EWP Options History — January 2013

In January 2013, EWP traded between $30.16 and $32.93. ATM implied volatility averaged 20.3%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.3% (HV 20d: 20.0%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.14.

Notable Days

  • 2013-01-15: Highest Volume — 2,541 contracts
  • 2013-01-30: Largest IV spike — 20.2% change
  • 2013-01-31: Highest IV Rank — 12.5%
  • 2013-01-08: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.76$30.16$32.93$30.49$31.39
Max Pain$29.29$28.00$31.00$29.00$31.00
ATM IV20.3%16.8%22.4%22.4%21.8%
Expected Move6.0%4.8%6.7%6.4%6.3%
HV 20d20.0%16.3%21.7%19.1%21.0%
HV 60d20.5%18.2%22.9%22.8%19.8%
IV Rank2.3%0.0%12.5%5.4%12.5%
IV Percentile1.8%0.0%9.9%4.0%9.9%
Term Structure3.2%1.2%5.1%2.0%1.9%
VWIV21.0%15.1%29.0%21.8%19.0%
Skew 25d4.7%1.2%7.9%6.4%4.8%
Skew 10d7.9%-1.1%19.0%19.0%7.6%
Call IV 25d18.8%13.8%22.7%18.2%17.6%
Put IV 25d23.5%20.5%27.5%24.6%22.4%
Bid-Ask Spread %52.7524.6569.6524.6549.82
Gamma HHI0.430.310.770.360.42
Net GEX2.0M713.0K5.0M2.3M733.9K
Net DEX-27.2M-44.1M-14.4M-21.5M-14.4M
Net VEX-72.5K-87.1K-58.1K-81.3K-68.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.140.0128.030.8411.51
Total Volume514.238232,5415541,476
Total OI22,405.57113,46329,10825,75713,926

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$30.49$29.0022.4%6.4%19.1%5.4%21.8%6.4%2.0%2.3M-21.5M-81.3K0.8424.65N/AN/A30125317,1578,600
2013-01-03$30.16$29.0021.7%6.2%19.5%3.5%21.8%1.2%2.7%2.1M-19.3M-83.3K7.8727.32N/AN/A2318117,3498,830
2013-01-04$30.58$30.0020.2%6.5%19.9%0.0%29.0%5.9%4.0%2.4M-23.4M-82.7K0.2535.23N/AN/A3488717,3728,901
2013-01-07$30.53$28.0021.0%6.6%20.0%2.2%25.1%4.6%3.5%2.5M-23.6M-79.3K23.4242.50N/AN/A451,05417,6748,892
2013-01-08$30.57$28.0020.2%6.7%18.9%0.0%25.6%3.8%3.0%2.5M-22.8M-87.1K0.0142.79N/AN/A430617,6789,907
2013-01-09$31.18$28.0020.4%6.3%19.4%0.6%20.2%3.9%4.3%2.7M-29.4M-83.7K28.0345.41N/AN/A381,06517,4789,907
2013-01-10$31.91$28.0021.0%6.0%20.0%2.2%20.6%3.7%5.1%2.3M-37.1M-79.7K0.0262.61N/AN/A56117,47510,927
2013-01-11$32.21$28.0021.0%6.0%19.9%2.2%19.5%3.9%4.4%2.2M-41.2M-73.5K3.7657.14N/AN/A18067617,50610,928
2013-01-14$32.22$28.0021.2%6.1%20.0%2.7%0.0%4.0%4.5%2.4M-42.5M-66.5K0.5260.28N/AN/A38320017,58610,673
2013-01-15$32.12$28.0021.9%6.3%20.2%4.8%22.3%5.5%3.2%2.7M-40.0M-72.9K0.3159.07N/AN/A1,93860317,46910,873
2013-01-16$31.80$28.0020.6%5.9%20.7%1.3%0.0%4.3%5.1%3.3M-37.2M-77.2K0.0966.24N/AN/A3292918,29410,757
2013-01-17$32.25$28.0020.9%6.0%20.8%2.0%16.9%4.4%4.9%3.3M-44.1M-71.1K0.8062.43N/AN/A544318,32310,778
2013-01-18$32.13$28.0019.9%5.7%21.0%0.0%20.5%5.1%4.8%5.0M-43.0M-72.1K0.9457.36N/AN/A15514518,31510,793
2013-01-22$32.24$30.0020.2%5.8%20.9%0.8%20.1%5.3%1.8%746.0K-17.2M-67.1K2.0956.28N/AN/A23489,2414,222
2013-01-23$32.06$31.0019.3%5.5%21.1%0.0%23.5%5.0%2.5%785.3K-17.0M-66.6K8.9769.65N/AN/A322879,2644,253
2013-01-24$32.29$31.0019.5%5.6%20.6%0.6%20.9%3.0%2.5%735.7K-17.6M-67.7K0.3262.53N/AN/A2279,2904,532
2013-01-25$32.93$31.0018.4%5.3%21.3%0.0%18.5%2.0%1.2%758.2K-21.3M-58.1K0.1457.04N/AN/A117169,3124,537
2013-01-28$32.71$31.0018.2%5.2%21.7%0.0%17.9%7.8%2.1%713.0K-19.7M-62.5K0.7768.07N/AN/A13109,2694,548
2013-01-29$32.65$31.0016.8%4.8%18.5%0.0%0.0%7.9%3.3%825.4K-19.8M-60.6K16.0049.76N/AN/A2329,2714,558
2013-01-30$32.48$31.0020.2%5.8%16.3%8.4%15.1%5.8%1.4%767.1K-19.0M-61.7K1.3351.53N/AN/A39529,2714,581
2013-01-31$31.39$31.0021.8%6.3%21.0%12.5%19.0%4.8%1.9%733.9K-14.4M-68.1K11.5149.82N/AN/A1181,3589,2934,633