EWP Options History — November 2012

In November 2012, EWP traded between $26.93 and $28.92. ATM implied volatility averaged 33.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.4% (HV 20d: 24.2%). 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 3 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2012-11-02: Highest Volume — 6,293 contracts
  • 2012-11-28: Largest IV drop — 13.2% change
  • 2012-11-15: Highest IV Rank — 46.9%
  • 2012-11-05: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.87$26.93$28.92$28.67$28.92
Max Pain$27.19$27.00$29.00$29.00$27.00
ATM IV33.6%28.6%38.9%33.5%29.9%
Expected Move10.0%8.2%11.2%9.6%8.6%
HV 20d24.2%18.6%29.8%28.7%20.5%
HV 60d29.1%27.9%30.4%29.8%27.9%
IV Rank32.6%20.6%46.9%31.9%24.3%
IV Percentile33.4%11.1%66.3%30.6%16.3%
Term Structure-1.9%-4.2%2.4%2.4%-3.5%
VWIV34.7%27.0%41.4%29.1%31.3%
Skew 25d9.3%4.2%13.2%5.5%7.6%
Skew 10d18.7%7.4%29.2%18.7%9.3%
Call IV 25d29.9%23.3%36.0%32.9%25.0%
Put IV 25d39.1%32.6%43.3%38.4%32.6%
Bid-Ask Spread %42.4621.6574.8674.8660.12
Gamma HHI0.210.200.230.220.20
Net GEX1.0M821.7K1.6M829.8K1.6M
Net DEX-15.1M-32.7M-447.8K-20.9M-32.7M
Net VEX-124.9K-138.1K-109.0K-128.1K-115.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0017.800.000.07
Total Volume1,623.333656,293580888
Total OI41,454.90532,47848,70332,47842,184

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$28.67$29.0033.5%9.6%28.7%31.9%29.1%5.5%2.4%829.8K-20.9M-128.1K0.0074.86N/AN/A580021,57310,905
2012-11-02$28.33$29.0036.9%10.6%28.9%40.7%37.0%5.5%2.2%821.7K-19.4M-129.4K0.0169.94N/AN/A6,2187521,98110,905
2012-11-05$27.96$27.0037.5%11.2%28.9%42.3%39.0%4.2%-3.1%924.0K-16.7M-129.1K1.0230.86N/AN/A2,5122,57124,99810,971
2012-11-06$28.21$27.0036.4%10.9%28.8%39.3%41.4%10.4%-1.2%928.4K-19.2M-138.1K0.6330.10N/AN/A704427,50413,507
2012-11-07$27.59$27.0033.8%10.7%29.8%32.6%41.3%11.1%-1.6%877.9K-11.2M-129.5K0.7928.01N/AN/A33326427,54313,536
2012-11-08$27.03$27.0033.9%10.9%28.3%33.0%27.9%7.5%-2.9%883.0K-6.2M-127.7K0.5621.65N/AN/A25114027,80013,635
2012-11-09$27.03$27.0033.6%11.0%28.2%32.1%38.2%10.6%-2.7%906.5K-4.8M-121.0K1.0025.32N/AN/A3,1213,11027,96013,697
2012-11-12$26.98$27.0034.6%10.5%27.9%34.9%36.8%11.1%-1.8%885.8K-673.1K-131.6K1.2430.45N/AN/A293631,04916,780
2012-11-13$27.03$27.0033.1%10.6%27.9%31.5%27.0%8.6%-3.3%930.1K-1.6M-129.5K4.9027.22N/AN/A3115231,07716,788
2012-11-14$26.93$27.0034.4%10.9%27.5%34.9%39.5%8.3%-4.1%955.1K-447.8K-131.4K2.4431.70N/AN/A20349631,05916,916
2012-11-15$27.27$27.0038.9%11.1%23.4%46.9%39.9%9.9%-2.7%979.1K-3.3M-129.4K0.6025.99N/AN/A51130631,11117,097
2012-11-16$27.15$27.0036.3%10.4%19.6%40.1%33.9%10.6%-2.2%1.0M-1.6M-129.2K1.1832.23N/AN/A1,2721,50631,39617,307
2012-11-19$27.73$27.0032.8%9.4%21.3%30.8%38.6%12.5%0.3%1.0M-15.8M-128.6K12.3530.63N/AN/A2328427,05113,144
2012-11-20$27.80$27.0032.6%9.3%19.0%30.1%27.4%10.1%-1.2%1.1M-16.2M-128.6K17.8049.50N/AN/A58927,05213,100
2012-11-21$27.83$27.0033.1%9.5%18.6%31.5%33.9%8.7%-3.1%1.1M-16.9M-122.8K6.0750.87N/AN/A159127,05313,177
2012-11-23$28.59$27.0031.8%9.1%19.5%28.2%33.3%9.6%-1.0%1.2M-25.2M-122.2K5.1252.62N/AN/A4121027,06613,156
2012-11-26$28.62$27.0030.8%8.8%19.5%25.5%38.0%8.9%-2.0%1.2M-25.8M-118.8K0.8351.51N/AN/A16513727,08713,183
2012-11-27$28.22$27.0033.5%9.6%20.2%32.6%33.8%11.2%-3.3%1.2M-22.5M-113.5K0.0956.73N/AN/A3,14629427,21813,270
2012-11-28$28.57$27.0029.1%8.3%20.6%20.9%31.1%13.2%-4.2%1.2M-25.7M-109.1K1.8355.00N/AN/A10519226,52413,259
2012-11-29$28.90$27.0028.6%8.2%20.8%20.6%29.7%9.4%-0.6%1.3M-29.1M-109.0K0.0156.47N/AN/A4,5264826,60913,325
2012-11-30$28.92$27.0029.9%8.6%20.5%24.3%31.3%7.6%-3.5%1.6M-32.7M-115.8K0.0760.12N/AN/A8295928,84113,343