EWP Options History — April 2012

In April 2012, EWP traded between $25.21 and $29.46. ATM implied volatility averaged 34.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.1% (HV 20d: 30.1%). Max pain ranged from $27.00 to $33.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 49.36.

Notable Days

  • 2012-04-24: Highest Volume — 5,220 contracts
  • 2012-04-10: Largest IV spike — 16.5% change
  • 2012-04-10: Highest IV Rank — 36.5%
  • 2012-04-16: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.60$25.21$29.46$29.46$26.04
Max Pain$29.00$27.00$33.00$33.00$27.00
ATM IV34.2%28.4%38.5%28.4%36.2%
Expected Move9.8%8.1%10.8%8.1%10.4%
HV 20d30.1%25.2%35.4%29.1%34.9%
HV 60d26.0%23.0%28.1%23.0%27.8%
IV Rank29.6%20.1%36.5%20.1%32.8%
IV Percentile50.1%34.9%60.3%34.9%55.2%
Term Structure-1.6%-5.4%1.8%-0.5%-2.2%
VWIV34.1%21.4%43.6%34.1%37.1%
Skew 25d10.7%1.3%19.7%13.6%10.7%
Skew 10d16.2%-0.6%28.9%16.7%9.1%
Call IV 25d28.2%21.3%36.3%21.3%27.9%
Put IV 25d38.9%29.7%46.4%34.9%38.6%
Bid-Ask Spread %77.1456.7697.0997.0988.01
Gamma HHI0.260.220.310.220.31
Net GEX-514.8K-841.9K-150.9K-152.9K-841.9K
Net DEX10.0M3.3M14.5M3.3M12.8M
Net VEX-26.4K-46.6K-9.8K-10.2K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio49.360.64350.0017.75316.00
Total Volume1,206.951115,220225317
Total OI9,358.83,09815,1713,09815,171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$29.46$33.0028.4%8.1%29.1%20.1%34.1%13.6%-0.5%-152.9K3.3M-10.2K17.7597.09N/AN/A122138382,260
2012-04-03$28.38$33.0030.0%8.6%26.6%22.7%27.3%1.3%0.5%-150.9K4.3M-9.8K22.6593.92N/AN/A378388382,436
2012-04-04$27.63$33.0029.3%8.4%27.8%21.5%21.4%12.5%1.8%-195.0K5.8M-11.9K18.6894.12N/AN/A407478303,179
2012-04-05$27.29$33.0031.0%8.9%25.4%24.4%29.8%10.9%0.9%-233.3K6.8M-12.9K57.8295.96N/AN/A116368703,735
2012-04-09$26.99$29.0033.0%9.0%25.2%27.6%32.0%8.1%0.1%-264.5K7.5M-14.4K9.2966.54N/AN/A242238794,322
2012-04-10$26.32$29.0038.5%10.6%26.2%36.5%43.6%11.9%-2.5%-226.1K8.2M-13.0K350.0065.63N/AN/A103,5008854,413
2012-04-11$27.14$29.0034.1%10.3%27.0%29.3%34.0%8.5%-3.8%-459.6K9.1M-21.4K32.9560.06N/AN/A862,8348927,517
2012-04-12$27.16$29.0033.6%9.6%27.1%28.6%34.0%11.5%-1.7%-483.0K9.2M-22.6K2.1764.55N/AN/A35769787,789
2012-04-13$26.14$29.0035.9%10.3%28.8%32.3%37.2%9.9%-1.7%-474.7K10.3M-22.2K6.5670.34N/AN/A392569997,811
2012-04-16$26.10$29.0037.5%10.8%28.4%34.9%32.2%14.9%-3.9%-479.5K10.5M-21.4K20.7556.76N/AN/A163321,0387,886
2012-04-17$26.74$28.0033.7%9.7%29.1%28.7%32.7%16.3%-1.7%-516.6K9.8M-21.8K24.6674.20N/AN/A641,5781,0538,059
2012-04-18$25.83$28.0036.6%10.5%30.5%33.4%36.7%19.7%-5.4%-530.9K12.4M-29.1K3.8572.68N/AN/A2128171,1179,119
2012-04-19$25.21$28.0037.3%10.7%30.8%34.5%36.8%2.4%-4.2%-572.9K13.5M-28.6K15.9272.47N/AN/A1943,0891,2579,372
2012-04-20$25.74$28.0035.4%10.2%32.6%31.5%33.6%11.7%-4.3%-777.4K14.5M-36.3K4.1668.17N/AN/A1847651,37112,046
2012-04-23$25.22$27.0036.8%10.5%32.8%33.8%38.9%9.0%-1.9%-793.9K14.1M-33.7K8.0073.61N/AN/A453601,14811,011
2012-04-24$25.69$27.0034.7%9.9%34.0%30.3%35.9%8.1%0.7%-822.1K12.8M-34.5K50.1883.85N/AN/A1025,1181,19111,258
2012-04-25$26.26$27.0033.9%9.7%35.4%29.1%34.8%6.8%-0.6%-770.5K11.6M-45.9K1.0583.56N/AN/A2602741,28912,858
2012-04-26$26.14$27.0032.9%9.4%34.8%27.4%36.0%15.4%0.4%-779.5K12.5M-46.5K0.6479.97N/AN/A2391541,54713,087
2012-04-27$26.44$27.0036.0%10.3%35.3%32.4%33.6%10.4%-2.4%-770.8K11.2M-46.6K24.1381.35N/AN/A163861,66713,160
2012-04-30$26.04$27.0036.2%10.4%34.9%32.8%37.1%10.7%-2.2%-841.9K12.8M-45.6K316.0088.01N/AN/A13161,67813,493