EWP Options History — February 2012

In February 2012, EWP traded between $31.18 and $32.87. ATM implied volatility averaged 28.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.8% (HV 20d: 20.2%). Max pain ranged from $31.00 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 13.35.

Notable Days

  • 2012-02-13: Highest Volume — 203 contracts
  • 2012-02-09: Largest IV spike — 23.1% change
  • 2012-02-15: Highest IV Rank — 26.9%
  • 2012-02-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.83$31.18$32.87$31.60$31.18
Max Pain$31.05$31.00$32.00$31.00$31.00
ATM IV28.0%21.8%32.6%25.4%28.8%
Expected Move8.2%7.3%9.3%7.3%8.3%
HV 20d20.2%17.7%26.3%26.3%18.8%
HV 60d32.5%26.2%37.5%37.5%26.3%
IV Rank19.5%9.4%26.9%15.3%20.8%
IV Percentile29.6%6.7%47.2%16.7%33.3%
Term Structure1.8%-0.7%5.2%4.7%2.6%
VWIV32.6%27.9%37.2%31.9%30.1%
Skew 25d10.6%6.3%17.0%17.0%6.8%
Skew 10d16.0%4.1%30.6%13.2%4.1%
Call IV 25d24.2%15.9%28.2%15.9%22.2%
Put IV 25d34.8%29.0%41.5%32.8%29.0%
Bid-Ask Spread %75.3461.8493.7491.6293.74
Gamma HHI0.230.190.280.230.23
Net GEX-120.4K-163.3K-96.3K-102.0K-131.1K
Net DEX1.6M799.4K2.1M1.5M2.0M
Net VEX-12.7K-13.5K-11.9K-13.5K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.350.0060.505.8320.00
Total Volume57.6502032140
Total OI2,886.552,5943,2252,7802,724

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$31.60$31.0025.4%7.3%26.3%15.3%0.0%17.0%4.7%-102.0K1.5M-13.5K0.0091.62N/AN/A0216692,111
2012-02-02$31.91$31.0026.8%7.7%24.9%17.5%0.0%6.3%2.2%-106.1K1.4M-13.2K0.0089.70N/AN/A0256692,119
2012-02-03$32.33$32.0026.5%8.7%20.3%17.0%31.9%8.4%-0.3%-96.3K1.1M-13.1K5.8365.58N/AN/A12706692,134
2012-02-06$31.99$31.0026.3%8.3%19.3%16.7%0.0%8.4%0.8%-115.7K1.4M-13.1K0.0064.01N/AN/A0356692,204
2012-02-07$32.34$31.0026.9%8.6%19.4%17.7%36.9%8.8%0.4%-112.6K1.2M-12.9K10.5061.84N/AN/A2216692,226
2012-02-08$32.68$31.0021.8%7.7%18.1%9.4%0.0%6.3%2.4%-98.3K931.1K-12.6K0.0064.71N/AN/A0106692,244
2012-02-09$32.87$31.0026.8%7.7%17.7%17.5%0.0%8.7%1.6%-96.6K799.4K-12.4K0.0070.09N/AN/A2206692,247
2012-02-10$32.01$31.0030.8%8.8%20.9%24.0%37.1%12.8%0.5%-124.4K1.4M-12.6K5.6169.74N/AN/A281576612,247
2012-02-13$32.19$31.0029.7%8.5%19.7%22.3%27.9%16.9%1.0%-122.9K1.3M-12.6K1.5473.89N/AN/A801236772,338
2012-02-14$31.75$31.0030.2%8.6%20.5%23.0%37.2%9.0%0.4%-147.0K1.7M-13.1K0.0068.77N/AN/A0187572,459
2012-02-15$31.34$31.0032.6%9.3%21.2%26.9%0.0%9.9%0.8%-158.8K2.0M-12.8K0.0068.08N/AN/A0237572,466
2012-02-16$31.35$31.0032.0%9.2%19.6%26.0%29.7%15.9%0.7%-163.3K2.1M-12.5K7.0866.84N/AN/A13927572,468
2012-02-17$31.60$31.0026.2%7.5%19.7%16.5%35.6%13.0%3.2%-105.9K1.7M-12.5K1.7168.73N/AN/A7127662,419
2012-02-21$31.79$31.0027.9%8.0%19.8%19.4%27.9%11.2%1.7%-103.1K1.6M-12.0K18.0075.71N/AN/A1186551,939
2012-02-22$31.45$31.0032.0%9.2%20.2%25.9%0.0%8.2%-0.7%-108.4K1.7M-11.9K16.1081.18N/AN/A101616561,950
2012-02-23$31.46$31.0031.1%8.9%20.0%24.5%30.9%15.8%1.2%-131.9K2.0M-13.1K0.0077.56N/AN/A086662,110
2012-02-24$31.61$31.0026.6%7.6%20.0%17.2%0.0%7.1%4.0%-124.5K1.9M-12.9K0.0081.95N/AN/A006662,118
2012-02-27$31.56$31.0026.0%7.4%19.8%16.2%33.6%10.7%5.2%-129.6K1.9M-12.5K60.5079.53N/AN/A21216662,118
2012-02-28$31.67$31.0025.9%7.4%17.9%16.1%30.1%11.1%3.5%-130.2K1.8M-12.2K20.0093.60N/AN/A1206682,055
2012-02-29$31.18$31.0028.8%8.3%18.8%20.8%0.0%6.8%2.6%-131.1K2.0M-12.1K0.0093.74N/AN/A0406692,055