EWP Options History — October 2012

In October 2012, EWP traded between $27.47 and $30.00. ATM implied volatility averaged 35.1%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.7% (HV 20d: 30.4%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.64.

Notable Days

  • 2012-10-17: Highest Volume — 6,936 contracts
  • 2012-10-23: Largest IV spike — 12.7% change
  • 2012-10-23: Highest IV Rank — 43.7%
  • 2012-10-23: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.39$27.47$30.00$27.75$28.37
Max Pain$28.29$27.00$29.00$27.00$29.00
ATM IV35.1%31.3%38.1%37.1%37.7%
Expected Move10.2%9.0%10.9%10.6%10.8%
HV 20d30.4%26.4%34.0%33.5%29.4%
HV 60d39.1%30.7%42.1%41.9%30.7%
IV Rank35.2%26.2%43.7%33.1%42.7%
IV Percentile38.7%20.2%57.9%45.6%56.7%
Term Structure2.0%-0.1%3.5%0.7%2.2%
VWIV35.3%30.5%39.2%31.3%39.2%
Skew 25d7.8%3.6%10.3%7.2%6.3%
Skew 10d19.3%9.7%30.1%9.7%11.8%
Call IV 25d32.2%27.7%35.5%33.4%33.2%
Put IV 25d40.0%36.4%43.2%40.6%39.5%
Bid-Ask Spread %33.9113.5481.6581.6570.47
Gamma HHI0.230.180.340.180.22
Net GEX762.9K110.2K1.6M504.2K753.8K
Net DEX-21.4M-39.1M-11.5M-15.9M-19.9M
Net VEX-113.4K-132.9K-89.8K-132.9K-129.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.0215.002.480.45
Total Volume1,418.667166,93616716
Total OI41,156.38125,70446,81646,63332,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$27.75$27.0037.1%10.6%33.5%33.1%31.3%7.2%0.7%504.2K-15.9M-132.9K2.4881.65N/AN/A4811922,07224,561
2012-10-02$28.35$27.0036.7%10.5%33.9%32.3%35.7%4.3%2.0%559.4K-22.0M-130.0K15.0020.53N/AN/A1522522,08424,590
2012-10-03$28.16$27.0035.5%10.2%34.0%34.0%35.0%5.5%2.4%585.0K-19.8M-128.3K0.8018.09N/AN/A453622,05424,503
2012-10-04$28.53$27.0033.8%9.7%28.0%32.5%35.3%3.6%2.3%633.1K-24.0M-123.7K9.5513.54N/AN/A4038222,07824,508
2012-10-05$28.81$29.0032.8%10.0%27.4%30.1%36.4%7.9%0.8%690.7K-28.0M-120.3K6.5325.74N/AN/A3220922,08324,553
2012-10-08$28.65$29.0034.6%10.2%26.9%34.7%38.7%8.3%0.9%855.9K-25.5M-113.1K1.1525.53N/AN/A10512121,70024,537
2012-10-09$27.71$29.0034.2%10.7%28.5%33.6%37.5%7.5%-0.1%728.7K-14.2M-112.3K1.2333.30N/AN/A10212521,66124,489
2012-10-10$27.47$29.0037.7%10.9%28.0%42.8%37.5%9.1%0.4%665.9K-11.5M-109.1K2.4626.38N/AN/A32880821,69424,466
2012-10-11$27.73$28.0035.4%10.2%27.1%36.9%34.1%8.0%2.0%821.4K-15.8M-110.9K1.6727.73N/AN/A335521,91924,794
2012-10-12$27.63$28.0034.5%9.9%26.4%34.4%38.5%7.6%1.8%894.4K-13.2M-106.5K1.8228.10N/AN/A112021,93524,812
2012-10-15$27.94$28.0033.6%9.6%26.9%32.0%31.9%9.4%1.0%1.2M-16.6M-99.9K0.0238.01N/AN/A5,5338821,94124,809
2012-10-16$29.08$28.0031.9%9.1%30.5%27.7%33.7%9.1%3.3%1.2M-30.3M-102.0K1.0841.34N/AN/A72178021,87324,777
2012-10-17$30.00$28.0031.3%9.0%32.5%26.2%31.6%9.3%2.2%110.2K-39.1M-89.8K0.6030.68N/AN/A4,3402,59620,35324,872
2012-10-18$29.58$28.0032.5%9.3%32.4%29.4%34.3%6.5%2.4%754.3K-38.6M-104.5K4.2344.05N/AN/A9640622,73523,945
2012-10-19$28.72$28.0034.3%9.8%33.1%34.0%34.9%8.5%1.1%1.6M-28.1M-103.7K0.5925.97N/AN/A3,1311,86322,72324,093
2012-10-22$28.97$29.0033.8%9.7%33.2%32.6%30.5%9.7%3.5%672.6K-20.4M-112.5K0.1531.87N/AN/A79212117,8117,893
2012-10-23$28.30$29.0038.1%10.9%33.8%43.7%36.8%8.8%3.0%657.6K-16.8M-111.9K4.1730.16N/AN/A19782218,5457,996
2012-10-24$28.18$29.0037.7%10.8%31.9%42.9%34.2%9.6%3.5%652.6K-16.5M-112.4K0.1134.57N/AN/A2152418,7098,385
2012-10-25$28.21$29.0037.6%10.8%31.4%42.4%35.9%8.4%3.2%688.5K-16.3M-113.4K0.0533.25N/AN/A6143118,9218,407
2012-10-26$28.15$29.0036.7%10.5%29.3%40.1%37.5%10.3%3.1%739.5K-16.8M-113.9K1.2331.13N/AN/A2,0422,50519,5258,414
2012-10-31$28.37$29.0037.7%10.8%29.4%42.7%39.2%6.3%2.2%753.8K-19.9M-129.5K0.4570.47N/AN/A11521,56410,900