EWP Options History — March 2011

In March 2011, EWP traded between $39.04 and $43.01. ATM implied volatility averaged 30.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.4% (HV 20d: 28.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.64.

Notable Days

  • 2011-03-18: Highest Volume — 539 contracts
  • 2011-03-16: Largest IV spike — 15.0% change
  • 2011-03-16: Highest IV Rank — 33.1%
  • 2011-03-16: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.54$39.04$43.01$41.25$42.42
Max Pain$40.48$40.00$41.00$41.00$41.00
ATM IV30.2%26.6%38.8%28.6%28.0%
Expected Move8.8%7.6%11.1%8.2%8.0%
HV 20d28.8%25.1%34.8%26.5%30.5%
HV 60d29.8%28.1%31.4%28.8%31.4%
IV Rank15.4%7.9%33.1%12.1%10.9%
IV Percentile38.6%10.7%75.8%27.4%23.0%
Term Structure0.9%-2.0%2.9%2.0%2.1%
VWIV31.8%25.3%39.1%28.4%26.5%
Skew 25d7.3%5.0%9.0%5.0%7.1%
Skew 10d16.7%-4.9%26.0%-4.9%10.5%
Call IV 25d27.3%23.6%35.0%25.2%24.9%
Put IV 25d34.6%30.1%43.3%30.1%31.9%
Bid-Ask Spread %61.3748.9370.9456.8048.93
Gamma HHI0.290.130.790.350.15
Net GEX278.8K-52.9K1.2M248.3K-52.9K
Net DEX-2.8M-5.0M945.5K-3.6M-1.9M
Net VEX-17.6K-21.4K-14.1K-21.4K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.0418.570.710.25
Total Volume192.0431753912571
Total OI5,222.5654,0146,6735,1124,732

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$41.25$41.0028.6%8.2%26.5%12.1%28.4%5.0%2.0%248.3K-3.6M-21.4K0.7156.80N/AN/A73522,8562,256
2011-03-02$41.48$41.0028.4%8.2%25.1%11.7%25.3%5.6%2.0%265.3K-3.7M-20.9K0.0462.79N/AN/A10142,8832,304
2011-03-03$41.80$41.0026.6%7.6%25.3%7.9%33.5%8.2%2.9%276.1K-4.4M-21.4K2.1467.19N/AN/A35752,9522,308
2011-03-04$41.02$40.0027.7%8.5%25.7%10.3%29.5%6.9%2.3%286.3K-2.7M-20.8K0.4366.48N/AN/A103442,8992,320
2011-03-07$41.02$40.0028.2%8.9%25.6%11.2%33.1%6.7%0.7%308.4K-2.8M-20.2K1.0765.34N/AN/A42452,9482,350
2011-03-08$41.25$40.0028.8%8.7%25.6%12.4%30.4%7.2%1.0%331.3K-3.1M-20.0K0.6561.87N/AN/A68442,9742,387
2011-03-09$41.46$40.0029.2%8.7%25.4%13.3%30.5%6.7%0.7%356.8K-3.7M-19.6K0.7962.16N/AN/A14113,0142,427
2011-03-10$40.25$40.0031.8%9.1%27.3%18.7%32.9%6.9%1.2%318.7K-1.1M-18.4K0.6967.54N/AN/A2801933,0142,437
2011-03-11$40.72$40.0031.1%8.9%26.5%17.2%33.6%8.4%-0.3%451.9K-2.3M-19.9K0.0763.50N/AN/A504343,2382,540
2011-03-14$41.19$40.0031.6%9.1%26.8%18.3%39.1%7.3%0.6%716.5K-5.0M-18.7K12.9363.29N/AN/A151943,7372,547
2011-03-15$40.69$40.0033.8%9.7%27.0%22.7%37.2%8.0%-2.0%673.1K-3.5M-19.3K2.0765.81N/AN/A761573,7472,707
2011-03-16$39.04$40.0038.8%11.1%30.7%33.1%38.5%8.3%-1.3%382.3K945.5K-17.1K8.0070.94N/AN/A372963,7162,778
2011-03-17$40.61$40.0035.1%10.1%32.6%25.4%34.8%7.8%-1.6%887.8K-3.0M-17.6K0.6568.18N/AN/A80523,7332,927
2011-03-18$41.06$40.0033.8%9.7%32.3%22.7%34.5%7.4%-0.3%1.2M-5.0M-15.9K1.8263.86N/AN/A1913483,7832,890
2011-03-21$42.49$40.0030.3%8.7%34.8%15.6%29.2%8.1%2.1%-1.0K-2.9M-14.1K1.4661.13N/AN/A1412061,6672,347
2011-03-22$42.20$41.0029.2%8.4%30.4%13.4%32.6%8.3%1.5%-21.4K-2.3M-15.1K2.8662.60N/AN/A7201,7082,498
2011-03-23$42.24$41.0030.4%8.7%30.3%15.7%30.6%9.0%0.7%-28.0K-2.2M-15.3K5.3858.67N/AN/A8431,7132,518
2011-03-24$43.01$41.0028.8%8.3%30.9%12.6%29.7%8.4%1.8%-20.5K-3.0M-14.3K4.2955.78N/AN/A341461,7182,554
2011-03-25$42.35$41.0029.5%8.5%31.2%13.9%29.7%6.7%1.1%-44.4K-1.9M-15.6K2.6456.55N/AN/A501321,7052,688
2011-03-28$42.43$41.0030.2%8.7%31.2%15.5%33.6%6.6%0.7%-35.4K-2.2M-14.9K16.0055.87N/AN/A1161,7432,728
2011-03-29$42.64$41.0028.0%8.0%30.3%10.8%31.1%6.1%1.5%-27.9K-2.4M-14.1K18.5754.98N/AN/A142601,7432,719
2011-03-30$42.86$41.0027.1%7.8%30.3%9.1%27.9%6.7%2.4%-49.5K-2.4M-14.9K0.1151.35N/AN/A90101,7462,920
2011-03-31$42.42$41.0028.0%8.0%30.5%10.9%26.5%7.1%2.1%-52.9K-1.9M-15.8K0.2548.93N/AN/A57141,8142,918