EWP Options History — August 2011

In August 2011, EWP traded between $32.03 and $37.59. ATM implied volatility averaged 52.7%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 12.0% (HV 20d: 64.7%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 23.01.

Notable Days

  • 2011-08-05: Highest Volume — 2,233 contracts
  • 2011-08-08: Largest IV spike — 36.4% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.81$32.03$37.59$37.59$35.93
Max Pain$36.57$35.00$41.00$41.00$35.00
ATM IV52.7%38.6%73.9%38.6%45.9%
Expected Move14.9%11.1%18.1%11.1%13.2%
HV 20d64.7%38.4%73.1%38.4%72.1%
HV 60d48.0%35.6%52.4%35.6%52.1%
IV Rank72.5%51.7%100.0%70.6%51.7%
IV Percentile97.5%92.1%100.0%94.8%92.1%
Term Structure-0.9%-7.1%3.5%-0.5%3.5%
VWIV51.0%38.8%63.7%41.1%44.5%
Skew 25d13.7%4.6%26.3%7.4%13.7%
Skew 10d31.0%13.5%47.8%21.3%36.5%
Call IV 25d46.2%36.3%55.6%37.4%40.3%
Put IV 25d59.9%44.8%74.5%44.8%54.0%
Bid-Ask Spread %60.8341.5778.7267.2076.17
Gamma HHI0.150.100.270.180.13
Net GEX-174.4K-245.4K-118.0K-168.7K-134.2K
Net DEX6.6M3.6M10.6M4.4M3.6M
Net VEX-20.1K-27.4K-9.4K-13.9K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.010.19209.0060.633.13
Total Volume431.696192,233493570
Total OI6,539.1743,3769,6743,3765,965

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$37.59$41.0038.6%11.1%38.4%70.6%41.1%7.4%-0.5%-168.7K4.4M-13.9K60.6367.20N/AN/A84851,0852,291
2011-08-02$36.11$41.0042.5%12.2%39.8%83.0%40.6%4.6%-2.0%-194.1K5.9M-12.7K3.5268.92N/AN/A501761,0902,617
2011-08-03$36.80$41.0040.5%11.6%40.5%76.6%38.8%10.6%-2.2%-220.5K5.7M-13.2K209.0069.31N/AN/A12091,1072,653
2011-08-04$33.88$41.0049.7%14.3%48.5%100.0%41.9%6.6%-7.1%-136.0K7.3M-9.4K1.9174.53N/AN/A911741,1062,744
2011-08-05$36.09$38.0048.4%14.1%54.0%95.9%50.3%13.1%-2.1%-186.7K6.0M-13.1K1.4046.04N/AN/A9321,3011,1662,721
2011-08-08$33.17$36.0066.0%17.6%58.6%100.0%52.4%26.3%1.9%-118.0K7.7M-15.8K4.7078.72N/AN/A2341,1001,9943,594
2011-08-09$34.76$36.0057.8%15.5%61.6%83.6%57.8%15.3%-2.5%-177.9K7.1M-18.9K11.0451.98N/AN/A1281,4132,2154,603
2011-08-10$32.03$36.0073.9%18.1%66.9%100.0%63.7%15.5%-5.9%-224.6K10.4M-23.1K1.5143.39N/AN/A1271922,3225,924
2011-08-11$33.73$36.0060.7%17.4%70.3%77.3%63.0%15.3%-6.5%-228.5K8.8M-25.3K4.3241.57N/AN/A1295572,4176,066
2011-08-12$34.86$36.0056.2%16.1%71.6%69.5%53.4%12.2%-2.8%-245.4K8.0M-27.4K9.5045.84N/AN/A444182,4656,399
2011-08-15$36.14$36.0052.5%15.0%73.0%63.0%47.9%11.7%-0.3%-241.1K7.0M-25.5K0.3147.59N/AN/A4321332,4576,538
2011-08-16$35.25$36.0052.7%15.1%73.1%63.3%53.9%12.6%-1.0%-209.1K8.4M-24.9K1.8054.08N/AN/A601082,8426,665
2011-08-17$35.53$36.0050.5%14.5%71.8%59.5%50.2%13.2%-0.5%-166.1K7.9M-25.1K0.1956.06N/AN/A1632,8806,714
2011-08-18$33.89$36.0057.0%16.3%71.1%70.8%57.2%13.4%-3.6%-206.2K9.9M-23.1K0.5755.53N/AN/A63362,8936,714
2011-08-19$33.24$35.0059.4%17.0%71.1%74.9%61.1%15.3%-3.0%-165.2K10.6M-22.0K3.5656.61N/AN/A411462,9446,730
2011-08-22$33.75$35.0053.6%15.4%71.5%65.0%56.5%14.8%2.3%-129.7K4.7M-21.7K81.0059.93N/AN/A1811,6913,948
2011-08-23$34.89$35.0049.1%14.1%72.8%57.3%46.8%15.2%3.0%-125.4K4.2M-21.9K0.5461.85N/AN/A56301,6913,988
2011-08-24$34.87$35.0050.7%14.5%71.8%60.0%51.0%15.8%1.3%-134.7K4.4M-21.4K3.1564.35N/AN/A26821,7054,018
2011-08-25$33.92$35.0053.3%15.3%72.2%64.4%48.4%17.5%2.5%-148.3K5.0M-21.2K68.0064.67N/AN/A1681,7294,087
2011-08-26$34.06$35.0052.8%15.1%72.2%63.6%51.6%14.8%1.6%-155.4K5.1M-20.7K0.0068.04N/AN/A0501,7304,110
2011-08-29$35.17$35.0050.0%14.3%72.9%58.7%48.9%15.5%1.7%-146.7K4.2M-20.6K9.0072.31N/AN/A10901,7304,134
2011-08-30$34.92$35.0050.4%14.5%71.6%59.5%52.2%14.6%1.3%-149.2K4.4M-20.6K27.5074.46N/AN/A2551,7204,199
2011-08-31$35.93$35.0045.9%13.2%72.1%51.7%44.5%13.7%3.5%-134.2K3.6M-20.6K3.1376.17N/AN/A1384321,7224,243