EWP Options History — September 2011

In September 2011, EWP traded between $30.09 and $35.09. ATM implied volatility averaged 57.3%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 8.3% (HV 20d: 49.1%). Max pain ranged from $34.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2011-09-06: Highest Volume — 3,576 contracts
  • 2011-09-09: Largest IV spike — 21.9% change
  • 2011-09-12: Highest IV Rank — 100.0%
  • 2011-09-12: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$30.09$35.09$35.09$32.33
Max Pain$34.52$34.00$41.00$36.00$34.00
ATM IV57.3%47.3%77.6%47.3%61.0%
Expected Move16.0%13.6%19.0%13.6%17.5%
HV 20d49.1%43.8%66.0%66.0%48.7%
HV 60d53.4%52.2%54.6%52.2%54.6%
IV Rank68.3%52.9%100.0%54.1%73.1%
IV Percentile95.3%89.3%100.0%92.1%98.0%
Term Structure-0.8%-3.7%3.9%3.9%-2.7%
VWIV56.6%30.5%68.1%46.9%67.2%
Skew 25d20.0%9.5%27.0%9.5%16.1%
Skew 10d46.4%32.2%67.4%32.2%45.9%
Call IV 25d46.8%38.5%54.9%42.8%51.3%
Put IV 25d66.9%52.3%80.9%52.3%67.4%
Bid-Ask Spread %59.9850.1780.4178.5961.41
Gamma HHI0.320.150.420.150.37
Net GEX-184.8K-407.5K-86.0K-178.5K-112.8K
Net DEX6.4M2.7M10.4M4.7M4.7M
Net VEX-35.8K-41.0K-18.5K-22.2K-38.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.3216.0016.002.81
Total Volume592.381413,57651164
Total OI10,972.2386,44413,3376,44411,707

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$35.09$36.0047.3%13.6%66.0%54.1%46.9%9.5%3.9%-178.5K4.7M-22.2K16.0078.59N/AN/A3481,8404,604
2011-09-02$33.98$36.0049.1%14.1%62.8%57.1%30.5%11.1%2.8%-212.9K6.1M-21.1K0.3280.41N/AN/A31101,8434,632
2011-09-06$32.57$41.0058.3%16.7%57.1%73.0%60.4%21.7%-3.3%-230.6K7.6M-18.5K1.0850.17N/AN/A1,7191,8571,8434,632
2011-09-07$33.20$34.0055.9%15.5%54.9%68.8%55.9%20.5%-1.1%-219.2K6.1M-30.7K1.0651.83N/AN/A1,0831,1523,4986,078
2011-09-08$32.66$34.0055.4%15.4%46.6%68.0%55.5%21.0%-1.7%-202.5K6.7M-37.8K1.2254.45N/AN/A2452984,3846,989
2011-09-09$30.80$34.0067.5%18.1%47.1%89.0%62.1%23.8%-1.8%-207.0K9.7M-36.8K1.4052.77N/AN/A2243134,5957,232
2011-09-12$30.31$34.0077.6%19.0%45.1%100.0%68.1%26.0%-1.8%-196.4K10.4M-35.7K1.6352.33N/AN/A2684384,7827,334
2011-09-13$31.07$34.0070.2%18.0%43.8%88.0%67.4%26.1%-3.3%-222.0K9.5M-38.6K10.2252.28N/AN/A414194,9877,577
2011-09-14$32.08$34.0059.0%16.3%45.5%69.9%58.9%27.0%-2.4%-247.6K7.9M-40.4K4.9556.01N/AN/A653225,0227,826
2011-09-15$33.34$34.0053.5%15.3%47.8%60.8%53.8%22.5%-2.5%-286.0K5.3M-41.0K1.0563.86N/AN/A3243415,0497,947
2011-09-16$33.22$34.0048.6%13.9%44.9%52.9%50.8%24.3%-1.2%-407.5K5.4M-40.7K1.9064.75N/AN/A2274325,2488,089
2011-09-19$32.34$34.0055.0%15.8%45.4%63.3%61.0%22.5%0.5%-99.2K4.9M-40.9K0.7757.44N/AN/A2421864,1486,918
2011-09-20$32.30$34.0050.9%14.6%45.0%56.7%49.4%18.0%0.8%-110.4K4.7M-41.0K1.9756.91N/AN/A1603154,3906,967
2011-09-21$31.12$34.0053.6%15.4%44.6%61.1%50.8%18.0%1.3%-156.2K7.3M-39.0K0.7862.16N/AN/A89694,3147,078
2011-09-22$30.09$34.0060.8%17.4%45.6%72.7%61.0%20.8%0.6%-179.5K9.1M-37.0K1.4857.74N/AN/A1782634,3537,120
2011-09-23$30.95$34.0058.0%16.6%46.6%68.2%57.8%18.8%0.9%-169.7K7.4M-38.6K1.1656.61N/AN/A50584,3217,106
2011-09-26$32.03$34.0056.0%16.1%48.5%65.0%54.2%17.0%-1.9%-121.0K5.4M-38.6K0.6760.76N/AN/A84564,3407,127
2011-09-27$32.72$34.0052.2%15.0%47.7%58.9%54.7%15.9%1.4%-117.2K3.7M-38.2K1.4667.42N/AN/A1372004,3407,086
2011-09-28$32.16$34.0057.5%16.5%47.9%67.3%63.0%17.6%-2.0%-119.2K4.9M-38.1K9.0061.26N/AN/A8724,3847,142
2011-09-29$33.27$34.0056.3%16.1%48.4%65.5%58.8%22.4%-3.7%-86.0K2.7M-38.0K1.4760.53N/AN/A1011484,3997,146
2011-09-30$32.33$34.0061.0%17.5%48.7%73.1%67.2%16.1%-2.7%-112.8K4.7M-38.2K2.8161.41N/AN/A431214,4587,249