.8%27.7%
Expected Move9.1%7.9%11.1%9.4%7.9%
HV 20d28.6%17.2%36.8%19.1%36.8%
HV 60d32.3%29.1%34.2%29.1%34.2%
IV Rank15.9%10.2%25.0%17.2%10.2%
IV Percentile37.6%14.7%59.1%49.6%14.7%
Term Structure1.8%-0.5%5.4%3.1%2.4%
VWIV33.0%29.6%41.0%37.5%30.6%
Skew 25d7.0%3.3%19.4%7.4%3.5%
Skew 10d12.1%-0.3%27.3%27.3%5.8%
Call IV 25d29.6%20.7%35.1%30.8%28.4%
Put IV 25d36.7%31.9%43.3%38.3%31.9%
Bid-Ask Spread %66.9442.7289.6182.3778.24
Gamma HHI0.220.090.450.180.33
Net GEX-194.9K-733.9K138.0K-387.3K68.8K
Net DEX454.1K-5.8M8.2M4.7M-4.2M
Net VEX-20.7K-24.6K-16.7K-24.6K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.420.2921.002.880.29
Total Volume302.88082923380
Total OI7,750.23,31910,0948,4574,272

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$36.55$38.0032.8%9.4%19.1%17.2%37.5%7.4%3.1%-387.3K4.7M-24.6K2.8882.37N/AN/A601731,8626,595
2011-01-04$36.49$38.0034.2%9.8%17.6%19.4%30.2%5.1%3.4%-423.4K4.4M-22.9K18.1889.61N/AN/A112001,9216,647
2011-01-05$36.04$38.0031.3%9.0%18.0%14.7%34.0%19.4%5.4%-481.9K5.4M-22.6K0.0088.65N/AN/A01291,9156,758
2011-01-06$35.05$38.0034.5%9.9%17.4%20.0%31.5%11.5%0.5%-555.5K7.7M-23.9K0.4189.20N/AN/A4281761,9156,766
2011-01-07$34.49$33.0033.2%10.8%17.3%17.9%41.0%7.0%2.2%-632.8K7.9M-24.3K21.0050.40N/AN/A224622,3236,775
2011-01-10$34.28$33.0034.6%11.1%17.2%25.0%37.6%5.7%0.3%-715.5K8.2M-23.4K14.4453.59N/AN/A344912,3447,134
2011-01-11$34.57$33.0031.4%10.7%17.3%17.8%35.3%6.8%0.9%-733.9K7.9M-24.5K8.1252.54N/AN/A262112,3587,283
2011-01-12$37.20$35.0030.4%9.7%33.0%15.8%34.5%8.8%1.4%-360.3K2.4M-21.9K1.1942.72N/AN/A1722042,3577,452
2011-01-13$38.44$33.0032.6%9.3%34.0%20.2%33.3%7.0%2.0%-133.7K-530.4K-21.0K1.8056.93N/AN/A2965332,4187,435
2011-01-14$39.03$33.0030.5%8.7%34.3%15.9%32.1%6.8%2.5%-68.6K-1.5M-18.8K0.7058.18N/AN/A1641152,4107,268
2011-01-18$39.77$34.0029.5%8.4%34.2%13.9%29.6%6.0%2.6%61.7K-3.4M-17.9K0.4173.43N/AN/A174722,5657,312
2011-01-19$39.80$35.0029.5%8.5%34.2%14.0%31.9%5.7%2.4%100.3K-3.4M-17.5K0.3468.16N/AN/A136462,5777,341
2011-01-20$40.60$36.0027.7%7.9%34.1%10.3%30.7%6.8%3.7%105.5K-4.6M-17.2K1.9870.38N/AN/A50992,6517,355
2011-01-21$41.54$37.0030.4%8.7%34.6%15.8%32.0%3.4%-0.4%100.8K-5.8M-17.1K0.9567.43N/AN/A1521452,6587,436
2011-01-24$41.75$38.0029.1%8.3%34.3%13.1%31.1%3.3%0.3%-12.2K-2.8M-16.7K2.9669.50N/AN/A25741,4701,849
2011-01-25$41.21$38.0031.1%8.9%34.4%17.3%33.2%8.4%-0.5%-12.6K-2.5M-17.2K1.3357.74N/AN/A63841,4951,856
2011-01-26$41.02$38.0028.5%8.2%34.4%11.8%31.7%8.2%2.2%-3.5K-2.5M-17.5K0.3064.99N/AN/A5721721,5441,876
2011-01-27$41.79$38.0028.6%8.2%34.6%12.2%29.9%5.2%0.3%138.0K-5.3M-23.6K5.7362.21N/AN/A15862,5942,018
2011-01-28$40.80$39.0030.3%8.7%36.2%15.7%31.9%5.0%0.4%48.2K-3.0M-21.4K0.9362.45N/AN/A54502,1092,090
2011-01-31$41.87$39.0027.7%7.9%36.8%10.2%30.6%3.5%2.4%68.8K-4.2M-20.3K0.2978.24N/AN/A62182,1532,119