EWP Options History — May 2011

In May 2011, EWP traded between $40.46 and $45.52. ATM implied volatility averaged 24.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.7% (HV 20d: 23.3%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 9.04.

Notable Days

  • 2011-05-11: Highest Volume — 805 contracts
  • 2011-05-03: Largest IV spike — 14.4% change
  • 2011-05-23: Highest IV Rank — 23.0%
  • 2011-05-23: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.55$40.46$45.52$45.52$43.23
Max Pain$45.00$43.00$46.00$43.00$43.00
ATM IV24.0%17.5%28.3%17.5%22.0%
Expected Move6.9%5.0%8.1%5.0%6.3%
HV 20d23.3%20.6%27.4%20.6%27.4%
HV 60d25.6%24.3%26.4%25.4%26.1%
IV Rank14.9%2.6%23.0%2.6%11.3%
IV Percentile12.1%0.4%34.1%0.4%6.3%
Term Structure1.9%0.0%3.8%3.2%3.8%
VWIV24.0%17.8%27.6%17.8%23.4%
Skew 25d5.2%0.9%8.3%0.9%8.3%
Skew 10d11.6%4.5%17.3%7.1%16.7%
Call IV 25d21.4%13.9%24.7%17.1%17.3%
Put IV 25d26.6%18.1%31.2%18.1%25.6%
Bid-Ask Spread %59.8135.1281.0765.7971.53
Gamma HHI0.330.160.620.200.30
Net GEX-176.4K-561.4K78.1K63.0K-163.2K
Net DEX1.7M-2.9M6.1M-2.9M1.0M
Net VEX-12.1K-14.4K-9.8K-11.2K-11.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.040.1063.250.700.63
Total Volume162.2381880534129
Total OI3,300.8572,3554,0682,7833,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$45.52$43.0017.5%5.0%20.6%2.6%17.8%0.9%3.2%63.0K-2.9M-11.2K0.7065.79N/AN/A20141,2891,494
2011-05-03$45.38$43.0020.0%5.7%20.7%7.1%18.2%8.1%2.2%78.1K-2.8M-11.0K1.5778.09N/AN/A21331,2771,504
2011-05-04$44.94$43.0020.9%6.0%20.8%8.9%21.6%4.9%1.5%67.7K-2.3M-11.7K0.6481.07N/AN/A56361,2981,537
2011-05-05$43.64$43.0021.8%6.3%21.8%10.5%23.3%3.5%1.6%37.1K-667.7K-11.9K14.3379.56N/AN/A3431,2721,573
2011-05-06$42.88$46.0023.2%7.0%22.6%13.5%21.3%5.2%2.0%11.8K237.3K-11.9K8.1037.81N/AN/A201621,2701,586
2011-05-09$42.73$46.0022.3%6.9%22.3%11.8%26.5%5.3%2.7%-19.0K743.0K-11.9K1.2437.63N/AN/A51631,2501,720
2011-05-10$43.15$46.0022.9%6.8%22.7%12.9%23.6%5.0%3.0%-582424.6K-12.1K63.2535.12N/AN/A42531,2351,772
2011-05-11$42.41$46.0025.4%7.3%23.4%17.7%22.8%4.6%2.2%-77.5K1.5M-12.7K12.4241.37N/AN/A607451,2331,998
2011-05-12$42.73$46.0024.6%7.0%23.5%16.0%23.7%6.0%1.3%-307.7K2.1M-14.4K1.2543.58N/AN/A8101,2482,695
2011-05-13$41.65$46.0025.8%7.4%25.1%18.3%27.6%5.0%2.1%-398.7K4.0M-13.6K17.6758.12N/AN/A61061,2532,694
2011-05-16$41.68$46.0026.1%7.5%24.9%19.0%23.3%4.6%1.1%-465.9K4.1M-13.0K10.8349.65N/AN/A6651,2472,774
2011-05-17$42.13$46.0026.0%7.5%23.1%18.8%27.3%5.7%2.2%-517.0K3.5M-12.5K18.0061.20N/AN/A3541,2412,744
2011-05-18$42.30$46.0025.6%7.4%23.0%18.0%24.2%6.3%1.5%-561.4K3.0M-12.1K1.3158.56N/AN/A16211,2412,770
2011-05-19$42.69$46.0024.4%7.0%21.8%15.6%0.0%7.1%2.7%-468.5K2.2M-11.5K0.0062.06N/AN/A0331,2452,790
2011-05-20$41.19$46.0026.2%7.5%24.9%19.0%25.8%1.8%1.3%-108.0K6.1M-10.0K8.1165.91N/AN/A282271,2452,823
2011-05-23$40.46$46.0028.3%8.1%25.3%23.0%27.2%6.5%0.6%-73.3K2.5M-9.8K11.2264.65N/AN/A606737541,601
2011-05-24$40.55$46.0026.4%7.6%24.7%19.4%26.1%6.3%0.0%-188.2K3.8M-12.6K2.8364.44N/AN/A18518002,229
2011-05-25$41.11$45.0025.8%7.4%23.3%18.2%26.6%3.2%0.5%-204.6K3.4M-12.9K1.3366.94N/AN/A42568102,256
2011-05-26$41.50$44.0025.0%7.2%23.4%16.9%25.0%4.6%2.1%-215.7K3.1M-13.1K0.1069.26N/AN/A146158322,283
2011-05-27$41.71$43.0023.3%6.7%23.4%13.7%23.8%6.2%1.7%-193.8K2.6M-13.2K5.2563.64N/AN/A8429382,296
2011-05-31$43.23$43.0022.0%6.3%27.4%11.3%23.4%8.3%3.8%-163.2K1.0M-11.9K0.6371.53N/AN/A79509282,273