EWP Options History — June 2011

In June 2011, EWP traded between $38.93 and $43.01. ATM implied volatility averaged 26.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 8.1% (HV 20d: 34.6%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.02.

Notable Days

  • 2011-06-16: Highest Volume — 1,253 contracts
  • 2011-06-23: Largest IV spike — 35.4% change
  • 2011-06-27: Highest IV Rank — 39.8%
  • 2011-06-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.17$38.93$43.01$41.93$42.14
Max Pain$44.73$43.00$48.00$43.00$45.00
ATM IV26.5%18.5%31.4%24.1%23.7%
Expected Move7.7%5.3%9.0%6.9%6.8%
HV 20d34.6%28.6%40.8%29.2%39.2%
HV 60d27.8%25.3%30.6%26.9%30.6%
IV Rank26.0%6.4%39.8%15.2%22.3%
IV Percentile30.4%1.6%66.7%12.3%12.3%
Term Structure1.2%-1.7%6.2%1.2%3.6%
VWIV27.3%18.3%32.8%25.3%22.4%
Skew 25d8.2%3.5%13.2%3.5%9.8%
Skew 10d11.7%-1.5%24.5%10.6%15.4%
Call IV 25d24.1%18.7%29.1%22.5%18.7%
Put IV 25d32.3%26.0%37.6%26.0%28.5%
Bid-Ask Spread %86.9067.2393.5768.5192.00
Gamma HHI0.310.140.650.440.14
Net GEX-176.4K-580.0K-54.8K-189.9K-54.8K
Net DEX4.3M1.2M7.3M2.1M4.2M
Net VEX-11.4K-13.5K-8.7K-12.7K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.020.1829.292.442.03
Total Volume299.909201,25386212
Total OI3,859.1362,9934,5723,2754,572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$41.93$43.0024.1%6.9%29.2%15.2%25.3%3.5%1.2%-189.9K2.1M-12.7K2.4468.51N/AN/A25619802,295
2011-06-02$42.73$43.0022.7%6.5%30.2%12.6%24.6%6.4%1.6%-162.5K1.4M-12.5K0.0067.23N/AN/A0931,0022,339
2011-06-03$43.01$43.0022.2%7.4%28.6%11.5%28.2%7.5%0.3%-172.2K1.2M-12.4K2.9286.54N/AN/A26761,0022,384
2011-06-06$41.84$43.0025.0%7.7%29.6%16.8%27.4%6.3%0.7%-209.4K2.4M-12.2K2.5985.88N/AN/A2005181,0272,399
2011-06-07$42.41$43.0024.7%7.7%30.0%20.3%27.2%8.4%0.4%-118.3K1.5M-12.3K0.7686.54N/AN/A21161,2272,380
2011-06-08$41.64$43.0024.3%7.9%30.4%19.3%30.7%6.4%1.1%-167.7K2.4M-12.1K9.0087.65N/AN/A2181,2352,383
2011-06-09$41.99$43.0026.0%7.5%30.0%23.4%18.3%9.7%1.4%-149.8K2.1M-11.8K4.5487.01N/AN/A351591,2342,396
2011-06-10$40.76$45.0027.8%8.0%31.6%30.3%28.3%6.9%1.4%-234.5K4.3M-11.2K1.7087.81N/AN/A30511,2482,551
2011-06-13$41.00$45.0027.5%7.9%30.5%29.3%22.2%10.0%0.6%-276.3K4.2M-10.3K5.3189.10N/AN/A13691,2552,549
2011-06-14$41.84$45.0025.6%7.3%31.4%24.9%26.3%11.4%2.8%-218.9K3.0M-10.0K3.2988.54N/AN/A7231,2622,611
2011-06-15$39.77$45.0029.1%8.3%35.9%33.8%30.2%7.0%0.6%-228.0K6.0M-8.9K6.2788.73N/AN/A332071,2592,631
2011-06-16$39.76$45.0030.1%8.6%35.8%36.4%29.8%8.5%0.6%-183.6K6.1M-8.7K0.3286.52N/AN/A9493041,2802,619
2011-06-17$41.33$45.0030.7%8.8%38.6%38.0%32.8%8.2%-1.7%-580.0K3.0M-10.6K4.8088.50N/AN/A874181,4832,810
2011-06-20$41.01$45.0028.0%8.0%36.5%31.1%26.0%9.8%3.2%-143.2K3.7M-10.4K29.2986.93N/AN/A381,1138082,185
2011-06-21$42.16$48.0027.1%7.8%37.2%28.6%26.7%10.1%3.5%-196.3K6.8M-12.0K1.0590.01N/AN/A2542678353,200
2011-06-22$40.82$48.0018.5%5.3%39.1%6.4%27.8%5.0%6.2%-152.9K7.1M-11.4K2.7091.50N/AN/A431169283,354
2011-06-23$40.12$46.0025.0%7.2%39.3%23.4%27.4%8.8%2.9%-119.2K6.9M-10.2K0.2192.03N/AN/A217459672,959
2011-06-24$38.93$46.0031.3%9.0%40.3%39.6%28.7%5.6%-1.5%-93.8K7.3M-10.5K2.4391.33N/AN/A1092651,1422,935
2011-06-27$39.57$45.0031.4%9.0%40.8%39.8%30.4%9.2%-1.0%-84.5K6.9M-11.9K0.4088.09N/AN/A73291,2253,075
2011-06-28$40.17$45.0030.7%8.8%38.9%38.1%32.1%8.7%-1.0%-78.7K6.4M-12.5K2.1387.70N/AN/A531131,2773,092
2011-06-29$40.92$45.0027.8%8.0%38.3%31.3%28.6%13.2%-0.0%-65.1K5.7M-13.5K0.1893.57N/AN/A178321,3283,178
2011-06-30$42.14$45.0023.7%6.8%39.2%22.3%22.4%9.8%3.6%-54.8K4.2M-13.4K2.0392.00N/AN/A701421,3873,185