EWP Options History — November 2011

In November 2011, EWP traded between $29.34 and $34.78. ATM implied volatility averaged 52.2%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 0.5% (HV 20d: 52.6%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 9.63.

Notable Days

  • 2011-11-10: Highest Volume — 1,576 contracts
  • 2011-11-09: Largest IV spike — 23.1% change
  • 2011-11-09: Highest IV Rank — 71.0%
  • 2011-11-25: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.31$29.34$34.78$33.41$32.89
Max Pain$35.14$32.00$36.00$35.00$32.00
ATM IV52.2%46.5%59.8%55.0%46.8%
Expected Move14.8%13.3%16.9%15.8%13.4%
HV 20d52.6%46.6%56.9%48.6%51.7%
HV 60d48.1%46.0%51.2%51.2%49.3%
IV Rank58.7%49.6%71.0%63.4%50.0%
IV Percentile86.0%73.8%96.0%90.9%73.8%
Term Structure-2.1%-3.9%-0.5%-3.6%-0.5%
VWIV51.5%44.7%62.0%48.4%48.4%
Skew 25d14.9%8.5%19.3%14.5%17.2%
Skew 10d35.3%16.5%50.3%38.5%28.6%
Call IV 25d44.3%37.8%49.8%46.6%40.8%
Put IV 25d59.2%52.6%67.2%61.1%58.0%
Bid-Ask Spread %46.7026.0865.5647.7165.56
Gamma HHI0.190.150.420.190.15
Net GEX-41.4K-190.3K143.0K-56.6K-32.9K
Net DEX2.8M-712.7K4.7M2.0M2.2M
Net VEX-19.6K-23.4K-15.1K-23.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.630.0764.670.646.42
Total Volume314.048321,576651230
Total OI5,920.1434,1278,8505,6195,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$33.41$35.0055.0%15.8%48.6%63.4%48.4%14.5%-3.6%-56.6K2.0M-23.4K0.6447.71N/AN/A3982532,4873,132
2011-11-02$33.64$35.0050.6%14.5%48.3%56.2%45.3%15.4%-2.0%-66.2K2.1M-22.7K3.2047.05N/AN/A20642,3433,145
2011-11-03$34.78$35.0047.2%13.5%48.7%50.6%48.8%13.8%-1.5%-49.8K726.1K-23.2K2.8346.63N/AN/A24682,3533,168
2011-11-04$33.77$36.0050.2%13.8%49.9%55.6%0.0%12.4%-1.6%-74.8K2.1M-22.1K0.0727.69N/AN/A3022,3533,190
2011-11-07$34.03$36.0050.0%13.9%48.3%55.1%46.6%12.5%-1.5%-82.3K1.9M-21.0K3.2126.08N/AN/A14452,3433,189
2011-11-08$34.44$36.0048.5%13.5%48.5%52.8%44.7%15.2%-0.8%-63.6K1.2M-20.9K5.1127.69N/AN/A271382,3483,202
2011-11-09$31.99$36.0059.8%15.7%54.5%71.0%54.6%8.5%-2.2%-116.0K4.4M-18.6K2.3143.83N/AN/A801852,3743,300
2011-11-10$32.56$36.0049.8%14.3%55.1%54.8%0.0%9.7%-2.1%-131.2K4.0M-19.3K0.2048.05N/AN/A1,3152612,4203,444
2011-11-11$33.70$36.0046.5%13.3%56.6%49.6%48.5%16.0%-1.8%30.6K-712.7K-22.9K1.8538.17N/AN/A1142113,7353,578
2011-11-14$32.49$36.0052.9%15.2%56.9%59.9%52.2%12.3%-2.6%30.7K1.9M-21.1K0.0044.43N/AN/A02393,8283,722
2011-11-15$32.21$36.0052.7%15.1%56.3%59.6%51.9%10.7%-3.9%19.9K2.7M-20.6K0.7447.29N/AN/A58433,8283,923
2011-11-16$31.80$36.0051.4%14.7%55.9%57.5%50.3%18.5%-2.2%73.0K3.8M-19.2K1.8247.22N/AN/A1001823,8753,948
2011-11-17$31.62$35.0052.9%15.2%55.9%59.9%49.9%19.3%-2.5%143.0K4.7M-19.1K59.9345.31N/AN/A148393,9754,057
2011-11-18$32.12$35.0051.6%14.8%55.2%57.9%52.2%16.9%-1.9%-190.3K4.4M-18.8K1.1743.80N/AN/A1902223,9814,869
2011-11-21$31.30$35.0055.3%15.9%55.3%63.8%59.9%17.6%-2.6%-24.9K2.8M-16.6K2.8649.40N/AN/A702001,8442,283
2011-11-22$30.78$35.0053.7%15.4%55.2%61.2%54.1%17.8%-0.8%-42.0K3.3M-16.3K64.6749.16N/AN/A31941,8242,454
2011-11-23$29.69$35.0055.8%16.0%55.7%64.7%62.0%15.8%-1.7%-54.7K4.1M-15.4K18.8254.73N/AN/A112071,8252,629
2011-11-25$29.34$35.0058.9%16.9%46.6%69.6%54.4%18.6%-3.4%-64.8K4.5M-15.1K6.3359.54N/AN/A12761,8352,767
2011-11-28$31.04$35.0054.3%15.6%52.6%62.2%54.4%15.3%-3.4%-68.3K3.8M-17.1K0.4659.80N/AN/A2751261,8472,823
2011-11-29$30.99$32.0051.4%14.7%49.7%57.5%51.2%15.5%-1.3%-48.5K3.5M-18.3K10.0061.58N/AN/A5502,0952,927
2011-11-30$32.89$32.0046.8%13.4%51.7%50.0%48.4%17.2%-0.5%-32.9K2.2M-19.8K6.4265.56N/AN/A311992,1002,960