EWP Options History — March 2012

In March 2012, EWP traded between $28.96 and $31.49. ATM implied volatility averaged 27.7%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.2% (HV 20d: 25.5%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 9.43.

Notable Days

  • 2012-03-29: Highest Volume — 209 contracts
  • 2012-03-15: Largest IV spike — 23.5% change
  • 2012-03-06: Highest IV Rank — 27.7%
  • 2012-03-06: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.25$28.96$31.49$31.49$29.30
Max Pain$32.73$31.00$33.00$31.00$32.00
ATM IV27.7%21.2%33.1%30.8%29.1%
Expected Move8.2%7.1%9.8%8.8%8.3%
HV 20d25.5%16.8%29.0%17.6%29.0%
HV 60d25.6%24.2%27.9%26.4%24.2%
IV Rank19.1%8.5%27.7%24.0%21.2%
IV Percentile29.3%6.7%48.4%41.3%36.9%
Term Structure1.4%-1.9%5.3%0.7%0.6%
VWIV28.3%18.8%36.6%26.1%26.6%
Skew 25d9.5%4.5%13.3%13.0%10.1%
Skew 10d16.2%4.4%27.2%7.3%10.7%
Call IV 25d23.4%18.1%29.0%20.4%20.6%
Put IV 25d32.9%29.1%38.5%33.4%30.7%
Bid-Ask Spread %87.0876.3397.7196.4597.23
Gamma HHI0.220.170.250.220.21
Net GEX-143.8K-179.2K-113.2K-131.6K-136.6K
Net DEX2.6M1.7M3.4M1.9M3.3M
Net VEX-11.2K-12.8K-9.3K-12.4K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.430.0753.500.0918.00
Total Volume856209120103
Total OI2,925.2732,6883,1512,7643,057

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$31.49$31.0030.8%8.8%17.6%24.0%0.0%13.0%0.7%-131.6K1.9M-12.4K0.0996.45N/AN/A110106692,095
2012-03-02$31.16$31.0025.7%7.4%17.5%15.8%26.1%6.9%5.3%-131.2K2.0M-12.8K0.9194.30N/AN/A11107692,097
2012-03-05$30.90$33.0028.8%9.0%16.8%20.7%35.3%9.3%-0.2%-143.7K2.2M-12.3K0.5677.11N/AN/A18107802,097
2012-03-06$29.39$33.0033.1%9.8%23.8%27.7%36.6%9.2%-1.9%-140.6K3.1M-11.2K5.3376.33N/AN/A211127922,107
2012-03-07$29.57$33.0030.6%9.0%23.5%23.6%25.0%10.3%0.6%-159.2K3.2M-11.6K0.0080.61N/AN/A068032,197
2012-03-08$30.40$33.0032.7%9.2%25.6%27.1%30.8%13.3%-0.8%-166.8K2.6M-12.3K2.2980.19N/AN/A14328032,197
2012-03-09$29.94$33.0029.6%8.5%25.7%22.0%31.9%8.2%1.5%-170.2K2.9M-11.7K53.5080.38N/AN/A21078172,177
2012-03-12$29.69$33.0029.8%8.9%24.4%22.4%26.6%7.1%1.2%-172.7K3.1M-11.0K0.0082.02N/AN/A068162,146
2012-03-13$30.48$33.0026.6%8.7%26.5%17.1%30.6%9.0%1.8%-179.2K2.5M-11.4K0.8682.64N/AN/A77668162,147
2012-03-14$30.26$33.0021.2%8.5%26.2%8.5%30.5%4.5%1.7%-174.1K2.6M-11.5K0.0081.20N/AN/A0118932,209
2012-03-15$30.54$33.0026.2%7.5%26.2%16.6%30.7%8.0%2.2%-178.0K2.4M-11.3K7.3285.55N/AN/A251838932,219
2012-03-16$30.77$33.0024.9%7.1%26.4%14.4%21.8%11.2%4.7%-155.0K2.0M-11.5K0.0788.21N/AN/A3029182,233
2012-03-19$31.37$33.0027.5%7.9%27.2%18.6%28.6%8.5%0.6%-113.2K1.7M-11.2K28.7584.78N/AN/A41157661,922
2012-03-20$31.26$33.0025.7%7.4%27.1%15.7%28.3%12.3%1.7%-124.7K1.8M-11.2K1.7184.82N/AN/A17297701,980
2012-03-21$30.73$33.0026.2%7.5%27.5%16.6%26.3%7.2%1.0%-123.5K2.1M-11.2K1.0985.96N/AN/A57627702,002
2012-03-22$30.25$33.0027.8%8.0%28.0%19.1%29.4%12.7%1.7%-129.3K2.5M-11.1K4.8289.35N/AN/A11538082,058
2012-03-23$30.16$33.0026.2%7.5%27.9%16.5%26.0%12.7%2.5%-127.9K2.5M-11.3K33.5089.12N/AN/A2678192,075
2012-03-26$30.24$33.0025.4%7.3%27.9%15.3%18.8%9.5%3.7%-134.3K2.5M-10.6K5.1092.30N/AN/A10518192,058
2012-03-27$29.69$33.0027.4%7.9%28.4%18.5%26.4%6.5%0.5%-126.7K2.7M-10.4K3.5093.78N/AN/A10358292,059
2012-03-28$29.00$33.0027.2%7.8%29.0%18.2%26.3%8.9%1.7%-119.0K3.3M-9.3K2.4495.73N/AN/A501228392,057
2012-03-29$28.96$32.0028.0%8.0%28.6%19.4%30.9%9.5%1.1%-126.7K3.4M-9.5K18.0097.71N/AN/A111988602,118
2012-03-30$29.30$32.0029.1%8.3%29.0%21.2%26.6%10.1%0.6%-136.6K3.3M-10.2K0.0097.23N/AN/A01038652,192