EWP Options History — September 2012

In September 2012, EWP traded between $26.31 and $29.93. ATM implied volatility averaged 34.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.5% (HV 20d: 31.5%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.40.

Notable Days

  • 2012-09-27: Highest Volume — 4,844 contracts
  • 2012-09-07: Largest IV drop — 14.7% change
  • 2012-09-05: Highest IV Rank — 33.5%
  • 2012-09-05: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.65$26.31$29.93$26.47$27.69
Max Pain$25.47$24.00$27.00$24.00$27.00
ATM IV34.0%30.3%40.1%39.7%36.0%
Expected Move9.9%8.7%11.5%11.4%10.3%
HV 20d31.5%26.9%35.6%27.6%35.6%
HV 60d46.2%42.6%49.0%47.8%42.6%
IV Rank25.2%18.9%33.5%32.8%30.8%
IV Percentile29.2%17.1%54.8%50.4%39.7%
Term Structure2.1%-1.6%4.3%0.9%1.4%
VWIV36.8%30.3%44.8%37.4%34.9%
Skew 25d9.4%2.6%13.8%10.2%9.3%
Skew 10d22.8%10.2%30.0%22.5%20.0%
Call IV 25d31.4%27.0%37.7%36.3%33.0%
Put IV 25d40.7%35.8%46.5%46.5%42.2%
Bid-Ask Spread %32.9918.8765.5958.2721.60
Gamma HHI0.260.180.410.210.18
Net GEX364.5K-50.2K1.1M158.8K374.9K
Net DEX-28.0M-41.7M-12.2M-14.4M-14.2M
Net VEX-127.4K-142.4K-116.3K-138.3K-133.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0513.094.600.53
Total Volume1,941.7893134,8441,4052,618
Total OI41,841.63237,84744,89537,84744,895

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$26.47$24.0039.7%11.4%27.6%32.8%37.4%10.2%0.9%158.8K-14.4M-138.3K4.6058.27N/AN/A2511,15418,16619,681
2012-09-05$26.31$24.0040.1%11.5%26.9%33.5%41.7%8.4%1.8%120.2K-12.2M-142.4K1.1760.36N/AN/A65676718,37820,758
2012-09-06$27.83$25.0037.9%10.9%32.4%29.6%41.2%2.6%-1.6%163.7K-22.8M-133.2K5.8253.92N/AN/A3442,00318,30921,012
2012-09-07$28.37$25.0032.4%10.0%32.0%19.8%38.0%12.7%2.3%162.9K-26.6M-127.5K0.4659.63N/AN/A1,50269418,39222,055
2012-09-10$27.96$25.0034.5%10.5%32.8%23.6%36.4%13.0%0.2%203.1K-24.8M-140.2K4.0965.59N/AN/A8133119,45222,122
2012-09-11$28.56$25.0033.0%9.9%33.0%20.9%42.8%13.8%2.2%172.6K-28.4M-135.4K1.4625.65N/AN/A1,3932,03519,46922,306
2012-09-12$28.95$25.0033.2%10.0%33.0%24.5%44.8%11.7%1.0%313.9K-32.5M-130.6K2.7525.47N/AN/A5141,41520,02222,065
2012-09-13$29.54$25.0031.2%8.9%33.2%20.8%33.5%11.0%3.8%364.7K-36.9M-121.5K0.7232.26N/AN/A1,23788819,81022,833
2012-09-14$29.93$25.0032.3%9.2%29.4%23.0%36.3%8.6%2.2%419.3K-41.2M-118.9K0.1724.08N/AN/A1,94233820,66822,837
2012-09-17$29.89$25.0032.3%9.3%29.4%23.2%34.4%8.2%2.4%847.9K-41.7M-118.5K4.3622.68N/AN/A16571921,50022,909
2012-09-18$29.39$25.0033.1%9.5%30.3%24.7%36.0%8.3%3.6%773.4K-36.8M-122.8K0.5019.45N/AN/A1,32866621,32923,075
2012-09-19$29.51$26.0031.3%9.0%30.3%21.0%36.6%9.4%2.7%802.4K-36.5M-122.7K1.9025.28N/AN/A10820520,93023,437
2012-09-20$29.07$26.0032.1%9.2%30.9%22.8%35.3%8.0%3.8%496.8K-33.0M-121.4K1.3522.16N/AN/A23832220,90323,538
2012-09-21$29.71$26.0030.3%8.7%30.3%18.9%30.3%8.1%4.3%1.1M-38.3M-116.3K0.2924.20N/AN/A42912620,98923,832
2012-09-24$29.47$26.0032.9%9.4%30.8%24.4%34.5%8.7%0.9%256.4K-29.2M-117.0K1.7724.88N/AN/A24242817,48020,405
2012-09-25$29.00$26.0034.1%9.8%31.9%26.9%32.6%8.6%1.6%236.8K-26.3M-118.6K13.0918.87N/AN/A2303,01017,55120,441
2012-09-26$28.11$27.0036.8%10.6%34.5%32.5%37.9%8.8%1.6%-50.2K-15.1M-130.4K0.4219.93N/AN/A2,5861,08517,65423,055
2012-09-27$28.55$27.0032.8%9.4%34.6%24.2%34.0%8.5%3.8%41.9K-20.2M-132.4K0.0522.60N/AN/A4,59225218,91923,814
2012-09-28$27.69$27.0036.0%10.3%35.6%30.8%34.9%9.3%1.4%374.9K-14.2M-133.4K0.5321.60N/AN/A1,70891020,92723,968