EWP Options History — April 2011

In April 2011, EWP traded between $41.81 and $45.80. ATM implied volatility averaged 20.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.1% (HV 20d: 23.9%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2011-04-15: Highest Volume — 486 contracts
  • 2011-04-14: Largest IV spike — 21.9% change
  • 2011-04-19: Highest IV Rank — 9.2%
  • 2011-04-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.68$41.81$45.80$42.90$45.80
Max Pain$42.90$41.00$43.00$41.00$43.00
ATM IV20.8%16.0%23.9%22.4%16.0%
Expected Move6.5%4.6%7.8%6.4%4.6%
HV 20d23.9%19.1%31.2%29.8%20.5%
HV 60d27.4%25.5%31.3%31.3%25.5%
IV Rank2.7%0.0%9.2%0.0%0.0%
IV Percentile1.6%0.0%5.6%0.0%0.0%
Term Structure1.9%0.2%5.4%5.0%5.4%
VWIV22.9%13.6%28.6%25.7%13.6%
Skew 25d4.4%1.7%6.6%6.2%3.0%
Skew 10d6.5%-4.7%18.3%14.8%3.4%
Call IV 25d21.4%17.3%25.9%20.8%20.4%
Put IV 25d25.8%19.8%31.0%26.9%23.4%
Bid-Ask Spread %50.4726.4271.8352.6471.83
Gamma HHI0.260.170.660.180.26
Net GEX-482-76.8K330.1K-38.4K114.5K
Net DEX-2.5M-5.2M431.7K-2.8M-3.2M
Net VEX-12.4K-14.5K-10.5K-14.5K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.002.861.102.00
Total Volume131.8748612824
Total OI3,830.952,1575,0774,7682,766

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$42.90$41.0022.4%6.4%29.8%0.0%25.7%6.2%5.0%-38.4K-2.8M-14.5K1.1052.64N/AN/A61671,8362,932
2011-04-04$43.07$43.0023.5%7.8%29.8%2.2%26.8%5.0%0.4%-29.7K-2.6M-13.9K0.4227.87N/AN/A65271,8102,934
2011-04-05$42.69$43.0023.3%7.6%30.1%1.9%0.0%5.4%0.4%-11.3K-2.3M-14.1K2.0026.42N/AN/A10201,8502,950
2011-04-06$43.80$43.0020.1%7.2%31.2%0.0%25.8%3.6%1.6%-4.8K-4.2M-12.1K0.9829.02N/AN/A1231201,8502,968
2011-04-07$44.04$43.0020.1%7.0%28.8%0.1%24.2%4.1%1.4%-24.8K-4.6M-12.9K0.8638.89N/AN/A63541,9143,054
2011-04-08$44.35$43.0019.4%6.7%28.7%0.0%24.6%4.4%1.7%-43.7K-5.2M-12.4K1.5748.63N/AN/A821291,9523,076
2011-04-11$44.11$43.0019.1%6.9%28.8%0.0%24.1%4.3%1.3%-68.7K-4.7M-12.9K2.7449.08N/AN/A23631,9663,098
2011-04-12$44.00$43.0019.7%6.9%28.3%1.1%28.6%3.0%1.4%-76.8K-4.6M-12.6K0.9256.60N/AN/A72661,9693,108
2011-04-13$43.70$43.0019.4%6.9%23.1%0.6%26.5%3.9%0.8%-72.2K-4.0M-12.1K1.1356.40N/AN/A16181,9053,091
2011-04-14$43.47$43.0023.7%6.8%19.6%8.7%23.1%4.7%1.7%-37.4K-3.1M-11.9K0.7848.93N/AN/A59461,8013,096
2011-04-15$43.03$43.0022.9%6.6%20.0%7.3%21.4%5.0%1.4%330.1K-2.4M-11.4K0.7350.40N/AN/A2812051,8063,103
2011-04-18$41.81$43.0023.9%6.9%19.1%9.2%22.6%6.6%0.2%-29.2K431.7K-11.4K1.8840.93N/AN/A751419441,213
2011-04-19$42.08$43.0023.9%6.9%19.2%9.2%23.2%5.0%1.1%-31.1K407.6K-12.1K0.1144.78N/AN/A3749951,315
2011-04-20$43.03$43.0022.1%6.3%20.8%5.7%22.0%4.7%1.2%-22.4K-324.1K-12.0K1.5651.50N/AN/A1001561,0121,316
2011-04-21$43.36$43.0021.0%6.0%19.9%3.7%0.0%4.6%1.7%-25.2K-506.1K-13.0K0.0057.37N/AN/A1001,0951,440
2011-04-25$43.58$43.0020.8%5.9%19.1%3.1%22.4%5.4%2.4%-20.8K-694.4K-12.6K0.0055.59N/AN/A071,0931,440
2011-04-26$44.09$43.0019.4%5.6%19.4%0.5%20.2%5.2%2.4%-20.6K-1.1M-12.1K0.1061.56N/AN/A8481,0931,447
2011-04-27$45.20$43.0017.6%5.0%21.0%0.0%17.9%2.2%3.9%25.0K-2.3M-11.3K0.1471.07N/AN/A256371,1581,449
2011-04-28$45.56$43.0018.2%5.2%21.1%1.1%19.4%1.7%2.4%78.0K-3.0M-11.6K2.8669.98N/AN/A7201,2951,479
2011-04-29$45.80$43.0016.0%4.6%20.5%0.0%13.6%3.0%5.4%114.5K-3.2M-10.5K2.0071.83N/AN/A8161,2851,481