EWP Options History — June 2012

In June 2012, EWP traded between $21.23 and $24.80. ATM implied volatility averaged 43.0%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 3.0% (HV 20d: 40.0%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2012-06-29: Highest Volume — 14,434 contracts
  • 2012-06-12: Largest IV drop — 18.0% change
  • 2012-06-01: Highest IV Rank — 65.0%
  • 2012-06-01: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.16$21.23$24.80$21.23$24.80
Max Pain$24.43$24.00$27.00$24.00$24.00
ATM IV43.0%34.6%56.9%56.9%34.6%
Expected Move12.6%9.9%16.3%16.3%9.9%
HV 20d40.0%33.2%51.1%33.2%51.1%
HV 60d35.3%31.4%41.1%31.4%41.1%
IV Rank41.0%25.2%65.0%65.0%25.2%
IV Percentile58.7%32.5%92.1%92.1%32.5%
Term Structure1.5%-3.4%6.2%-3.4%3.1%
VWIV43.8%34.9%54.9%54.9%36.2%
Skew 25d11.5%6.8%14.9%14.4%8.3%
Skew 10d26.1%17.2%38.3%21.8%22.2%
Call IV 25d39.5%33.2%49.0%49.0%33.2%
Put IV 25d51.1%40.8%63.4%63.4%41.5%
Bid-Ask Spread %73.7963.7382.9676.5180.30
Gamma HHI0.280.240.350.250.32
Net GEX1.8M-150.7K5.0M-150.7K5.0M
Net DEX-2.6M-31.0M22.0M22.0M-31.0M
Net VEX-128.8K-164.2K-85.5K-85.5K-162.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.044.651.690.07
Total Volume3,3019614,43448914,434
Total OI74,944.95259,34283,94659,34281,708

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$21.23$24.0056.9%16.3%33.2%65.0%54.9%14.4%-3.4%-150.7K22.0M-85.5K1.6976.51N/AN/A18230738,81020,532
2012-06-04$22.16$27.0049.1%14.4%37.7%51.9%53.6%12.5%-0.4%-17.3K16.8M-97.6K3.6267.52N/AN/A3411,23338,89920,727
2012-06-05$22.17$27.0051.3%14.6%35.7%55.5%45.9%14.4%-1.9%-32.1K17.7M-93.0K0.8366.91N/AN/A86672039,13720,769
2012-06-06$23.07$27.0046.7%13.2%39.5%47.7%42.6%13.2%3.6%271.5K10.5M-108.9K0.1068.36N/AN/A10,9361,10039,88420,407
2012-06-07$22.86$24.0041.6%12.9%37.1%39.1%47.3%10.4%3.8%772.4K4.7M-130.1K2.2863.73N/AN/A20747250,09920,247
2012-06-08$23.44$24.0042.6%13.0%36.6%40.9%44.8%11.3%2.0%1.2M-936.3K-138.5K0.4370.01N/AN/A1,13949052,38220,285
2012-06-11$22.90$24.0050.0%13.5%37.0%53.3%48.5%9.6%0.8%1.1M-821.9K-137.0K2.0666.38N/AN/A26254055,26120,470
2012-06-12$23.28$24.0040.9%13.6%36.6%38.0%47.0%10.1%2.4%995.8K872.8K-124.5K0.0470.34N/AN/A8,64233650,87020,573
2012-06-13$23.45$24.0041.0%14.0%35.2%38.1%50.6%14.9%-0.4%1.6M-6.7M-141.6K3.5871.10N/AN/A9232959,43120,630
2012-06-14$23.85$24.0045.7%13.1%35.2%46.1%41.1%12.7%6.2%2.3M-15.1M-152.7K0.0672.93N/AN/A12,19377359,45320,524
2012-06-15$23.93$24.0044.3%12.7%34.9%43.6%43.9%13.9%2.1%2.4M-14.1M-155.4K1.7271.63N/AN/A52289958,52521,090
2012-06-18$23.07$24.0041.0%11.7%36.6%38.0%41.7%13.9%2.2%1.7M-906.5K-113.9K1.0674.00N/AN/A1,2561,33356,02412,893
2012-06-19$23.83$24.0036.9%10.6%38.2%31.2%35.9%11.5%4.9%2.3M-8.6M-132.0K0.8579.51N/AN/A38532956,87913,968
2012-06-20$24.27$24.0036.3%10.4%38.6%30.2%34.9%6.8%2.9%3.7M-20.1M-154.2K4.0079.75N/AN/A3471,38867,95214,199
2012-06-21$22.96$24.0041.8%12.0%43.2%39.5%44.4%13.1%1.3%2.5M-6.8M-144.6K0.5275.80N/AN/A50626367,57915,188
2012-06-22$23.95$24.0039.3%11.3%45.5%33.3%42.6%10.7%0.4%3.6M-19.2M-164.2K0.9782.96N/AN/A21220668,00715,305
2012-06-25$22.76$24.0039.7%11.4%49.3%34.2%42.4%10.5%2.9%2.1M-1.4M-121.7K0.5974.97N/AN/A28116568,16215,394
2012-06-26$22.50$24.0044.4%12.7%47.3%42.2%37.4%8.6%-1.0%1.8M3.2M-108.0K0.4973.69N/AN/A1818868,38815,358
2012-06-27$22.86$24.0039.8%11.4%45.6%34.3%38.4%10.2%-0.1%2.1M-759.4K-114.6K0.1181.18N/AN/A4,75851268,53715,409
2012-06-28$23.12$24.0039.9%11.4%45.7%34.4%45.3%11.6%0.3%2.4M-4.1M-124.0K4.6581.95N/AN/A177967,97715,912
2012-06-29$24.80$24.0034.6%9.9%51.1%25.2%36.2%8.3%3.1%5.0M-31.0M-162.5K0.0780.30N/AN/A13,45398165,72315,985