EWP Options History — December 2012

In December 2012, EWP traded between $28.47 and $30.26. ATM implied volatility averaged 25.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 9.0% (HV 20d: 16.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 8.34.

Notable Days

  • 2012-12-17: Highest Volume — 9,196 contracts
  • 2012-12-13: Largest IV drop — 21.9% change
  • 2012-12-10: Highest IV Rank — 32.4%
  • 2012-12-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.47$28.47$30.26$28.77$30.26
Max Pain$26.90$26.00$28.00$27.00$28.00
ATM IV25.7%20.5%32.8%31.3%22.5%
Expected Move7.0%5.9%9.0%9.0%6.4%
HV 20d16.7%12.8%20.1%20.1%19.2%
HV 60d24.2%21.6%27.9%27.9%22.8%
IV Rank13.6%0.0%32.4%28.2%5.6%
IV Percentile9.5%0.0%30.2%21.4%4.0%
Term Structure3.8%-3.3%9.9%-3.1%2.5%
VWIV26.2%20.3%40.5%31.9%23.9%
Skew 25d8.5%2.4%17.0%6.2%5.4%
Skew 10d14.4%7.3%21.9%9.3%18.0%
Call IV 25d19.8%14.5%26.5%26.5%20.4%
Put IV 25d28.3%22.9%35.4%32.7%25.8%
Bid-Ask Spread %43.9925.8253.5253.5230.33
Gamma HHI0.300.210.420.210.36
Net GEX1.8M1.4M2.3M1.5M2.1M
Net DEX-30.0M-45.4M-15.3M-30.6M-20.0M
Net VEX-91.2K-108.1K-58.2K-108.1K-83.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.340.0075.430.695.00
Total Volume1,017.429,196524312
Total OI37,573.6525,63743,81042,02925,637

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$28.77$27.0031.3%9.0%20.1%28.2%31.9%6.2%-3.1%1.5M-30.6M-108.1K0.6953.52N/AN/A31021428,64613,383
2012-12-04$29.04$27.0031.1%8.9%19.6%27.8%34.3%11.5%-2.5%1.6M-33.8M-105.5K0.4038.87N/AN/A24910028,94613,436
2012-12-05$29.03$27.0029.3%8.4%19.4%22.7%0.0%17.0%-3.3%1.6M-33.6M-100.6K1.1047.68N/AN/A596528,99213,536
2012-12-06$29.09$27.0030.0%8.6%17.3%24.5%40.5%16.8%-0.3%1.6M-33.7M-98.9K0.1547.74N/AN/A2003029,02913,596
2012-12-07$28.65$26.0031.1%6.8%16.5%27.7%26.2%8.6%4.5%1.5M-28.0M-95.3K29.5645.46N/AN/A926629,15913,586
2012-12-10$28.47$26.0032.8%7.4%16.8%32.4%28.8%11.6%5.4%1.4M-25.4M-85.0K7.8344.97N/AN/A2318029,15613,733
2012-12-11$28.96$26.0030.0%6.8%17.4%24.7%34.5%8.4%8.6%1.6M-34.3M-83.0K75.4345.74N/AN/A141,05629,15313,713
2012-12-12$29.30$26.0030.6%6.9%17.6%26.5%20.8%8.0%5.6%1.7M-38.3M-88.1K1.7841.07N/AN/A6751,20229,08114,729
2012-12-13$29.39$26.0023.9%6.9%17.4%7.7%28.4%7.5%5.1%1.8M-39.5M-84.3K1.9346.31N/AN/A12023128,63714,489
2012-12-14$29.56$26.0022.4%6.4%17.2%3.2%26.3%11.6%8.8%1.8M-41.5M-79.2K35.0042.72N/AN/A27028,47214,462
2012-12-17$29.80$26.0020.5%5.9%16.9%0.0%22.3%8.3%9.9%1.9M-45.4M-58.2K0.0349.00N/AN/A8,95424228,47214,484
2012-12-18$29.65$26.0021.2%6.1%16.1%2.0%21.3%5.4%6.5%1.8M-28.5M-96.3K0.3238.37N/AN/A98131222,70714,638
2012-12-19$29.83$26.0022.1%6.3%16.1%4.6%23.2%5.1%5.9%1.9M-31.3M-98.5K1.4648.78N/AN/A29042222,57414,656
2012-12-20$30.10$28.0021.2%6.1%16.2%2.1%21.2%5.5%6.7%2.0M-29.8M-98.1K0.0051.15N/AN/A43021,75714,913
2012-12-21$30.13$28.0021.8%6.3%13.7%3.8%20.5%5.9%6.2%1.9M-30.0M-95.4K1.0752.56N/AN/A808621,75714,913
2012-12-24$29.83$28.0021.7%6.2%14.4%3.4%21.5%2.4%3.1%2.0M-19.7M-94.1K0.0047.84N/AN/A2018,4338,280
2012-12-26$29.92$28.0021.4%6.1%13.1%2.7%27.0%5.7%4.0%2.1M-20.1M-91.9K4.8139.60N/AN/A2110118,4338,280
2012-12-27$30.16$28.0022.7%6.5%12.8%6.1%20.3%7.8%1.8%2.3M-21.3M-91.6K0.1942.37N/AN/A851618,4278,381
2012-12-28$29.36$28.0026.2%7.5%16.1%15.8%24.4%10.5%1.5%1.8M-15.3M-88.7K0.0325.82N/AN/A3,21411218,4118,386
2012-12-31$30.26$28.0022.5%6.4%19.2%5.6%23.9%5.4%2.5%2.1M-20.0M-83.8K5.0030.33N/AN/A5226017,1788,459