EWP Options History — December 2011

In December 2011, EWP traded between $29.35 and $33.85. ATM implied volatility averaged 39.3%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 4.6% (HV 20d: 43.9%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.95.

Notable Days

  • 2011-12-15: Highest Volume — 711 contracts
  • 2011-12-12: Largest IV spike — 16.7% change
  • 2011-12-14: Highest IV Rank — 50.0%
  • 2011-12-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.38$29.35$33.85$32.61$30.27
Max Pain$32.71$32.00$34.00$32.00$32.00
ATM IV39.3%32.8%46.8%45.7%35.0%
Expected Move11.2%9.4%13.1%13.1%10.0%
HV 20d43.9%32.6%51.6%51.6%32.7%
HV 60d46.9%44.3%49.2%49.2%44.3%
IV Rank37.8%27.2%50.0%48.2%30.8%
IV Percentile61.9%49.6%73.8%71.0%55.2%
Term Structure4.0%-1.6%7.7%-1.6%4.1%
VWIV41.3%25.8%58.9%58.9%34.8%
Skew 25d12.2%6.3%18.5%16.0%6.3%
Skew 10d22.1%11.1%37.1%15.4%18.3%
Call IV 25d34.6%29.2%40.8%40.8%32.0%
Put IV 25d46.9%38.3%56.8%56.8%38.3%
Bid-Ask Spread %78.4964.87101.9066.7276.20
Gamma HHI0.210.140.310.160.21
Net GEX-86.5K-148.7K-638-45.6K-102.6K
Net DEX3.8M1.2M6.1M2.5M4.3M
Net VEX-19.0K-20.4K-17.2K-20.2K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.1638.100.160.41
Total Volume184.857071152303
Total OI5,477.2384,9076,9285,2435,171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$32.61$32.0045.7%13.1%51.6%48.2%58.9%16.0%-1.6%-45.6K2.5M-20.2K0.1666.72N/AN/A4572,1273,116
2011-12-02$32.89$32.0041.2%11.8%50.2%40.9%46.6%10.4%2.6%-42.0K2.1M-20.4K0.6572.28N/AN/A20132,1713,122
2011-12-05$33.52$34.0039.8%12.0%49.7%38.7%39.1%17.8%3.0%-35.8K1.7M-19.5K0.3965.91N/AN/A64252,1783,119
2011-12-06$33.85$34.0041.2%11.8%49.7%40.9%40.4%18.5%3.4%-23.7K1.3M-19.3K0.4164.87N/AN/A172702,1813,141
2011-12-07$33.70$34.0040.4%11.5%49.5%39.7%51.4%17.9%4.5%-6381.2M-19.6K0.5767.97N/AN/A56322,3253,183
2011-12-08$32.51$34.0043.9%12.2%43.6%45.3%50.8%15.0%2.6%-30.5K2.5M-19.0K38.1067.84N/AN/A103812,3813,215
2011-12-09$33.43$34.0039.9%11.6%44.3%38.9%42.4%15.9%4.3%-39.8K1.9M-19.4K0.0072.00N/AN/A0352,3713,528
2011-12-12$32.03$34.0046.6%12.5%45.1%49.7%44.0%14.5%3.0%-93.8K3.6M-17.8K2.8072.72N/AN/A711992,3713,539
2011-12-13$30.94$33.0046.1%12.5%44.9%48.9%48.2%11.3%0.5%-135.8K5.2M-18.0K8.8078.11N/AN/A302642,4223,722
2011-12-14$30.68$33.0046.8%12.6%44.9%50.0%47.8%10.6%2.4%-142.8K5.7M-17.2K1.8874.61N/AN/A831562,4523,753
2011-12-15$30.81$33.0039.6%11.4%44.8%38.3%37.4%14.1%6.5%-148.7K5.6M-17.4K0.8977.18N/AN/A3763352,5353,852
2011-12-16$30.77$32.0039.5%11.3%44.8%38.2%43.6%11.4%5.8%-119.5K6.1M-20.0K7.5681.87N/AN/A453402,8004,128
2011-12-19$30.86$32.0037.2%10.7%44.4%34.4%25.8%7.9%4.0%-102.7K4.5M-20.0K0.2481.73N/AN/A50121,7503,199
2011-12-20$30.14$32.0034.5%9.9%44.2%30.1%33.8%12.1%5.8%-110.1K4.6M-19.4K0.1785.87N/AN/A278461,6973,210
2011-12-21$29.72$32.0035.5%10.2%44.1%31.7%33.3%7.0%3.8%-105.7K4.9M-19.2K1.2486.89N/AN/A37461,8053,248
2011-12-22$30.20$32.0032.8%9.4%42.6%27.2%0.0%11.1%7.0%-103.2K4.5M-19.4K0.0086.67N/AN/A0151,8023,216
2011-12-23$30.29$32.0033.0%9.4%42.3%27.5%0.0%9.7%7.7%-102.0K4.4M-19.6K0.0087.43N/AN/A001,8023,231
2011-12-27$30.20$32.0033.3%9.5%37.1%28.0%0.0%11.2%6.0%-105.6K4.4M-18.7K0.0090.46N/AN/A041,8023,231
2011-12-28$29.35$32.0038.3%11.0%38.3%36.2%30.0%7.3%3.4%-114.0K5.2M-17.3K1.6989.02N/AN/A45761,8023,230
2011-12-29$30.16$32.0034.3%9.8%32.6%29.7%35.4%10.5%5.1%-112.2K4.5M-18.6K1.24101.90N/AN/A63781,8233,271
2011-12-30$30.27$32.0035.0%10.0%32.7%30.8%34.8%6.3%4.1%-102.6K4.3M-18.7K0.4176.20N/AN/A215881,8863,285