EWP Options History — January 2012

In January 2012, EWP traded between $28.62 and $31.57. ATM implied volatility averaged 32.9%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.7% (HV 20d: 30.1%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 11.48.

Notable Days

  • 2012-01-20: Highest Volume — 1,244 contracts
  • 2012-01-05: Largest IV spike — 14.7% change
  • 2012-01-05: Highest IV Rank — 35.6%
  • 2012-01-06: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$28.62$31.57$30.93$30.94
Max Pain$30.70$29.00$32.00$32.00$31.00
ATM IV32.9%27.2%37.9%34.1%29.7%
Expected Move9.6%7.8%11.3%9.8%8.5%
HV 20d30.1%26.3%34.8%33.7%26.4%
HV 60d42.9%37.9%44.6%44.2%37.9%
IV Rank27.4%18.2%35.6%29.4%22.2%
IV Percentile47.2%25.4%58.7%52.8%37.3%
Term Structure2.1%-3.9%5.4%3.3%2.3%
VWIV33.6%27.5%39.4%33.9%33.5%
Skew 25d10.1%4.2%18.8%18.8%7.0%
Skew 10d18.1%9.3%29.7%9.4%9.3%
Call IV 25d27.3%18.2%34.7%22.1%25.5%
Put IV 25d37.4%31.6%43.1%40.9%32.5%
Bid-Ask Spread %71.8247.1591.4788.7989.26
Gamma HHI0.300.180.600.210.25
Net GEX-97.9K-149.4K-14.2K-53.0K-117.3K
Net DEX3.8M1.5M6.1M3.0M2.0M
Net VEX-14.6K-19.0K-12.4K-19.0K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.480.7860.002.904.17
Total Volume142.5211,24415227
Total OI4,519.12,3145,7205,3332,757

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$30.93$32.0034.1%9.8%33.7%29.4%33.9%18.8%3.3%-53.0K3.0M-19.0K2.9088.79N/AN/A391132,0923,241
2012-01-04$30.24$32.0033.1%9.5%33.3%27.7%31.4%8.9%5.4%-71.3K4.2M-18.1K1.2890.40N/AN/A29372,1013,322
2012-01-05$29.15$32.0037.9%10.9%34.6%35.6%27.5%10.9%2.3%-99.3K5.6M-16.2K1.3991.47N/AN/A28392,1193,353
2012-01-06$28.62$29.0035.9%11.3%34.8%32.3%39.4%17.2%-3.9%-108.3K6.1M-14.8K1.4675.35N/AN/A711042,1473,332
2012-01-09$28.79$29.0036.4%10.9%33.5%33.0%38.0%5.7%3.7%-118.7K6.1M-14.7K0.7855.23N/AN/A32252,1993,346
2012-01-10$29.53$29.0033.9%10.5%33.2%29.1%0.0%6.0%3.2%-104.2K5.1M-16.2K60.0051.54N/AN/A1602,2113,355
2012-01-11$29.38$29.0036.1%11.0%30.2%32.7%34.7%8.9%2.6%-117.7K5.5M-15.5K1.4854.08N/AN/A23342,2103,387
2012-01-12$29.71$31.0034.5%9.9%28.5%30.0%36.1%5.4%1.4%-116.8K5.2M-15.8K3.0547.15N/AN/A21642,2303,419
2012-01-13$29.28$31.0037.5%10.8%28.7%35.0%35.6%5.1%3.5%-149.4K6.0M-14.9K0.0055.37N/AN/A0392,2313,456
2012-01-17$29.67$31.0035.0%10.0%29.2%30.9%36.7%9.8%3.2%-133.9K5.3M-14.3K6.0055.58N/AN/A3182,2313,451
2012-01-18$29.91$31.0033.8%9.7%29.4%28.9%34.9%11.4%2.2%-135.7K5.1M-13.9K48.0065.28N/AN/A2962,2323,448
2012-01-19$30.64$31.0032.2%9.2%30.7%26.4%33.8%14.5%-0.5%-37.2K3.6M-14.0K32.0069.31N/AN/A51602,2343,480
2012-01-20$30.73$31.0030.2%8.7%29.5%23.1%36.7%11.8%2.2%-14.2K3.2M-13.8K1.9870.71N/AN/A4178272,2393,481
2012-01-23$30.88$30.0031.3%9.0%29.0%24.9%29.6%10.8%0.7%-99.2K1.8M-12.4K1.1678.81N/AN/A55645731,741
2012-01-24$30.92$31.0029.2%8.4%28.5%21.5%29.9%8.5%3.1%-98.5K1.8M-12.7K16.1776.34N/AN/A6976281,788
2012-01-25$31.22$31.0029.7%8.5%28.6%22.2%29.5%14.6%0.5%-93.7K1.7M-13.2K1.8976.03N/AN/A38726331,875
2012-01-26$31.32$31.0030.2%8.7%28.6%23.0%30.0%4.2%2.3%-92.9K1.6M-13.5K0.0074.12N/AN/A0256701,937
2012-01-27$31.57$31.0027.2%7.8%26.3%18.2%33.3%15.6%2.5%-93.7K1.5M-13.3K4.1785.59N/AN/A6256701,942
2012-01-30$30.85$31.0029.8%8.5%26.4%22.4%33.1%6.1%2.6%-103.4K1.9M-13.1K0.0086.08N/AN/A01486691,952
2012-01-31$30.94$31.0029.7%8.5%26.4%22.2%33.5%7.0%2.3%-117.3K2.0M-13.4K0.0089.26N/AN/A0276692,088