EWP Options History — May 2012

In May 2012, EWP traded between $21.25 and $26.16. ATM implied volatility averaged 45.3%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 10.8% (HV 20d: 34.4%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 7.20.

Notable Days

  • 2012-05-14: Highest Volume — 30,265 contracts
  • 2012-05-21: Largest IV drop — 15.4% change
  • 2012-05-30: Highest IV Rank — 59.0%
  • 2012-05-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$21.25$26.16$26.16$21.36
Max Pain$25.41$24.00$27.00$27.00$24.00
ATM IV45.3%34.8%53.3%34.8%50.9%
Expected Move12.9%10.0%15.3%10.0%14.6%
HV 20d34.4%31.6%37.4%34.9%33.2%
HV 60d30.4%27.6%32.8%27.6%31.5%
IV Rank45.4%28.9%59.0%28.9%54.9%
IV Percentile69.9%49.6%86.5%49.6%80.2%
Term Structure-3.1%-7.3%1.5%-0.4%0.8%
VWIV44.4%31.1%56.3%31.1%46.2%
Skew 25d10.5%3.4%15.7%15.7%10.1%
Skew 10d20.4%-2.1%40.5%13.8%40.5%
Call IV 25d39.7%23.1%46.8%23.1%46.6%
Put IV 25d50.1%38.8%57.6%38.8%56.7%
Bid-Ask Spread %61.5844.8484.7080.9676.15
Gamma HHI0.360.240.480.260.24
Net GEX-299.5K-977.6K612.3K-790.6K-216.0K
Net DEX14.3M4.7M22.4M12.2M22.4M
Net VEX-83.1K-133.5K-45.6K-45.6K-83.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.200.0237.4518.810.83
Total Volume3,349.13622230,2655152,241
Total OI36,972.36415,45357,82615,45357,826

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$26.16$27.0034.8%10.0%34.9%28.9%31.1%15.7%-0.4%-790.6K12.2M-45.6K18.8180.96N/AN/A264891,67913,774
2012-05-02$25.18$27.0038.1%10.9%35.0%33.1%38.8%3.4%-2.0%-904.4K16.0M-45.9K0.8281.09N/AN/A1,0168331,68913,910
2012-05-03$25.02$27.0037.6%10.8%34.1%32.4%37.5%3.8%-0.6%-887.1K15.5M-48.1K0.7584.70N/AN/A3882912,66814,494
2012-05-04$25.10$26.0037.5%10.7%34.1%32.2%34.8%12.2%-5.8%-883.1K15.1M-48.7K1.1567.03N/AN/A2172492,98114,672
2012-05-07$25.79$26.0037.0%10.5%35.7%31.3%36.2%7.9%-5.3%-813.1K12.2M-47.9K1.0960.07N/AN/A2963233,19514,819
2012-05-08$25.63$26.0039.2%10.7%34.8%35.0%36.0%9.8%-6.0%-824.1K13.1M-48.3K3.1461.50N/AN/A772423,38714,913
2012-05-09$24.58$26.0044.7%12.2%35.4%44.4%42.8%11.5%-7.3%-867.9K17.6M-46.0K1.0560.28N/AN/A1,4211,4933,35114,990
2012-05-10$25.31$25.0042.5%12.2%37.4%40.6%41.8%8.5%-2.6%-812.6K13.4M-52.1K0.8160.31N/AN/A1951584,31115,680
2012-05-11$24.91$25.0042.4%12.1%35.5%40.4%42.9%11.9%-4.8%-872.3K15.1M-50.8K1.8461.93N/AN/A2444484,40115,751
2012-05-14$24.22$25.0048.8%14.0%36.6%51.3%43.3%8.4%-5.7%-977.6K18.7M-46.1K0.0258.71N/AN/A29,6096564,56515,662
2012-05-15$23.52$25.0047.2%13.5%36.1%48.6%48.6%9.8%-4.7%169.2K10.6M-121.2K11.6558.33N/AN/A1691,96933,88216,070
2012-05-16$23.16$25.0050.7%14.5%34.7%54.4%50.9%9.3%-4.4%95.0K16.7M-107.2K8.2657.93N/AN/A4393,62434,00016,967
2012-05-17$22.90$25.0052.8%15.1%34.1%58.1%56.3%15.0%-6.5%-111.7K22.3M-110.2K21.6452.82N/AN/A3367,27133,76619,850
2012-05-18$23.44$25.0052.8%15.1%34.4%58.1%55.6%14.0%-5.1%-285.0K20.1M-129.9K37.4554.85N/AN/A1605,99233,88423,173
2012-05-21$23.73$25.0044.7%12.8%34.3%44.3%48.6%15.6%-0.1%541.1K5.3M-126.6K11.6452.19N/AN/A3641932,27316,546
2012-05-22$23.60$25.0044.0%12.6%33.4%43.2%43.5%11.6%-1.9%612.3K4.7M-133.5K0.0555.85N/AN/A4,89426632,29316,710
2012-05-23$23.20$25.0050.6%14.5%32.2%54.4%46.5%13.7%-4.3%417.8K8.5M-120.1K0.7344.84N/AN/A27219932,74116,800
2012-05-24$22.93$25.0049.9%14.3%32.2%53.2%48.3%9.4%-1.5%402.9K9.3M-116.8K4.0549.25N/AN/A4417832,96116,836
2012-05-25$22.89$25.0046.1%13.2%31.6%46.7%47.4%8.8%1.5%497.6K8.8M-121.8K20.7957.07N/AN/A841,74637,30416,943
2012-05-29$22.00$25.0049.9%14.3%33.6%53.1%47.5%9.4%-2.6%105.3K15.7M-93.4K9.6464.16N/AN/A2992,88337,34317,411
2012-05-30$21.25$25.0053.3%15.3%34.4%59.0%51.3%10.1%0.5%-185.6K21.7M-83.3K2.2954.71N/AN/A4521,03737,48919,432
2012-05-31$21.36$24.0050.9%14.6%33.2%54.9%46.2%10.1%0.8%-216.0K22.4M-83.7K0.8376.15N/AN/A1,2241,01737,70420,122