EWP Options History — July 2011

In July 2011, EWP traded between $37.36 and $42.87. ATM implied volatility averaged 33.0%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 6.8% (HV 20d: 39.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.03.

Notable Days

  • 2011-07-11: Highest Volume — 821 contracts
  • 2011-07-11: Largest IV spike — 35.3% change
  • 2011-07-12: Highest IV Rank — 77.2%
  • 2011-07-18: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.42$37.36$42.87$42.87$38.71
Max Pain$41.55$40.00$45.00$45.00$41.00
ATM IV33.0%20.1%40.7%20.1%37.3%
Expected Move9.5%5.8%10.9%5.8%10.7%
HV 20d39.9%36.8%43.8%39.6%38.3%
HV 60d33.3%30.4%35.6%30.4%35.6%
IV Rank53.2%12.4%77.2%12.4%66.6%
IV Percentile71.0%4.8%98.0%4.8%93.3%
Term Structure0.0%-2.7%4.2%4.2%-1.3%
VWIV33.4%20.8%43.5%20.8%40.9%
Skew 25d7.8%5.0%10.4%7.2%8.1%
Skew 10d19.7%8.0%29.3%14.6%27.2%
Call IV 25d29.7%18.4%34.6%18.4%33.9%
Put IV 25d37.5%25.5%42.6%25.5%42.0%
Bid-Ask Spread %52.1526.6898.4198.4159.30
Gamma HHI0.190.150.250.180.18
Net GEX-156.8K-289.2K-62.6K-94.2K-152.0K
Net DEX5.5M1.2M11.9M3.4M3.3M
Net VEX-15.0K-16.9K-12.7K-14.2K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.030.0023.0015.081.49
Total Volume221.55682119326
Total OI4,348.42,7446,4024,6923,357

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$42.87$45.0020.1%5.8%39.6%12.4%20.8%7.2%4.2%-94.2K3.4M-14.2K15.0898.41N/AN/A121811,4063,286
2011-07-05$41.91$41.0025.7%8.1%39.2%30.3%28.5%10.3%1.5%-62.6K4.5M-14.5K2.2526.68N/AN/A2225001,4173,415
2011-07-06$40.97$42.0028.1%8.7%39.6%37.9%28.2%9.4%0.1%-154.8K6.1M-16.2K0.8427.70N/AN/A74621,5903,684
2011-07-07$41.29$42.0026.2%8.6%39.3%31.9%0.0%8.5%0.2%-168.9K5.5M-16.1K0.0027.47N/AN/A601,5903,707
2011-07-08$39.87$42.0028.5%8.6%41.0%39.0%31.8%5.0%2.0%-132.5K7.8M-14.5K4.4134.68N/AN/A903971,5843,707
2011-07-11$37.81$42.0038.6%10.4%43.8%70.5%36.2%5.4%-2.5%-143.6K10.4M-12.7K7.1352.33N/AN/A1017201,6394,015
2011-07-12$37.63$42.0040.7%10.3%43.6%77.2%34.1%7.8%-2.7%-264.4K11.9M-14.0K6.3254.53N/AN/A342151,6424,648
2011-07-13$38.27$41.0038.1%10.2%43.4%69.1%35.4%10.4%-2.0%-269.4K11.1M-14.6K1.7751.06N/AN/A53941,6594,698
2011-07-14$37.90$41.0035.5%10.2%39.9%60.8%37.6%6.9%-1.7%-289.2K11.5M-14.2K1.7645.38N/AN/A1592801,6924,710
2011-07-15$37.76$41.0035.9%10.3%39.9%62.3%35.0%7.4%-2.0%-283.9K10.5M-14.0K2.0048.72N/AN/A981961,7844,494
2011-07-18$37.36$40.0038.0%10.9%36.8%68.6%29.8%8.0%-0.8%-109.9K3.5M-13.4K1.2650.49N/AN/A27349341,810
2011-07-19$37.92$41.0035.2%10.1%37.5%60.1%32.3%9.5%0.9%-119.5K3.3M-14.2K2.7146.64N/AN/A451229501,841
2011-07-20$39.28$40.0033.9%9.7%38.4%55.9%33.4%9.5%0.6%-124.7K2.6M-16.0K1.0057.29N/AN/A25259641,959
2011-07-21$40.95$41.0031.0%8.9%40.0%46.8%29.7%7.0%1.2%-99.0K1.2M-16.6K2.9457.57N/AN/A471389771,982
2011-07-22$40.85$42.0030.9%8.9%39.5%46.7%34.2%9.7%1.0%-109.2K1.5M-16.9K23.0057.69N/AN/A1231,0092,102
2011-07-25$39.88$42.0032.5%9.3%38.9%51.6%33.0%8.3%0.8%-121.2K2.3M-16.4K11.8057.09N/AN/A5591,0102,098
2011-07-26$40.13$42.0032.2%9.2%38.5%50.6%35.1%6.4%2.0%-129.8K2.1M-16.3K6.4067.60N/AN/A10641,0142,133
2011-07-27$38.55$42.0036.1%10.4%40.7%62.9%35.3%5.3%-0.6%-153.4K3.5M-15.1K3.4862.37N/AN/A401391,0142,176
2011-07-28$38.51$41.0036.0%10.3%40.0%62.5%43.5%5.1%0.0%-153.2K3.4M-15.3K1.4960.01N/AN/A43641,0482,223
2011-07-29$38.71$41.0037.3%10.7%38.3%66.6%40.9%8.1%-1.3%-152.0K3.3M-15.8K0.0059.30N/AN/A0261,0852,272